PriorDayOHLC indicator + Range bars

[Botan626]

Hello!

PriorDayOHLC indicator plots lines with different values when changing the range value of the chart, sometimes the difference is +-50 pips.

Shouldn't the values of the lines it plots be constant and shouldn't it get its values from daily bars, like for example it does pivots indicator?

[NinjaTrader_Kate]

Hello Botan626,

Thank you for your post.

In the Data Series window for your chart, is Break at EOD checked? If this is unchecked, the bars don't necessarily end and begin at the actual start of the day and I would expect the prior day OHLC to change when switching between charts. Try it with Break at EOD checked - that way the range bars cut themselves off at the end of the previous day and all start the new day at the same spot.

Thanks in advance; I look forward to assisting you further.

[Botan626]

Hello Kate and thank you very much!

Your suggestion with Break at EOD helped to solve this issue, this was really quick I have to mention.

[Botan626]

While we are on this subject, may I ask you about calculation mode.

When I choose 'calculated from intraday data', and want to see a range chart from lets say Jan 2019, will NT8 really download the daily history for this symbol and pivots will use it for pivots calculation?

Sometimes when I do this and choose to load like 20 days, changing calculation method gives diffrerent results for pivots.

[NinjaTrader_Kate]

Hello Botan626,

Thank you for your replies.

The data that is able to be loaded would be dependent on your data provider and whether they provide the full data for that period. A lot of data providers will only provide a certain amount of historical tick data at a time - for example, with Kinetick, when requesting tick data between the hours of 9:30am ET to 4:30pm ET you will have access to 8 days of historical tick data. Other data providers may also restrict tick data accesss.

Daily bars in NinjaTrader have a fixed (trading hours) session template, this means your daily bars will be consistent. Depending on the instrument and on the data feed provider, the daily bars may or may not be adjusted for "settlement" price (The bars close value is changed to the settlement price once the exchange has communicated that information). The settlement price then would be included in the pivots calculations.

Calculate from intraday data means exactly that, the pivots are calculated based on the Open, High, Low and Close of the applied (trading hours) session template of bars that are not daily bars. You can, in this case, for example, set the (trading hours) session template to an RTH type instead of an ETH or any session that you prefer. In this calculate mode, the daily settlement price would not be used/considered.

I would expect the pivots to differ depending on the calculation method chosen, then, since they are calculating on different data.

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

[Botan626]

I meant the easiest case of course like EURUSD with an end date of 01/31/2019, days to load = 100 and FXCM as data provider.

>>You can, in this case, for example, set the (trading hours) session template to an RTH type instead of an ETH or any session that you prefer.

Could you, please, give me more info about this, what are RTH and ETH?

I simply put my NT8 time zone to UTC+3 and configured my trading hours template the way the chart has 5 full daily candles in the week. Monday 12:00am is the start time and Saturday 12:00am is the end time. 12:00am is the time when NY session ends. Most decent brokers run their servers and UTC+3 time zone.

[NinjaTrader_Kate]

Hello Botan626,

Thank you for your reply.

Ah, I was unaware you were using Forex - in that case, as long as you're using Break at EOD on your data series like we looked at for the Prior Day OHLC, those values should be the same from my testing. Would you be able to provide screenshots of what you are seeing?

Thanks in advance; I look forward to assisting you further.

[Botan626]

Thanks for your replies Kate, when I will see any discrepancy in the values for indicators, I will come back here and provide some screenshots for sure.

Always a great help here.

[Botan626]

Hello Kate,

Found one case of mismatching.

GBPUSD 12/03/2019, pivots and high/low lines on the 350R chart are correct, on the 300R chart not.

[Botan626]

But can I make PriorDayOHLC and pivots use daily bars for their calcualtions and still have Break at EOD unchecked?

When Break at EOD is checked, it messes the range bars, the last one for the previos day will cut itself off and an extra bar with lower range (e.g. chart is 300R and an extra bar is 140R) can be added.

This is bad for the cases when the move for the instrument started at the previous day and contniues for the current day, range bars with big value can give an entry into such moves, but then they have to be consistent, the cutting off and adding extra bar ruins them and price analysis, that must be the reason why unchecked Break at EOD a long time ago.

[Botan626]

This is the case when pivots use daily bars for calculation and differ with Break at EOD on and off.

Another one is EURJPY, 500 range, end date 03/08/2019.

[NinjaTrader_Kate]

Hello Botan626,

No, in order to have them be the same on all your range charts, you'd need to have Break at EOD selected, or the results would be different for Prior Day OHLC. That would be expected since the range bars start at different times.

As far as pivots go, I'm not able to reproduce different values for different time frames on my end when using daily bars as the calculation mode regardless of Break at EOD setting. Are you certain you have data for the whole time frame you're trying to calculate the pivots on? You can double check by making sure you've got historical tick data for the full time period in your Tools > Historical Data window.

Thanks in advance; I look forward to assisting you further.

[Botan626]

https://ninjatrader.com/support/help...eak_at_eod.htm
In the Help Guide it says very good why I'd want to have Breal at EOD disabled: "However, for other bar types such as Range, Point and Figure, or others which are built around price action, enabling this property may cause bars to complete before their criteria has been satisfied. If you prefer the bar to satisfy to completion before creating a new bar, regardless of the time of day, you will want to ensure you have disabled the Break EOD property."

I want to keep range bars consistent.

The PriorDayOHLC indi's purpose is to plot lines based on the previous day OHLC values, as its name states, so as I understand, currently it works inefficiently and not correctly while not being able to determine properly the previous trading day, and should learn to use daily bars like pivots indi does in order to obtain accurate OHLC data. Does it make sense?

Re pivots, yes, I have historical tick data for both EURUSD and EURJPY for 03/06/2019, 03/07/2019, 03/08/2019.

[NinjaTrader_Kate]

Hello Botan626,

Thank you for your reply.

The short answer on the Prior Day OHLC indicator is that it's simply not programmed to use daily bar data - it uses whatever data series it's applied to. It would certainly be possible to create a previous day OHLC indicator that utiltizes the previous day's daily bar if you would want to create that yourself.

I've created a short video confirming that using daily bars with the Pivots indicator should yield the same result whether used on Break at EOD or not:

https://www.screencast.com/t/hJghAymfrBZy

Can you replicate the results in my video, or do you still get different results using Break at EOD or not when testing on the same time frame I'm using?

Thanks in advance; I look forward to assisting you further.

[Botan626]

Hello Kate,

I guess using daily bars for calculation was added to pivots exactly for the not based on time type of bars charts. Can we agree that the Prior Day OHLC indicator is underdeveloped for this matter? Any chance NT team could improve it and make it more flexible?

For that end date and that timeframe with EURUSD pivots show the same values with Break at EOD on and off on my side too. For that 2 cases I ddescribed in post #11 -- not. So maybe pivots has some bugs? Could you, please, try them too? I suppose all you need is to type in the end dates I was using and NT8 will download the needed history by itself. Its just a different end date.