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Indicator for OHLC for RTH session for ETH chart

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    Indicator for OHLC for RTH session for ETH chart

    Hello,

    I like to trade the OHLC prices of the /ES USD markets from 8:30 to 3:10 (open to market close), but I also use EMAs that use prices for 24 hours of trading (or the ETH session).

    Is there an in NT8 Indicator that plots OHLC prices to the ETH session chart and the OHLC values can be used for backtesting with Strategy Analyzer?

    For instance on 12/19/2018 for /ES day (RTH 8:30 to 3:10 central time) session the OHLC (see attachments) was:

    Open 2697.25
    High 2697.50
    Low 2683.75
    Close 2683.50

    It would be great if I had an indicator that automatically calculates this after market and use for the next days trading session.

    Thank you
    Attached Files

    #2
    Hello,

    Thank you for the post.

    This could certainly be possible although I am unaware of a specific item with this description. Likely the easiest way to accomplish this would be to run the strategy on a default 24/7 chart and then add time filters for the Trading specifically. The remainder of the script could calculate indicators over the 24 hour session.

    If any members of the forum know of an item with this description I am sure they will also reply, otherwise this would likely need to be created surrounding your overall goal.

    I look forward to being of further assistance.
    JesseNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Jesse View Post
      Hello,

      Thank you for the post.

      This could certainly be possible although I am unaware of a specific item with this description. Likely the easiest way to accomplish this would be to run the strategy on a default 24/7 chart and then add time filters for the Trading specifically. The remainder of the script could calculate indicators over the 24 hour session.

      If any members of the forum know of an item with this description I am sure they will also reply, otherwise this would likely need to be created surrounding your overall goal.

      I look forward to being of further assistance.
      Thank you Jesse for responding.

      I see your point.

      Just to make sure I understand what you saying, I can

      1. I would need to calculate Open price at 8:30am and Close at 3:10 pm and use that for the next day trading session.

      2. I am not sure how I would determine the highest and lowest price between 8:30 and 3:10pm

      Thanks

      Comment


        #4
        Hello,

        Thank you for the reply.

        Yes, in this case, you could accumulate the lowest and highest prices using some logic that limits that check to the times between 8:30am and 3:10 pm.

        Here is a simple example of storing the highest value, this could be used inside of a time filter for the 8:30/3:10 window:


        Code:
        private double highPrice = 0;
        private double lowPrice = int.MaxValue;	
        protected override void OnBarUpdate()
        {
        	if(Close[0] > highPrice)
        	{
        		highPrice = Close[0];	
        	}
        	if(Close[0] < lowPrice)
        	{
        		highPrice = Close[0];	
        	}
        
        }
        This would need reset at some point, likely at the start of the session with your time filter. You would reset the low to a max value as shown, and the high to a low value such as 0.


        I look forward to being of further assistance.
        JesseNinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_Jesse View Post
          Hello,

          Thank you for the reply.

          Yes, in this case, you could accumulate the lowest and highest prices using some logic that limits that check to the times between 8:30am and 3:10 pm.

          Here is a simple example of storing the highest value, this could be used inside of a time filter for the 8:30/3:10 window:


          Code:
          private double highPrice = 0;
          private double lowPrice = int.MaxValue;	
          protected override void OnBarUpdate()
          {
          	if(Close[0] > highPrice)
          	{
          		highPrice = Close[0];	
          	}
          	if(Close[0] < lowPrice)
          	{
          		highPrice = Close[0];	
          	}
          
          }
          This would need reset at some point, likely at the start of the session with your time filter. You would reset the low to a max value as shown, and the high to a low value such as 0.


          I look forward to being of further assistance.
          Thank you very much Jesse, i will review when I return home. Take care and Merry Christmas to you and family.

          Comment

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