Renko bars not working in NT7

May 23rd, 2010, 08:05 PM

Todd

I just tested the MR that Rjay posted. I tested a 2 MR bar chart next to a 1 min chart - both chart using CMI pivots. I tested them using CL 07-10.

In NT6.5, my MR charts and my NoGapRange charts had inaccurate pivots because the last bar of the day didn't necessarily end right at the session close which created an inaccurate "prior day close" which in turn created an inaccurate pivot.

NT7 changed something which causes the prior day close on the RNG bars and the SBS bars to be accurate. I've been told that NT7 cuts off the last bar of the day at the close of the session. That has worked great in NT7 for RNG and SBS.

However, I just tested MR bars and they are not cutting off at the session close so the pivots are inaccurate.. at least on my CL 07-10 charts.
This may not matter to those who don't use pivots but unless someone can fix this issue, I won't be able to use the MB bars in NT7.

I'll keep testing them on other instruments.
I like the MR bars best but I can't have them creating inaccurate pivots on my charts.

Can someone modify these bars to truncate at the session close?

Todd

edit - I just tested the MR bars on ES 06-10 and the prior day close, prior day high and low were very close to the 1 minute ES chart. Don't know if that CL issue is because of some CL data issues or what. With CL, there was one day last week when the 1 minute chart had a totally different prior day high than the MR bar chart.

Todd,

Don't know if this will help, but I was having a different issue (can't remember what, now) & I changed my Session Template from <instrument settings> to Default 24/7. I don't seem to be having the bar problem you are. Maybe this will help ? ?

May 23rd, 2010, 08:09 PM

You need to look at your chart, where that high comes from. The problem might be that some of the (non-supported) properties and methods of NT 7, in particular Bars.FirstBarOfSession and bars.Session.GetSessionDate() do have bugs.

So if your pivot indicator uses one of these, the problem may be elsewhere.

Todd

edit - I just tested the MR bars on ES 06-10 and the prior day close, prior day high and low were very close to the 1 minute ES chart. Don't know if that CL issue is because of some CL data issues or what. With CL, there was one day last week when the 1 minute chart had a totally different prior day high than the MR bar chart.

May 23rd, 2010, 09:10 PM

Wizard,

If I wasn't using pivots, I would probably set my chart session to 24/7 but the pivots require the accurate session to create the accurate session high, low, close.

But since you don't use pivots that might be perfect for your situation.

Todd

May 23rd, 2010, 09:25 PM

Fat Tails,

Thanks for mentioning those things.

All I know is that RangeNoGap and SBS Renko show the correct prior day close but MedianRenko does not, in many cases that I've looked at tonight.

If someone could solve that issue or make a bar type that looks like the median renko but works better with NT7, that would be great. If that doesn't happen, I'll just have to be happy with SBS Renko and RangeNoGap bars.

Todd

June 2nd, 2010, 04:52 PM

Is there anyone trading either SBS or Wicked in a strategy? Are the backtest results anywhere near realtime?

July 10th, 2010, 06:25 AM

roonius

Attached you will find my own conversion of SbSRenko to NT7. (I will not bother with MedianRenko anymore)
There is a numeric value which can be set at (1==reset at session break) (any other value = not to reset).

NT7 introduced cashing of bars for performance improvements, so keep in mind that "not reseting" at session break can cause unexpected results. Feel free to post any issues.

P.S. Fix in post #35 is very sensitive and I personally would not recommend using it on other bar types. It might have other underlying issues. As always - use at your own risk

Hi Roonius,

I was wondering if you would be able to help .... I am trying to reference SbSRenko bars in a multi-time frame strategy ..... I use Add(PeriodType.Custom6, 6) and I've noticed that I am referencing a chart with "1==reset at session break" where as I would like to use "any other value = not to reset" option ...... do you have suggestions on how to go about this? .... I tried adding Vaule2 = 2 in SbSRenkoBarsType.cs per attached image hoping I would force a strategy to use chart's default setting but this does not seem to work ...... any help is greatly appreciated .........

July 26th, 2010, 12:47 AM

aslan

In NT7, the Ninja guys decided that change the bar formation code to reset bars at a session boundary in addition to whenever a bar actually closes. Some people like this, some don't. Of course in their infinite wisdom they decided to not give you an option of choosing how to do the reset (many have asked for it).

The WickedRenko does reset on a session boundary, mainly because I don't want my bars to depend on the start date that is loaded.

If you want to change this behavior, there is a line of code near the begining of the bar type code like the following:

Code

if ((bars.Count == 0) || (bars.IsNewSession(time))

Change that to this:

Code

if (bars.Count == 0)

Save, recompile, restart, and you should be good to go.

Is it possible to use Aslan's variable lines above to reset at session break for the SbSRenko NT 6.5???

Dunke (donut).

COTtrader

August 10th, 2010, 07:21 PM

Zoethecus

Is there anyone trading either SBS or Wicked in a strategy? Are the backtest results anywhere near realtime?

This is another post that received no response.

I get the feeling that those of us who favor ATS over other methods are in the minority here.

August 10th, 2010, 10:28 PM

Zoethecus

This is another post that received no response.

I get the feeling that those of us who favor ATS over other methods are in the minority here.

Well, a great number of people here are sharing their methodology when it comes to discretionary or mechanical trading.

If you want to encourage more ATS discussion, you could do what I and a few others have done, and create a new thread and post the complete source code to some of your ATS's that you have worked on and want to try out, then solicit feedback and improvements from the community. I think that is the best way to encourage more participation.

Mike

August 10th, 2010, 10:45 PM

COTtrader

Is it possible to use Aslan's variable lines above to reset at session break for the SbSRenko NT 6.5???

The bars.IsNewSession was added in NT7. If you want to do it in NT65, you have to figure out how to determine if a new session started, which in NT65 is not so easy (at least for me).

Renko bars not working in NT7

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Renko bars not working in NT7