Testing OHLC, pivots and session breaks

[NinjaTrader_Dierk]

This is beyond what we can support, but here are some hints:
- .NET XML serialization has some limitations on serialization e.g. TimeSpan, Color etc. Please check out the .NET documentations for details
- please check out the VolumeZones indicator on how we overcaem this limitation to seralize the BarColorDown property: basically the original BarColorDown property can't be XML serialized, thus there is a "string" equivalent BarColorDownSerialize (XML serialization on strings works fine)

[Harry]

Problem solved

Thanks for the hint, Dierk. That was very helpful.

[Harry]

Thanks again for your help.

With your help I managed to code an inidicator that now displays OHLC and Session Pivots correctly. Thanks again. The indicator can be downloaded in the indicator section. It is a bit cumbersome, but it does the job.

For me this was a major problem, as I was used to have "clean" Pivots from QuoteTracker (which I still like very much, although it has other shortcomings...)

My hope is that you will implement session times on the instrument level / market level (needs to be done in local time of exchange to cope with daylight savings time). The session times could then be accessed by the session bar (instead of the chart settings that are in local user's time and do not depend on instruments).

Anyhow, NT is a great product, and it is getting better every day. I just installed NT Beta 6.5.9. Everything works fine, including Workspaces and FOREX with IB!

[NinjaTrader_Ray]

Instrument level session definitions are on our list for NT7 later this year.

We did ammend our Pivots() indicator with Beta9 to try and get the HLC values from the prior day Daily bars if the provider supports it.

[Harry]

Daily Pivots work on 6.5.9 with IB

Great work. I just tried your new pivots indicator. For all American futures and EUREX futures as well as for FOREX this indicator gives exactly the same values as the one I have programmed. Moreover your indicator also gives the right values for larger time frames!

But it does not work for IPE futures with IB data supply. Your indicator comes a bit late, it displays something similar to yesterday's Pivots. Also daily NT charts do display the wrong date and display wrong data.

So I checked IPE:@COILJ8 daily chart for February 14 with various software and always the same IB data. Here are the results:

Software...........Date stamp.....Open.........High........Low........Clos e

TWS Charting........02-14.........93.10........95.36......93.02.......95. 00
Amibroker..............02-14.........93.10........95.35......93.02.......95. 00
QuoteTracker.........02-15.........93.10........95.35......93.02.......95.00
NinjaTrader............02-15.........93.10........95.35......93.02.......94.73

For other IPE futures the results are similar.

NinjaTrader daily bar takes the OHL from yesterday and the close would be the current value of today... so it is a mixed bar. Maybe you should check this. IB does not seem to be easy, but Amibroker shows that it can be done!

[NinjaTrader_Dierk]

>> Also daily NT charts do display the wrong date and display wrong data.
Sorry, not sure I follow.

Also: Not sure I follow your comment on the close.

[Harry]

Sorry, if I was not clear. NT shows the daily bars of IPE futures with a false date. The Feb 14 bar is shown as Feb 15 bar. The Feb 15 bar is shown as Feb 16 (so you can see a Saturday bar on the NT chart attached).

During the day, the current daily bar is shown as Previous Open, Previous High, Previous Low and Current Close (because the Current Close from the intraday data is taken until the bar is complete...)

As the Pivots indicator uses daily session data, for IPE it always shows you yesterday's Pivots on intraday charts.

The problem only occurs with IB data supply and IPE futures. All other futures contracts that I checked are correctly displayed.

[NinjaTrader_Dierk]

This is not an IB live account (since you can't connect over weekend), no? Is this a paper trade account? NT does not support IB paper trade account.

[Harry]

Dierk, I have a live account with IB. You cannot connect to IB live accounts during the week-end before Sunday 12 pm ET.

I am also using a simulation account that I created within my live account and which I use for testing. Live and simulation account have the same market data.

[NinjaTrader_Dierk]

Thanks for clarification. We'll look into.

[NinjaTrader_Dierk]

This is the data returned natively from IB:
2008-02-18 07:08:07:765 (IB Live) IB.HistoricalDataRequest.Process: date='20080215' open=93,1 high=95,36 low=93,02 close=95 volume=127442
2008-02-18 07:08:07:765 (IB Live) IB.HistoricalDataRequest.Process: date='20080216' open=94,95 high=95,8 low=94,02 close=94,81 volume=130865

... which is what NT displays.

I suggest comparing NT charts with IB native charts and see if there is any difference.

[Harry]

Thanks for your answer. I followed your suggestion - using my live account (just to make sure). There is no saturday candle on TWS, but on NinjaTrader. The NT bar of today is not showing Current OHL as it usually would. Please see next reply for TWS candle data.

[Harry]

Candle data

Just candle data for the previous TWS chart.

[NinjaTrader_Dierk]

Thanks for feedback. Where would I see on the IB chart that the candle which is on 16th really is on 15th on the IB chart?

[Harry]

That is why I sent you the candle data, because it can't be seen on the screen! OK, just to show I used an Amibroker Daily Chart with my IB feed.
The date of the candle is displayed on the upper left corner of the chart.