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Trading Hours templates, Session Breaks, EOD & Indicators

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    Trading Hours templates, Session Breaks, EOD & Indicators

    Hello,
    Could someone shed some light on how these tie together?
    What I'm struggling with is as follows:

    I want the 'Day' to run in 2 Sessions with a short break after end of day.
    I use 3 Data Series each with its own Custom Trading Hours template
    1. 'Full Session' running from start of Day to end of Day and sub-divided into 2 Sessions within. The end of the Day Session selected as EOD.

    2. 'Overnight Session' from start of Day to NY Opening Bell

    3. 'Day Session' from NY Open to end of Day

    I use PriorOHLC Indicators attached to each so that I get the H/L of the Overnight Session, the Day Session, and the Full Session.

    The problem I encounter is that the 'Prior' does not seem to be being defined by (End of...) 'Day', it seems to be being defined by Prior 'Session'.

    So, the H/L of the Day Session does not become Prior after EOD, it only becomes Prior not after the new Day begins starts but only after a new Day Session has begun.

    I thought that EOD would be the key, and maybe it is because I have to make the end of the Overnight Session 'an End of Day' because the field cannot be unchecked.
    Any ideas?
    Kind regards
    Bruce

    #2
    Can you provide your three trading hours templates for testing?

    You'll find them in Documents > NinjaTrader 8 > templates > TradingHours
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Hello Patrick and thanks.
      Please see attached
      Kind regards
      Bruce
      Attached Files

      Comment


        #4
        I see your RTH template goes from 9:30am – 4:15pm (EOD). Once new bars start at 9:30am it shows the prior OHLC from 9:30am-4:15pm when using the PriorDayOHLC indicator

        I see your ETH (full) session goes from 4:15pm-4:15pm (EOD). Once a new bar starts at 4:15pm it shows the prior OHLC from 4:15pm-4:15pm when using the PriorDayOHLC indicator

        I see you overnight session is from 4:30pm-9:30am (EOD). Once a new bar starts at 4:30pm it shows the prior OHLC from 4:30pm-9:30am when using the PriorDayOHLC indicator

        By using these 3 trading hours on 3 charts, you should be getting the prior OHLC for the RTH, ETH, and overnight (ETH without RTH hours) sessions when using the PriorDayOHLC indicator. So, the span of time the PriorDayOHLC will be based on is from the start of the session to the end of the session when EOD is checked.

        A prior OHLC could not be calculated until a new session starts. Is it perhaps you are looking for the current day OHL? If so, you could use the CurrentDayOHL indicator.

        I may be unclear on your inquiry. If this does not clarify or resolve, please provide an example of what you are expecting to occur.
        Last edited by NinjaTrader_PatrickG; 08-02-2018, 10:19 AM.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Hello Patrick and thanks.
          Your explanation is what I believed to be.
          I've attached a Chart which I hope will help explain further my issue.

          "By using these 3 trading hours on 3 charts" - I use them on 3 Data Series in one Panel/Chart as attached

          "you should be getting the prior OHLC for the RTH, ETH, and overnight (ETH without RTH hours) sessions when using the PriorDayOHLC indicator."
          I am, but - not until
          "Once new bars start at 9:30am it shows the prior OHLC... at 4:15pm, ….at 4:30pm.." respectively.

          "A prior OHLC could not be calculated until a new session starts."
          I must presume you mean NT8/PriorDayOHLC cannot calculate a prior OHLC until a new session starts? The prior OHLC can be calculated as soon as the session has ended. At what point it becomes 'Prior Day' may be open to some interpretation and debate (but let's not!) but it isn't when new bars start from a time/day perspective, only from Session perspective, and I wondered if EOD would address this. i.e. defining the End of the Day.

          It may help for me to re-state what I'm seeking to achieve, with an example chart for you to reference....

          You'll see that the Day is split Overnight (Violet) and Day (Green) Sessions (with a short barely perceptible 15min break).
          Depending on how well the image of my chart displays for you, there is also white shading where there is overlap of the Range of the two Sessions which is thus the Full ETH Session.

          I want to see -

          during the current Day (whether during its Overnight Session or its following Day Session)

          - the current Overnight Session high and low as it develops during the Overnight Session and then fixed once the Session ends. For which I use a Current Day OHL indicator on the Overnight trading hours Data Series

          - the current Day Session (i.e. RTH) high and low as it develops during the Day Session. For which I use a Current Day OHL indicator attached to the Day trading hours Data Series

          - the current Full day (i.e. ETH) high and low as it develops during the day. For which I use a Current Day OHL indicator attached to the Full trading hours Data Series

          In this way (and it is the only way I am aware of being able to do this), I can see the Overnight, RTH and ETH highs and lows concurrently and separately

          I do the same with Prior Day OHLC.

          You will see from the attached chart that in this way:
          - during the Overnight Session I can see the Current Overnight H/L as it develops, the Prior Day Overnight, Day and ETH H/L
          - during the Day Session I can see the Overnight Session H/L (now fixed), Day Session H/L, current ETH High/Low, Prior Day Overnight, Day and ETH H/L.

          You should notice that the indicator lines are color matched to the Session so should be easier to identify what is what, and Current Day are broken (representing that the values are not yet 'fixed') whereas Prior Day are solid (values are now fixed) for easier demarcation/identification.

          The requirement is far more difficult to describe than it is complex in practice - I just want to see today's and the previous day's ETH, RTH and Overnight highs and lows. Simple as that. Nothing else.

          Today's high, whether that be overnight Session, Day Session or ETH high becomes yesterday's (i.e. Prior Day) Overnight, RTH or ETH high once the current day has ended (not when the next 'same Session' begins). The indicators thus don't work off the correct Session e.g. yesterday's Day Session doesn't become Prior Day once the day has ended and thus prior day during the following Overnight Session, as it should/is. It only becomes so when the corresponding next Day Session has begun, not when the next Day has begun with the Overnight Session. It is yesterday's Day session, not Current day. Yesterday has closed. I thought EOD would somehow be part of the solution, setting the End of Day, as it seems that it ought to be. Defining what is yesterday. Hopefully it is.


          Any suggestions welcome.

          Kind regards

          Bruce
          Attached Files

          Comment


            #6
            What you're looking to accomplish cannot be done with default tools. You would need to program a custom OHLC indicator to function as you desire. If you'd like more information on how to program this yourself, or to speak with a developer who may be able to program this for you, please contact us via email at PlatformSupport[AT]NinjaTrader[DOT]com. If you do decide to reach out to us via email, please make sure to include a link to this thread and a description of what you're looking for.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Hello Patrick and thanks.
              That is what I believed to be the case.
              The End of the Day is the end of the day. Whatever is then beforehand, is Prior Day.
              Anything else is nonsense.
              Default platform & tools should accommodate this, imho.
              Kind regards,
              Bruce

              Comment

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