ETH vs RTH session hours on futures

[Harry]

This is easy to answer, because you can check it on the chart yourself.

First, if you define sessions, NinjaTrader will cut off the last bar. Below is a 180 min chart for ES, which uses a double session template (night session 3:30 PM to 8:30 AM and day session 8:30 AM to 3:15 PM). As you can see on the chart, the last bar of the night session only has 120 minutes (6:30 AM to 8:30 AM) and the last bar of the day session only has 45 minutes (2:30 PM to 3:15 PM).

Next you can put a 2-period SMA on your chart, and you will notice that the 45 minute and the 180 minute bars get an equal weight, so the moving average shown is distorted. Such will be with all strategies. So setting several sessions intraday has an advantage, if the session length >> bar period, but creates distortion, if the bar period is too large relative to the session length.

You can't get it all.

[jamesaq]

I usually just see what other charting programs do and then see if NinjaTrader does the same.

No offense meant to NinjaTrader in doing that. It's just meant to keep them from going against the trend.

[noincomenojobnoassets]

Thanks Harry, that was very helpful.

Next question: When NT loads historical data from external sources, how does it implement the data timestamps into the database?

Say you are loading a line saying 20100607 1330;100;100;100;100;100 into the Historical Data Manager.

Does NT perceive the time stated (13:30 or 1:30pm) as being exchange time or local time? That is, if I'm trading an instrument at a New York exchange (GMT-5) with the corresponding session template referring to GMT-5 time zone, will NT consider the data line 13:30 / 1:30pm New York time or will it consider the data line 13:30 (1:30pm) CET (GMT+1; that's where me and my system are).

Regards
ninjna

[Harry]

Why don't you just go to the Historical Data Manager and edit your data? It is not hidden, you can see everything that is in your database, and modify it manually, if you do not like it.

You will find minute data stored in your local timezone... or tick data in your local timezone, depeding on your historical data supplier.

Thanks Harry, that was very helpful.

Next question: When NT loads historical data from external sources, how does it implement the data timestamps into the database?

Say you are loading a line saying 20100607 1330;100;100;100;100;100 into the Historical Data Manager.

Does NT perceive the time stated (13:30 or 1:30pm) as being exchange time or local time? That is, if I'm trading an instrument at a New York exchange (GMT-5) with the corresponding session template referring to GMT-5 time zone, will NT consider the data line 13:30 / 1:30pm New York time or will it consider the data line 13:30 (1:30pm) CET (GMT+1; that's where me and my system are).

Regards
ninjna

[noincomenojobnoassets]

Hi,

Okay, sorry, maybe I didn't quite express myself clearly.

I know the Historical Data Manager takes the data as it gets it. What I was trying to point out was: Does a strategy, no matter whether running live or as a backtest, know that it should look for 14:00 - 20:00 data (local timezone) when the instrument is set up as trading from 8:00 - 14:00 NY time, for example?

See, say the strategy looks at the session template it is given for the instrument and goes "okay, trading from 8:00 to 14:00 in New York, no problem". Does it know by itself that 8-14 NY time is 14-20 CET and that it should apply its routines to the data from 14:00 to 20:00, although the session template suggests 8:00 - 14:00?

Thanks for your help, guys.

[NinjaTrader_Brett]

Hello,

The session manager is only to allow NinjaTrader to reference the time local on your PC to the of the market being open or closed in the markets time zone for easier setup of charts. Everything will use the local time zone on your PC as far as strategies and time stamps on chart bars. Your local time is what it referenced.

Let me know if I can be of further assistance.

[noincomenojobnoassets]

Thanks for your answer, Brett.

So one should make sure always to import historical data sporting -> local <- (in this case Central European Time) timestamps - since backtesting a New York 8am-2pm instrument will have to be done on 14:00-20:00 European time data, correct?

[NinjaTrader_Brett]

Hello,

What this setting does is insure that the data is in local format. So whatever time zone the data is exported in you will want to set this to that time zone, so that under the hood NinjaTrader will convert the time zone of the import file to your local PC time zone so that everything matches up as you would expect. If the data is imported from your time zone then no conversion would be necessary.

Let me know if I can be of further assistance.

[noincomenojobnoassets]

That is, if my source data (the data that is going to be imported) is in NY time format, I set the session template to NY time before importing, and if my source data is in local format, I set the session template to local time before importing?

Sorry, being a bit slow here today....

Thanks,
ninjna

[NinjaTrader_Brett]

Hello,

Yes this is correct. You will set this to the Time Zone the data was exported from.

Let me know if I can be of further assistance.