Known issues when developing strategies for products whose sessions span midnight?

ChiTrader2000 · 03-09-2009, 04:49 PM

Hello,

I have to make a decision that someone out there can hopefully help me with...

I want to backtest some futures markets whose open time is in the afternoon (Chicago time) and whose close time is the next day in the afternoon. The products start trading on Sunday afternoon and stop trading on Friday afternoon.

I need to decide between importing the 1 minute bar data for products with 1 minute bar time stamps as is, or importing the 1 minute bar data with each bar getting 6 hours added to it so that the sessions don't span midnight.

Are there any known problems in Ninja Trader regarding strategies that are run on futures whose sessions span midnight?

Would it be better if I added 6 hours to every 1 minute bar before I imported it, or would this cause bigger problems?

Thanks in advance!

ChiTrader2000

NinjaTrader_Bertrand · 03-10-2009, 07:59 AM

Hi ChiTrader2000, NinjaTrader session time are not determined by midnight, but rather would you set in the chart session times setup. So you should be able to import your normal data and then adjust the session times, so you would see one seamless session for your products.

ChiTrader2000 · 03-10-2009, 08:30 AM

Thanks! I will try it out.

03-09-2009, 04:49 PM	#1
ChiTrader2000 Senior Member Join Date: Nov 2008 Posts: 160 Thanks: 0 Thanked 0 times in 0 posts	Known issues when developing strategies for products whose sessions span midnight? Hello, I have to make a decision that someone out there can hopefully help me with... I want to backtest some futures markets whose open time is in the afternoon (Chicago time) and whose close time is the next day in the afternoon. The products start trading on Sunday afternoon and stop trading on Friday afternoon. I need to decide between importing the 1 minute bar data for products with 1 minute bar time stamps as is, or importing the 1 minute bar data with each bar getting 6 hours added to it so that the sessions don't span midnight. Are there any known problems in Ninja Trader regarding strategies that are run on futures whose sessions span midnight? Would it be better if I added 6 hours to every 1 minute bar before I imported it, or would this cause bigger problems? Thanks in advance! ChiTrader2000
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03-10-2009, 07:59 AM	#2
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,377 Thanks: 252 Thanked 966 times in 949 posts	Hi ChiTrader2000, NinjaTrader session time are not determined by midnight, but rather would you set in the chart session times setup. So you should be able to import your normal data and then adjust the session times, so you would see one seamless session for your products. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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03-10-2009, 08:30 AM	#3
ChiTrader2000 Senior Member Join Date: Nov 2008 Posts: 160 Thanks: 0 Thanked 0 times in 0 posts	Thanks! I will try it out.
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