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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......
Can you help answer these questions from other members on NexusFi?
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.
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?
Legendary / Stochastic Calculus is not your friend
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Platform: Ninjatrader, Python API
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@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.
