Historical Daily Bar Generation

[Vispilio]

Hi,

I'm trading on Interactive Brokers via Ninja Trader, and I'm trying to create my own daily bars according to my own specified daily session values for some FX pairs.

However no matter what I select as the daily session, the daily bar values (OHLC) are taken from the Interactive Brokers' own session times for the selected instruments. For example IB uses 13.15 - 13.00 EST for trading NZD pairs, and the daily bars generated on NT7 for these pairs (eg. GBP.NZD and NZD.USD) always seem to default to this session, no matter what I select.

Is there a way to create historical daily bars based on the open and close periods of our own sessions ? instead of whatever IB is dictating ?..

Similary 1440m charts also don't solve this issue, as the historical daily candles (on NT7's historical database) are always created based on IB's session times...

ps.
Has this by any chance been fixed / customized on NT8 ?


Best,
Vispilio

[NinjaTrader_ChelseaB]

Hello Vispilio,

Daily bars come fully formed (with an Open, High, Low, and Close stamped by the data provider).

Because of this, session templates cannot be applied to daily charts.

Instead use a 1440 minute chart as this will allow the session template to be applied.

You have mentioned this is not a solution, however, this is the expected solution.

Can you demonstrate with a video that changing the session template on a 1440 minute chart does not change the data on the chart?

[Vispilio]

I can demonstrate with an example: When you pull up the 1440m chart, the data will show according to your session values on the chart; however the OHLC values on the Historical Data section of NT7 will still be identical to the default data session coming in from the data provider.

Our strategies are coded to get the daily values from historical data, not directly from the chart... if you have an example of a code that would instead call directly the open chart to extract the OHLC values for the algo's daily price calculations, that might help...

[NinjaTrader_JessicaP]

If you would like to be able to compare live data to historical data, NT8 has a "record live data as historical" feature that can be accessed via tools -> options -> market data. To compare live and historical data, then, you can set this to true and push OK, then record as much data as you would like to compare, then visit tools -> export -> historical data and follow the prompts. You can then immediately delete this historical data once you have exported it, uncheck "record live data as historical", reload historical data from your server, and export this file into a different filename. Finally, you can compare the two historical data files side-by-side in your favorite editor.

This said, Ninja can only work with the incoming data that IB sends it. If IB is sending your copy of Ninja filtered data, you will need to investigate TWS' configuration to prevent this from happening.