Higher TimeFrame Chart Construction

[I_Quant]

Hi

Is it possible to create higher time frame charts (say week, month, year) from the ranges of specific hours?

To explain further. Say I want to use Weeks to create a very long timeframe chart going back years. But I only want to use the range of each week that was created between the hours of 0930 and 1030 each day; so the weeks high is the highest high that was created between those hours on each day; ditto the week's low.

I hope that makes sense and is it possible? thx

[NinjaTrader_CalH]

Hi I_Quant,

Thank you for posting.

You would be able to create a chart that only charts the time frames you want.

You would need to create a session template that only has those specific time frames setup and use that in your weekly chart.

Here is a link on how to create your own session template.
http://www.ninjatrader.com/support/h...on_manager.htm

Once, you have your session template you can load that into the chart by going to the Data Series and changing the Session Template to the one you have created.

[I_Quant]

Using ES e-mini 09-13 as an example. I don't see any difference between two Weekly charts, one with default 24/7 applied and the other with CME US Index Futures RTH template applied; and there should be differences in the weekly bars.

Could you confirm that you see differences on your end... in which case I will know that I am doing something wrong.

many thx

[NinjaTrader_CalH]

I_Quant,

Apologies, I did make a minor error.

You would want to use a large minute time frame chart. The reason for this is the data providers attach a session template to the instruments Daily Data, which is what a weekly chart is built off of.

You would want to still build a weekly session template, meaning it starts on Sunday and ends on Saturday. You will then use a weekly minute time frame chart, 10080 minutes and change the session template to your weekly created one.

Let me know if this makes a difference on the charts

[I_Quant]

thx cal I will try after market hours and let you know

[I_Quant]

still not doing it for me cal

Anytime I use a bar minute length that is greater than the number of minutes specified for my daily session it gives me daily bars (admittedly based upon the new session template daily hours which is good but not what I am looking for). So for example, I made a new template from Sunday to Saturday using the hours 0930-1130 (just at random) and as soon as I use 120 mins or greater it gives me "daily" bars for each day's 0930-1130 range. It just won't give me 1 bar for the week even if I use 10080 or greater.

I dont seem to be able to get 1 bar per week unless I use the WEEK bar length, in which case it reverts to what seems like 24/7 data - no matter what template I attach

any ideas ?

[NinjaTrader_CalH]

I _Quant,

That is because you are putting in a session end time in. You will need to have the start date be Sunday at 12:00 am to Saturday 11:59 pm.

From what it sounds like you just want to have a bar's time frame be from 9:30 am to 11:30 am and have that plot weekly.

Unfortunately, there is now around this since the daily bars are built on the data providers session template and if you input a session break period in the session template you created you will get the different day bars being displayed.

You will need to have the session template plot from the Sunday at midnight to Saturday at 11:59 pm as one session.

Let me know if I can be of further assistance.

[I_Quant]

I guess I am pretty much totally confused now as to whether I can do what I want or if I have even explained to you what I want.

I don't understand why there is a "data providers session template" when it is me who is attaching the template to the chart. I don't understand why I need to run the template from midnight on a Sunday to the following Saturday; this goes against what I am trying to do.

I think you are now saying that I can't do what I want to do, which I shall try to explain one more time - more for my own benefit than yours I'm sure.

Let's take a very simple example. The one hour after the US Stock Market opens. 0930 - 1030 Eastern Monday to Friday.

I am ONLY interested in the high and low of that hour for each day of the week. I want ONE bar for the week which is based on the highest high of those hours and the lowest low of those hours (and only those hours). I then want to use this series of "Weeekly" bars to build my dataseries going back in time several years.

I can easily build a session template that has a start and end time of 0930-1030 for Mon-Fri. This ensures that I will only see the data for those hours on those days.

Can I use this template to create a single bar for the week (Mon - Fri) ? If not then is there ANY way of doing this?

Thats it.

See if you can try one last time to explain to me whether I can or can't do this.

many thanks

[NinjaTrader_Jason]

Hello I_Quant,

To clarify historical daily data in NinjaTrader, daily data is loaded as per the OHLC values that are sent by the connected data feed. Some providers send daily data for extended trading hours (ETH), while others send it in RTH (regular trading hours, for example 9:30 AM - 4:15 PM EST). Weekly bars are subsequently build by the OHLC values of the historical daily data.

You can workaround this by using a minute interval as Cal suggested. A custom session template is required to capture the minute data you are after, so 0930 - 1030 as per your latest example. Subsequently you need to match the minute interval to the total amount of minutes for a week. So this would be a 300 minute interval. Let me know if this will not work for you.

[I_Quant]

and that is what I originally tried Jason but to no avail.

I shall try again and let you know.

[I_Quant]

ok I can reconfirm that as in post #6 below when I make a new template for Mon - Fri 0930 -1030 and specify a 300 min chart I get daily bars (each showing the 0930-1030 range).

Your advice Jason seems quite logical and that is where we started off. Cal then introduced the idea of a midnight to midnight template which is counter to what I am trying to achieve.

We seem to be going round in circles.

If you Jason or Cal could create the example I described (showing a single bar for the week with just the 0930-1030 EST ranges ) then I think we could make progress.

Otherwise I feel we are going round in circles.

But thanks for persevering.

[NinjaTrader_Jason]

I tested it on my end and I experience the same outcome. Unfortunately this is due to the session template - it uses a row for each day. So it will load a price bar for each day.

The custom session template would need to consist of just one row to make it work. Unfortunately it is not possible to capture 9:30 - 10:30 for each day using one row in a custom session template.

The only way to load weekly bars build of minute data would be using a custom session template that runs from Sunday to Saturday (one row), see screenshot. Subsequently select a 10080 minute interval. This will allow you to create weekly bars build of minute data, however it will include all hours. It is not supported to create weekly bars of minute data that do not include all data.

[I_Quant]

well at least I now know

I hope session templates will be more flexible in V8

thanks Jason