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do you think session breaks affect indicator values?

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    do you think session breaks affect indicator values?

    I think there is a problem with Ninjatrader calculating its indicators using any minutes periods that do not divide evenly into 60 minutes. On the attached pdf you'll see four 13 minute charts. On each chart you will see three yellow arrows, one vertical showing the bar in question and two horizontal arrows pointing to the closing price and two period simple moving average.


    The problem seems to be in the extra data loaded at the session break in this case, EUR/USD at around 17:00 EST. Notice the first vertical arrow points at 16:37 on the first chart. The next chart is 13 minutes later at 16:50. The next chart should be thirteen minutes later or 17:03 but instead is 17:00. The chart after that is correct at 17:13. You can see how your 13 minute indicator now is calculating 10 minute data which is then carried over to the next session.
    .
    The problem causes problems on Renko charts and probably others as well.
    Attached Files

    #2
    user42, thank for the post and report - your observation is correct, the reset seen on the session break can influence indicator calcuations - we have a more flexible approach on our product management feature tracking list under #899, so development could consider it for the next major NT update.

    For now you can setup a custom session running continuous through the week under Tools > Session Manager, the bars grouping would then only be reset on the weekends.
    BertrandNinjaTrader Customer Service

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      #3
      Hi Bertrand,

      I have a similar issue regarding sessions and values as described in a posting before. I have programmed a strategy where a trade will be triggered once per day (session) if certain criteria are fulfilled. Setting up the strategy during the session everything works fine. The trade will be triggered with all additional parameters as defined. But during the intersection of the previous session and the upcoming session at 6:10 pm ET or 00:10 CET (next day) in europe a trade will automatically be trigged even if the critera are not fulfilled. I assume that some values of the previous session were not reseted and are active even when the next session begins. Is there a possibilty to reset all values the session before in order to prevent some clashes with the upcoming session? I use the session bar code "bar = new DateTime(Bars.GetSessionBar(sessionsBarsAgo).Time. Year, Bars.GetSessionBar(sessionsBarsAgo).Time.Month, Bars.GetSessionBar(sessionsBarsAgo).Time.Day, Bars.SessionBegin.Hour, Bars.SessionBegin.Minute, Bars.SessionBegin.Second);"
      Any idea what to do to get rid of this?

      Many thanks.

      Rob

      Comment


        #4
        Hi Rob, for a reset of values used in your calculations please check into the contents of this reference sample - http://www.ninjatrader.com/support/f...ad.php?t=19182

        Hopefully that would help clearing up the issue you saw.
        BertrandNinjaTrader Customer Service

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