Drawing Indicators up to Last Bar on EOD Data

[zr6bcm]

I use only EOD data (via Kinetick and Yahoo). Which means that after an update, the last bar is already effectively completed. It is end-of-day day and the day has long since passed, often we are already deep into the weekend.

With NT8 (can't remember this been so on NT7), the indicators are NOT processed for the last bar. All my indicators are set to calculate on bar close. This makes sense, we are using DAY bars with EOD data. So when the data comes in, the bar is finished and the calculations can be done. But it is not. See attached image.

Am I overlooking something? Searching through the forums, I found a reference "signals are not being generated until the start of the next bar", but did not find an obvious solution.

One workaround I found is to set each indicator to be "Calculate = On Each Tick", then the indicator is drawn up to the last bar. Given that this is only EOD historical data, I assume the performance overhead is not relevant. It is just a nuisance to change each and every indicator once added onto the chart.

Question: is there a way to ask NT8 to process the last historical EOD bar on day charts once the day has passed?

Thanks, Brian

[NinjaTrader_JessicaP]

Hello zr6bcm, and thank you for your question.

If this is an indicator you are developing, I would recommend adding a second highly granular time series, and then applying a time filter near the beginning of the day for this time series only so that each shorter amount of time does not process much.

Otherwise, the best way to handle this would be to apply your indicator to a 1440 minute (equivalent to one day) time series with an overlapping session template, so that it starts shortly after the end of the day.

Both these methods would avoid the use of Calculate = OnEachTick (COBC = false in NinjaTrader 7) .

Please let us know if there are any other ways we may help.

[zr6bcm]

Hi,

Interesting ideas, but this is really a detour via Timbaktu!

I am using END-OF-DAY data, so no second highly granular available. It feels like shooting myself in the foot, because... hmm.. exactly why?

There is just one fundamental question: If on END-OF-DAY data the last bar OnBarUpdate is not been called, is this "works as programmed" or a bug?

Thanks, Brian

PS: One of my last CEOs said very wisely: programmers should program for "works as expected"! Loved to listen to him talk.

[NinjaTrader_JessicaP]

Hello again zr6bcm, and thank you for pointing out my oversight. I did in fact miss that we were discussing end-of-day data which is central to your question.

This is in fact a "worked as programmed" situation. NinjaScript exposes some data series such as Close which give historical values, and methods such as CurrentDayOHL which expose live values. If we look at the documentation for the latter method, we find

Note: Only use this indicator on intraday series.

Thus, strategies and indicators will only have access to the most recent historical information if your only data feed is end-of-day .

[zr6bcm]

Morning Jessica,

First, my apologies for asking again, but somehow I am still not sure I understand it exactly. I know some indicators might require live feeds. I dont use those. It just adds to the confusion.

Let us focus exactly on one situation and formulate the question in detail. (On the way home I will stop to buy NT support a box of German choclates.)

Program: NT8
Indicator: SMA (the original one)
Data Feed: Kinetick END-OF-DAY
Day: Sunday
Date: 31. August

So exactly on this Sunday, I have one chart, symbol AAPL, period 1 day, with one indicator, SMA(14) [original NT8 part].

Expectation: The SMA will draw up to the Friday (which is now closed already nearly 48hours). Yes?

Bye, Brian

[NinjaTrader_JessicaP]

Hello again zr6bcm.

I believe I understand your expectation. I have submitted a feature request to the product management team for the following feature :

This customer would like OHLC methods to work on daily data be added to allow, for instance, indicators relying on connections such as Kinetick End-Of-Day (free) to have access to the most recent data available to Ninja

I will follow up with more information as soon as it's available. If the feature request already exists, a vote will be added to it.

[shortrader]

I am an NT newbie, and am having the exact same issue. I am currently converting my custom indicators that I used in TradeStation, and am dumbfounded that something as basic as closing a daily bar on market close (and not on Monday morning) is not an 'out of the box' solution. Nor is there any real solution, short of using tick data and writing a hack. I love the c# development platform, but this is a HUGE oversight on the part of NT if this is deemed "working as designed".

[NinjaTrader_JessicaP]

Hello shortrader,

If your connection does support data more granular than daily data, this will work "out of the box" with one of the approaches outlined earlier in the thread. If you would like daily data, and would also like up-to-date data, you may use 1440 minute bars.

I will keep this thread up to date when I have more information regarding the above feature request.

[wallsteetking]

I had the same issue on EOD. One way that I made it work was put all indicators/strategy on calculate on close = False. However, make sure if you are doing your analysis to wait till the market is closed. hope this helps

[NinjaTrader_JessicaP]

Hello zr6bcm,

I have received some feedback from the product management team. There are no plans on implementing this feature at this time. As you have noticed, Calculate.OnEachTick is needed to access that last OnBarUpdate event which will in turn calculate your needed SMA value when the end-of-day data is updated. This is working as designed. I highly recommend reviewing setting up sessions to ease your programming burden when using CalculationMode.OnEachTick. I am including the relevant section of the help guide.

http://ninjatrader.com/support/helpGuides/nt8/en-us/?tradinghours_sessions.htm

Please let us know if there is any other way we can help.