Programing an opening range

[MJUK05]

I was hoping someone could give me some pointers on programing an opening range.

I think I need to use the variable function to set the high of X time period and low of X time period as the opening range and then use these variables to enter an exit positions when price behaves a certain way around them.

I am just having a hard time working out how I can do this with the wizard as i'm not comfortable yet writing code - although i'm learning!

Thanks very much in advance.

Mark

[borland]

I'm not sure what you mean by 'open range'? But, I think your referring to the Highest High and the Lowest Low of a look back period. You might also call this a Price Channel on the look back period.

I've been interested in this too. I looked in the user's guide for a NinjaTrader indicator method and could not find one.

To roll your own, you could use Highs[] and Lows[] methods like NT shows in this code example.., except you would Add[] enough minutes to cover the look back period.

[FONT=Courier New][COLOR=#0000ff]protected override[/COLOR] [COLOR=#0000ff]void[/COLOR] Initialize()[/FONT] 
[FONT=Courier New]{[/FONT] 
[FONT=Courier New]    [COLOR=#008000]// Adds a 5-minute Bars object to the strategy and is automatically assigned[/COLOR][/FONT] 
[FONT=Courier New][COLOR=#008000]    // a Bars object index of 1 since the primary data the strategy is run against[/COLOR][/FONT] 
[FONT=Courier New][COLOR=#008000]    // set by the UI takes the index of 0.[/COLOR][/FONT] 
[FONT=Courier New]    Add(Instrument, PeriodType.Minute, 5);[/FONT][FONT=Courier New][COLOR=#008000]                                       
[/COLOR]}[/FONT] 

[FONT=Courier New][COLOR=#0000ff]protected override[/COLOR] [COLOR=#0000ff]void[/COLOR] OnBarUpdate()[/FONT] 
[FONT=Courier New]{[/FONT] 
[FONT=Courier New]    [COLOR=#008000]// Compares the primary bar's low price to the 5-minute bar's low price[/COLOR][/FONT] 
[FONT=Courier New]    [COLOR=#0000ff]if[/COLOR] (Low[0][0] > Lows[1][0])[/FONT] 
[FONT=Courier New]        Print("The current bar's low price is greater");[/FONT] 
[FONT=Courier New]}[/FONT]

Maybe there's an easier way.

[MJUK05]

There is an easier way.

if you do a seach for opening range there are examples.

[borland]

I did a search of the forum on "open range".... That sounds like Price Gaps, so not what your wanting to discuss. Sorry

There is also the methods: HighestBar[] and LowestBar[], but these only report back the offset index of the look back period, not price.

For a 20 period lookback, these should work...

PriceRangeChannel_Upper = High[HighestBar(High,20)]

PriceRangeChannel_Lower = Low[LowestBar(Low,20)]

PriceRangeChannel_Mid = (High[HighestBar(High,20)] - Low[LowestBar(Low,20)])/2

[NinjaTrader_Austin]

MJUK05, please take a look at the reference sample titled calculating the highest high or lowest low for a certain time period.

[MJUK05]

I did a search of the forum on "open range".... That sounds like Price Gaps, so not what your wanting to discuss. Sorry

There is also the methods: HighestBar[] and LowestBar[], but these only report back the offset index of the look back period, not price.

For a 20 period lookback, these should work...

PriceRangeChannel_Upper = High[HighestBar(High,20)]

PriceRangeChannel_Lower = Low[LowestBar(Low,20)]

PriceRangeChannel_Mid = (High[HighestBar(High,20)] - Low[LowestBar(Low,20)])/2

Borland,

Thanks. I used the following method:

if (Bars.FirstBarOfSession)
highestHigh = High[0];

if (Bars.FirstBarOfSession)
lowestlow = Low[0];

if (Bars.BarsSinceSession < OR && High[0] > highestHigh)
highestHigh = High[0];

if (Bars.BarsSinceSession < OR && Low[0] < lowestlow)
lowestlow = Low[0];

OR = opening range is bars in opening range variable
highestHigh and lowestlow are variables that are set by the statements and re-set at the start of a new session.

Hope this is useful to you to.

Austin. Thanks.

[borland]

MJUK05,

I still don't know what open range is, however Austin pointed out the possible use of Max() and Min (). So your code could also look like this.

if (Bars.FirstBarOfSession == true)
{
  highestHigh = Max(High,10)[0];
  lowestLow = Min(Low,1)[0];
}
if ( Bars.BarsSinceSession == true
     && openRange == false)
     && Max(High,1)[0] > highestHigh )
{
  highestHigh = Max(High,1)[0];
}
if ( Bars.BarsSinceSession == true
     && openRange == false)
     && Min(Low,1)[0] < lowestLow )
{
  lowestLow = Min(Low,1)[0];
}