Tic Based Bars

[CashCache]

My question has to do with range bars. Let's say I have a 15 tic range bar chart and the current bar being built is 14 tics from the low to the high - the current market is at the high. One more price increment up, and I have a full range bar, but what happens if the tic that comes in next is 2 or more price increments above the Last tic - effectively starting a new bar?

I am assuming this new tic (gap) would have incremented CurrentBar and all values in data series such as Low[0], High[0] and Close[0] would all be referencing the now current bar. However, what will High[1] value be since there was really only 14 price increments in the bar? Would High-Low equal 14 tics or 15 tics?

Also, how would this scenario change (or not) when switching between Range and RangeAlt?


Thanks in advance…

-Scott

[NinjaTrader_JoshP]

Hi Scott,

The old bar will be the maximum range of 15 ticks and then the new bar will just be built as you expect. I believe both Range and RangeAlt will behave the same way.

[CashCache]

Josh,

So, if we do gap up like I described in my initial post, will I get an OnBarUpdate() event for the 15th (last) tic of the bar even though it gapped over the price?

I am using CalculateOnBarClose = false;

Thanks,

-Scott

[NinjaTrader_JoshP]

I believe you will get the event for the new bar. It should be a single event and will not be split into part old bar part new bar.

[CashCache]

I'm getting odd results. I am sure I can find a way to work around them, but I'd like to make sure the behavior I am seeing is expected.

I am using 5 tic range bars. I am processing OnBarUpdate() on every tic. I am looking for High[0]-Low[0] to equal a five tic difference (doing the math on the tic size and so on). As soon as we have a full range bar, I then print out the following:

Bars[0]
High[0]
Low[0]
Close[0]

The High and Low are always 5 tics different - which I would expect, but I would also expect the Close to be equal to either the High or the Low, but it is not alwasy. Sometimes it is still someplace in the middle of the bar.

Why is that? Does the Close not actually get set until the next bar starts?


The second question: I am processing every tic. If a range bar formed from the bottom up and on to the next bar, I should have seen the tic come into OnBarUpdate() that caused High[0], Bars[0] and Close[0] all be equal to the top of the bar, but this does not always happen. Often I see High[0] set to a value that I did not get a message for. What could cause this?

If this is too confusing, I have the code and the output I can add here...

Thanks in advance...

-Scott

[NinjaTrader_JoshP]

That is correct. We do not actually know the Close until the next bar opens.

If the reason your next range bar is because a tick covered into that range your previous bar will only be filled in graphically. I don't believe you will get the tick for it.

[CashCache]

Thanks Josh.

Knowing this helps a lot. I appriciate the quick reply!

-Scott