NinjaTrader 7 Indicators - Grain Daily Price Limit

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Grain Daily Price Limit

This indicator plots the up/down limit prices for grain futures, using the contract rules and the previous day's official close.

It works with CMEGroup/CBOT regular & mini-sized futures for Corn, Wheat, Rough Rice, Soybeans, Oats, Soybean Oil, & Soybean Meal

Grain price limits are set based on the previous day's official close. But for grains the previous day's official close is set by the Pit Committee, it cannot be calculated from intraday data. This indicator gets the official close using daily bars, which aren't plotted but are needed for the calculation.

This requires that your data provider use the official daily close for its daily bars. IQFeed and Kinetic do. Interactive Brokers does not (IB's daily bars will give the price of the last trade). If you want to use this indicator with IB or some other intraday data provider who doesn't provide the official daily close, you can first connect to Kinetic (free for daily data), then to IB.

Near the expiration of the contract, when the limits come off, nothing is plotted.

This indicator will require editing if CMEGroup changes the contract rules.

Exported using NinjaTrader Version 7.0.1000.7

12/5/2011: Fix to include Corn limit price rule change of 8/22/2011

Category NinjaTrader 7 Indicators

Details: Grain Daily Price Limit
Category: NinjaTrader 7 Indicators

October 29th, 2011
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