High and low for the session differ on range compared to minute charts

[suprsnipes]

Hi,

I'm trying to find a way to view within a range chart the correct high and low for the current trading session (as defined in the chart template) however it appears as though in many cases the high and low differ from that displayed on a minute chart?

Is this normal? Is it possible to somehow display the correct high and low from a time perspective using a range chart? If so how would I go about it? Would you need to use or write an indicator that finds the high and low for the timeframe in question? Would this work?

Thank you in advance?

[NinjaTrader_RyanO]

Hi supersnipes,

Thank you for your post.

You can use the CurrentDayOHL, and it will show the Open, High and Low of the current day's trading based on the chart template.

Additionally, if you set the AutoScale property to True then you can see those values scaled within the range chart.

[suprsnipes]

Thanks for the reply Ryan,

Please see the attached image.

I have taken a snapshot and will explain further. The left hand side is the 10 range chart the right hand side is the 10 minute chart. Both are set to start and finish at 9am, whilst the 10 minute charts open, high and low are the true open, high and low as per the instrument for the session as defined above whereas the 10 range chart displays a slightly different open and high and I would like to know if there is a way to display the open, high and low as per the 10 minute chart on the range chart instead.

Hope this explanation helps you understand what I'm trying to do.

I also tested your suggestion to set AutoScale to true which had no effect on either chart.

suprsnipes

[NinjaTrader_RyanO]

Hi supersnipes,

Thank you for the clarification.

The AutoScale property would only make a difference if the OHL values of the indicator were out of the chart's display range.

As for the charts slight difference this is caused by the type of data used to create a chart. For the range chart it is based on tick data, and the minute chart uses data. The difference between these two types of data is the cause, and this is to be expected.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HowDoesNinjaTraderBuildChartBars

[suprsnipes]

So as this is expected is there a workaround to achieve what I want?

That being to display the session open, high, low etc based on a 10 min chart within a 10 range chart?

For example would it be possible with a custom indicator?

Thank you in advance,
suprsnipes

[Harry]

Hi suprsnipes,

the range bar as implemented by NinjaTrader 6.5. does not close with the session close but only closes when the range is exceeded, so range bars do not contain the information you need and you cannot access this information directly via a standard indicator.

To do what you want, you would need to access a second data series - for example minute data - from within the indicator. A similar concept has already been implemented for the pivots indicator, where a daily data series is accessed from within the indicator. However this sometimes creates deadlock and may cause empty charts / reloading issues.

Accessing multiple data series is easier with NT7, I think there should be a way of coding an indicator for this in NT7.

You will find an explanation, why correct pivots cannot be calculated from intraday data for range charts as per post #9 of this thread. The logic also applies to your problem. It also gives you the magnitude of the error that you will encounter.

http://www.ninjatrader-support2.com/vb/showthread.php?t=26493&highlight=pivots+range+bars

[NinjaTrader_RyanO]

Hi supersnipes,

Harry has touched on the important pieces, and thank you for that. However, I wanted to add that with NinjaTrader 7 you will have the ability to access different data series when setting up your indicators. So you will be able to on a range chart implement a minute based High/Low indicator.

[eDanny]

What we need is for the Range bar to close at the close and start a new bar when the instrument reopens. This would fix the intraday calculations and the inaccuracies it can cause. I would really like this (at least until possible Zenfire daily data). Dan

[NinjaTrader_RyanO]

Hi,

Thank you for the suggestion regarding range charts, and I will forward that suggestion to development.

As for Zen-Fire you will be able to get daily data using more incremental data, which is another way to resolve this expected discrepancy with NinjaTrader 7.

[Harry]

It is not obvious that the range should just complete, when a session break occurs. Imagine you have a 120 min chart and you get a subrange bar that destroys the logic of your system. You can fix inaccuracies in measuring open or close by accessing a second data series, so no need to cut off the range bar?

What we need is for the Range bar to close at the close and start a new bar when the instrument reopens. This would fix the intraday calculations and the inaccuracies it can cause. I would really like this (at least until possible Zenfire daily data). Dan

[eDanny]

My suggestion is for nonmulti-series, nonmulti-timeframe NT6.5

[NinjaTrader_RyanO]

eDanny,

I have noted the clarification in what I forwarded to development earlier. Thank you for the suggestion.