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No RTH session on ES daily chart

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    No RTH session on ES daily chart

    I'm trying to set up a 10 & 20 day Average True Range (ATR) Ninja default indicators on two separate daily charts for the
    E-mini S&P 500 futures contract (ES).
    One chart for the "CME US Indes Futures ETH" Session template and the other with the "CME US Indes Futures RTH" Session.

    RESULT: The ETH chart is correct.

    PROBLEM: The other chart with the "RTH" Session template selected in the Data Series has no effect on the chart. By that I
    mean, that the candle bars along with the 10 & 20 day (Period) indicators do not change from the ETH to RTH sessions.
    There is no difference between the two charts even though the Session templates are different.

    Yes, I checked the Session Manager.
    The "CME US Indes Futures ETH" goes from Sunday - Friday, 5:00 PM - 4:00 PM Central Time and
    the "CME US Indes Futures RTH" goes from Monday - Friday, 8:30 AM - 3:15 PM Central Time. Which are all the default times.

    I just don't get it?

    Hello tarponton,

    Thank you for your post.

    Daily bars come fully formed from the data provider, either in RTH or ETH, depending on provider, and cannot have trading hours templates applied.

    Instead, if you use a 1440 Minute chart (there are 1440 minutes in a day) this will build a day bar using minute data, and will allow for the Trading hours template to be effective.

    Please let us know if we may be of further assistance to you.
    Kate W.NinjaTrader Customer Service


      Hi Kate,

      Thank you for your assistance.

      I do not believe that there exists a trading guru, either in print or recorded, who hasn't expressed the need of knowing the
      10 or 20 day ATR of the instrument and session that one is trading. For you couldn't expect to enter a trade with a say
      10 point target when the ATR is 12 points and the market has already moved 7 points. (12 - 7 = 5 point expectation) yes.

      And they make the Average True Range sound so simple, yes. They say to just add the last ten session highs minus the
      lows and divide by 10 and voila' you have a 10 day ATR. And then they add that the ATR indicator is included in all the
      trading platforms. Sounds simple doesn't it? Just create a daily chart, add the ATR indicator and set it for 10 days, no.

      This whole thing reminds me of the story of a person who while driving to a destination, that they have never been to before,
      stops at a town and asks someone for directions. The reply that they received was "YOU CAN'T GET THERE FROM HERE".
      "You must go back to a former location and take a different route".

      So let me get this straight. With Ninja Trader, (I do not know about other platforms), to get a 10 day RTH session ATR indicator
      I must first go to the Data Series and change the Period "Type" from Day to Minute, yes. Then change the Period "Value" from
      1 to 1440, yes?

      BUT WAIT, THERE'S MORE. Please correct me if I am wrong, yes.

      Now one has to go to the ATR indicator settings and enter the correct Parameter "Period" to get a 10 day ATR for the
      "CME US Index Futures RTH" Session which goes from Monday - Friday, 8:30 AM - 3:15 PM Central Time, yes.
      Let's see, that's [( 6.75 hrs./day x 60 min./hr.) = 405 min./day x 10 days ] = a "Period" value of ( 4050 ).

      Is that correct? And if so:

      WE CAN GET FANCY, yes.

      The closing bell rings at 3:00 PM CT, yes. So Since the 15 minute period from 3:00 PM to 3:15 PM is basically for settling,
      and has little volume, it isn't really necessary for the ATR indicator. Yes / No, what do you think? Let's just get rid of it with
      the Session Manager, yes?

      Let's create a new Session Template in the Session Manager and call it "CME US Index Futures RTH2", yes. We can set
      it's parameters from Monday - Friday, 8:30 AM - 3:00 PM Central Time, OK.

      Then we can adjust our 10 day ATR "Period" value to [( 6.5 hrs./day x 60 min./hr.) = 390 min./day x 10 days ] = ( 3900 ).

      So Kate, do I have this right, or is my fuzzy math as bad a George W. Bush's?

      Your the expert, I'm just a struggling student.



        Well that math was very, very fuzzy, because of another counter intuitive circumstance.

        By that I mean that when one sets a chart to minuets one would expect a whole bunch of minute bars, yes? NO!

        News flash, with a 1440 minute chart, one gets a single bar for each day, yes.
        ( Inquiring minds would like to know why that is so? )

        Oh well, the bottom line is that the correct 10 day ATR "Period" for the "CME Index Futures RTH" session on a chart
        Data Series - Period "Value" & "Type" set to 1440 Minutes will be simply ( 10 ), yes.

        And for a 20 day ATR "Period" on the same chart settings would be ( 20 ). Go figga!

        So then why is it that when on the 10 day ATR indicator reading for the ES date range of 11/14 to 11/27 (which is 10
        RTH trading days), the indicator gives an ATR value of ( 42.79 ) but when I do the calculations manually it comes
        out to ( 36.60 )?

        I just do not understand that with such a sophisticated and technically advanced trading platform such as Ninja Trader,
        that something so simple as a 10 day ATR indicator can become so complicated and if that weren't enough, also
        questionable as to it's accuracy?

        I need some answers and reassurance, yes.

        Please help.



          Hello tarponton,

          Thank you for your replies.

          Yes, the number of minutes simply is the number of minutes covered by each bar. So a 1440 minute chart would show one bar for each day.

          Here is some more technical information about how NinjaTrader calculates ATR:

          And here is another post from our forums that explains how your ATR calculations may differ from those in NinjaTrader:

          Please let us know if we may be of further assistance to you.

          Kate W.NinjaTrader Customer Service


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