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Timeframe problems with HighD(1)


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Timeframe problems with HighD(1)

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  #1 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
 
Posts: 70 since May 2020
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OK I'm not a programmer (actually I took a class in Basic in 1985!). I've managed to code some of what I need in EL by culling bits and pieces from other indicators. I trade the e-mini contract, if I use HighD(1) in my indicator and the chart set on "daily" timeframe it returns the session High from the trading session from previous day before (from 6:00 pm est yesterday to 5 pm today). But when I switch the timeframe to 15 minutes- it returns the calendar Day High value from yesterday until 12:00 midnight. So basically when on Daily timeframe it returns the Trading session High- but if I drill down to lower time frames it uses a calendar Daily High. If prices stay within the session price range- everything is fine- but if prices break out over the session high between 6:00 pm est and midnight the data returned is wrong. Any help is appreciated......

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 TraderDoc2 
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If you plot a chart of @ES.D and then plot HighD(1) you will see that you are plotting the high of yesterday's trading session (the day session i.e. 9:30 AM to 4:15 PM Eastern Time). Likewise, you can define a custom session and get an analogous result - the high from the prior custom session is plotted. If you do not limit yourself to the day session (i.e. using the .D after your symbol as in @ES.D) or define your session, then you get the behavior you are describing. If you want to create a function that will return a certain price, or you want to plot that certain price, I have little doubt that it can be done. But we need to know exactly what data you are examining (e.g. I am plotting a chart of @ES 15 minute bars - regular session) and exactly what value you want the function to return, or the chart indicator to plot. This is unclear to me from your post.

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OccamsRazorTrader
Fort Myers Florida/USA
 
 
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The CME Globex session is from 6:00 pm (all est) until 4:15 pm the next day, takes a break between 4:15 pm and 4:30 pm, then resumes from 4:30 pm until 5:00 pm, at which time it closes until 6:00 pm. The High and Low values from those timeframes are what is displayed on a daily bar for symbol ESU21 using HighD(1). I want my indicator to display the High and Low data from the Globex session but on lower time frames. @ESU.D as well as ESU21.D appear to only show day session data- not overnight data. When I lower the time frame to 15 minutes on the chart (ESU21)- it does show price bars until 12:00 midnight, but the high from the day changes to represent the new data (High and or Low) after 6:00 pm until 12 midnight.

Would I have to customize the chart data to reflect the times the Globex market trades?

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 Devil Man 
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OccamsRazorTrader View Post
The CME Globex session is from 6:00 pm (all est) until 4:15 pm the next day, takes a break between 4:15 pm and 4:30 pm, then resumes from 4:30 pm until 5:00 pm, at which time it closes until 6:00 pm. The High and Low values from those timeframes are what is displayed on a daily bar for symbol ESU21 using HighD(1). I want my indicator to display the High and Low data from the Globex session but on lower time frames. @ESU.D as well as ESU21.D appear to only show day session data- not overnight data. When I lower the time frame to 15 minutes on the chart (ESU21)- it does show price bars until 12:00 midnight, but the high from the day changes to represent the new data (High and or Low) after 6:00 pm until 12 midnight.

Would I have to customize the chart data to reflect the times the Globex market trades?

@OccamsRazorTrader check your contract specs....no more trading break between 4:15 and 4:30pm eastern...now break is EOD at 5pm eastern, same open @6pm eastern.

This is potentially a huge issue depending on what indicators/timeframes you use for your trading.

cheers

DM

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