how to build RTH / ETH session bars

[omrangassan]

hi sir

I want to build session bars (OHLCV) for past 5 years on #CL.

by session bars i mean to draw bard (ohlc) based on session time.
O/N ETH session from 1800 EST up to 0900 EST
RTH session 0900 EST up to 1700 EST

session bar shall be OHLCV in one bar during the timing mentioned above.

i tried to play with session manager but when i try to show chart it keep showing day bars for the full day not on a session wise.

how to solve this ?

[NinjaTrader_ZacharyG]

Hello omrangassan,

Thank you for writing in.

Rather than using Daily bars, please try using 1440 minute bars. The bars should now follow your custom session template.

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

[omrangassan]

Hello omrangassan,

Thank you for writing in.

Rather than using Daily bars, please try using 1440 minute bars. The bars should now follow your custom session template.

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

Thanx ZacharyG ; It is working great now.
Cheerz

[omrangassan]

What this means if we choose for a contract ##-## ?
example CL ##-## ?

[NinjaTrader_ChrisSch]

Hello omrangassan,

Thanks for your post.

The ##-## expiry would indicate that the contract is a continuous contract which would automatically rollover to the date of the most currently traded contract and continuous contracts provide a continuous stream of historical data that is merged and back adjusted. In NinjaTrader, for a continuous contract you'll still be using the standard symbol but the expiry used would be ##-##. In the case of CL, the symbol would be CL ##-##.

Please don't hesitate to reach out again if you require further assistance.

[omrangassan]

Hello omrangassan,

Thanks for your post.

The ##-## expiry would indicate that the contract is a continuous contract which would automatically rollover to the date of the most currently traded contract and continuous contracts provide a continuous stream of historical data that is merged and back adjusted. In NinjaTrader, for a continuous contract you'll still be using the standard symbol but the expiry used would be ##-##. In the case of CL, the symbol would be CL ##-##.

Please don't hesitate to reach out again if you require further assistance.

thanx chris

till now i can't get the point ?

what means (merged and back adjusted) ?

if i load chart of 2000 days for CL 07-17 and CL ##-## ? how they differ ? which one has true data ? which one reflect the real prices ?

thanx for going in details.

[NinjaTrader_ChrisSch]

Hello omrangassan,

Thanks for your post.

Merge policies set how NinjaTrader handles the merging of historical data for futures contracts.

MergeBackAdjusted uses data from each individual expiry month across the time span of the historical data requested. Offset* values will also be used to back adjust the historical data to match the next front month.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract months were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data and an Offset value will be used to connect the last 06-10 contract data point with the first 09-10 contract point. The result is a continuous chart of ES front month data for the dates selected.

MergeNonBackAdjusted uses data from each individual expiry month across the time span of the historical data requested. Offset values are NOT used and leaves historical data as raw data.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data; however, NO Offset value will be applied. The result is a continuous chart of ES front month data for the dates selected.Significant price gaps in the chart may be present due to changes in contract values that were NOT Offset.

DoNotMerge will not merge any data and only show historical data for the front month selected.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month were the front month during that time span (06-10 and 09-10). The 06-10 data will NOT be merged and only data for the 09-10 contract will be used. The result is a chart that goes as far back as there is data for the selected front month, which may be less than the requested date range.

I would also like to point you to the "Understanding Merge Policies" section of our NinjaTrader 7 Help Guide: http://ninjatrader.com/support/helpG...rical_data.htm

Please don't hesitate to reach out again if we can be of further assistance.

[omrangassan]

Hello omrangassan,

Thanks for your post.

Merge policies set how NinjaTrader handles the merging of historical data for futures contracts.

MergeBackAdjusted uses data from each individual expiry month across the time span of the historical data requested. Offset* values will also be used to back adjust the historical data to match the next front month.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract months were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data and an Offset value will be used to connect the last 06-10 contract data point with the first 09-10 contract point. The result is a continuous chart of ES front month data for the dates selected.

MergeNonBackAdjusted uses data from each individual expiry month across the time span of the historical data requested. Offset values are NOT used and leaves historical data as raw data.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data; however, NO Offset value will be applied. The result is a continuous chart of ES front month data for the dates selected.Significant price gaps in the chart may be present due to changes in contract values that were NOT Offset.

DoNotMerge will not merge any data and only show historical data for the front month selected.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month were the front month during that time span (06-10 and 09-10). The 06-10 data will NOT be merged and only data for the 09-10 contract will be used. The result is a chart that goes as far back as there is data for the selected front month, which may be less than the requested date range.

I would also like to point you to the "Understanding Merge Policies" section of our NinjaTrader 7 Help Guide: http://ninjatrader.com/support/helpG...rical_data.htm

Please don't hesitate to reach out again if we can be of further assistance.

thats too clear , thanx sir

now - which type of data is the most accurate for backtesting strategies and statistical analysis ?

[NinjaTrader_ChrisSch]

thats too clear , thanx sir

now - which type of data is the most accurate for backtesting strategies and statistical analysis ?

This would really come down to your own personal preference and what you are testing for.

If you want to test over seamless data - mergebackadjusted

If you want to test overall historical data sets but not alter the data - MergeNonBackAdjusted

If you want to just test the raw data of the contract and not others - DoNotMerge.

Thank you and please let us know if we may assist further.

[omrangassan]

This would really come down to your own personal preference and what you are testing for.

If you want to test over seamless data - mergebackadjusted

If you want to test overall historical data sets but not alter the data - MergeNonBackAdjusted

If you want to just test the raw data of the contract and not others - DoNotMerge.

Thank you and please let us know if we may assist further.

Thanx Chris

what does (use global settings ) means ?

[NinjaTrader_ChrisSch]

Thanx Chris

what does (use global settings ) means ?

Hello omrangassan,

Using global settings just means using the default data settings found in the Tools > Options > Data tab.

I look forward to being of further assistance.