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Indicator to Plot the OHLC - user selected start/stop times
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Indicator to Plot the OHLC - user selected start/stop times

  #11 (permalink)
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I only trade the ES.
I can leave the Session template set to 'CME Global Index Futures RTH' if that makes things easier.

Opening times for the first hour low/high are 8:30 - 9:30 CST, Globex open 15:30 CST close 8:29 CST, and the London session times I'm interested in are 2:00 - 5:00 CST.

The Trade Station indicator didn't care what your session start / stop times were - you just entered the start hh and minutes mm - the stop time hh and mm - and it calculated the OHLC (you could turn on/off any of the OHLC lines) between the 2 operator input times based on what ever time the chart was using.

hope this helps. Really appreciate your help.

yes i can now change things in the code if i know what has to be changed to what. i just downloaded MS Visual Web Developer Express and made changes to a *.cs file but only did exactly what was posted in the Ninja forum. So I could edit the label in the code then compile.

Incidentally you did a great job on the Fib webinar - i learned a lot.

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  #12 (permalink)
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The indicator would not work with the RTH template, because this excludes the night session data, which are required to calculate Globex pivots and your London session pivots. The indicator only uses data on the chart. No data -> no values.

I will a look at this later in the evening and post a first trial version of the indicator, once I am finished.


rfiske View Post
I only trade the ES.
I can leave the Session template set to 'CME Global Index Futures RTH' if that makes things easier.

Opening times for the first hour low/high are 8:30 - 9:30 CST, Globex open 15:30 CST close 8:29 CST, and the London session times I'm interested in are 2:00 - 5:00 CST.

The Trade Station indicator didn't care what your session start / stop times were - you just entered the start hh and minutes mm - the stop time hh and mm - and it calculated the OHLC (you could turn on/off any of the OHLC lines) between the 2 operator input times based on what ever time the chart was using.


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  #13 (permalink)
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Sorry - you are right I have build a Globex/regular session template that i should have listed not the std template times.

I actually am using (all times CST) Sunday 17:00:00 - Monday 15:14:59, Monday 15:30:00 - Tuesday 5:14:59, repeats through Friday 15:14:59.

does that make sense now?

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  #14 (permalink)
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That's the standard CME US Index Futures ETH template, except you cut it short 1 second. I think you cannot enter seconds iinto the session template of NinjaTrader.


rfiske View Post
Sorry - you are right I have build a Globex/regular session template that i should have listed not the std template times.

I actually am using (all times CST) Sunday 17:00:00 - Monday 15:14:59, Monday 15:30:00 - Tuesday 5:14:59, repeats through Friday 15:14:59.

does that make sense now?


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  #15 (permalink)
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2-5 AM CST from my experience seems to be the more critical period for London/Europe trades of the ES futures. Would be interested in your observations.

I start trading pre-mkt about 7AM CST. If we are inside the London 2-5 AM CST then i look for possible fade of the London 2-5 H/L or a breakout or failed Breakout. Same for Globex H/L. can't tell you % likely hood of these trades working but i do look for these.

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  #16 (permalink)
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Okay - on time entry you are correct - i was just taking the time off the chart (lazy i guess) not the actual template. The chart shows the candle time to 00:00:00 but the template is set to 00:00.

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  #17 (permalink)
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Okay attached is what I think is the correct Session template - new to NT (Trade Station 7+ yrs) so let me know if it is correct

Attached Thumbnails
Indicator to Plot the OHLC - user selected start/stop times-cst-globex-session-temp.jpg  

Last edited by rfiske; July 28th, 2010 at 04:16 PM.
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Template is not correct. Timezone must always be exchange time, so you need to set it to Central Time. The Sunday start time will be 5:00 PM. All the other times are correct in Central Time.

Just use the existing template CME US Index Futures ETH. It is all done! Connect ES to this template via instrument manager. Use <instrument settings>, when you open a chart.

I did not forget about the indicator, but had no time yesterday to play around with it.



rfiske View Post
Okay attached is what I think is the correct Session template - new to NT (Trade Station 7+ yrs) so let me know if it is correct


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Fat Tails View Post
Template is not correct. Timezone must always be exchange time, so you need to set it to Central Time. The Sunday start time will be 5:00 PM. All the other times are correct in Central Time.

Just use the existing template CME US Index Futures ETH. It is all done! Connect ES to this template via instrument manager. Use <instrument settings>, when you open a chart.

I did not forget about the indicator, but had no time yesterday to play around with it.

Thanks - Got the changes - should have seen them myself. I know it should be CST and thus Sunday start time 5PM - duh! But another dumb mistake! Thanks again for the correction.

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  #20 (permalink)
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Opening Range Indicator


As a first answer to your request, I attach an indicator which plots the opening range for various futures contracts. I have done this for my own needs as well. There were four things I wanted to integrate:

(1) Display the open of the RTH session.

(2) If you put the indicator on a chart and then switch instruments, the indicator should automatically select the correct opening period for the instrument. For example the opening period for ES should be 8:30 to 9:30 AM CT, whereas the opening period for 6E should be 8:00 to 9:00 AM ET. This requires that the indicator knows the default values and that you can change them via indicator dialogue.

(3) With ever changing daylight savings times between Europe the US and the rest of the world, the indicator should adapt automatically to these times. So you cannot enter the opening time in your local timezone, but you need to indicate teh session length (close time as per session template - opening time). For example for ES the correct session length would be 15:15 - 8:30 = 6h45, for TF the session length would be 18:00 - 9:30 = 8h30.

(4) Some of the session start at strange times, like the GC session at 8:20 AM, or the SI session at 8:25 AM. If you use larger time frames the data required to calculate the opening range is not included with the chart data base. There will be no bar opening at 8:25 and you cannot display the correct RTH open. This requires to load minute data separately, and calculate the opening range from this data.

(1) to (3) are implemented with the current version, have kept (4) for future improvement.


Default session times based on ETH, opening period based on RTH

FOREX: ETH session 17:00 ET - 17:00 ET, opening period starts 8:00 ET
Currency Futures: ETH session 17:00 CT - 16:00 CT, opening period starts 7:00 CT
DX (Dollar Index): ETH session 20:00 ET - 18:00 ET, opening period starts 8:00 ET
CME Index Futures: ETH session 15:30 CT - 15:15 CT, opening period starts 8:30 CT
TF (Russell 2000): ETH session 20:00 ET - 18:00 ET, opening period starts 9:30 ET
EUREX Index Futures: ETH session 8:00 CET - 22:00 CET, opening period starts 9:00
CBOT Interest Rate Futures: ETH session 17:00 CT - 16:00 CT, opening period starts 8:20 CT
EUREX Interest Rate Futures: ETH session 8:00 - 22:00 CET, opening period starts 8:00
CL (WTI Crude): ETH session 18:00 ET - 17:15 ET, opening period starts 9:00 ET
BC (Brent Crude, ICE): ETH session 20:00 ET - 18:00 ET, opening period starts 9:00 ET
GC (Gold) : ETH session 18:00 ET - 17:15 ET, opening period starts 8:20 ET
SI (Silver): ETH session 18:00 ET - 17:15 ET, opening period starts 8:25 ET
HG (Copper): ETH session 18:00 ET - 17:15 ET, opening period starts 8:10 ET

To catch the correct opening period, you need to enter the difference between session end as per session template and the opening time.

The solution adapted may look complicated, but there are some advantages:

- The indicator will adapt to any chosen template and settings
- You can select the duration of the opening period (for example 5, 15, 30 or 60 minutes)
- You can switch instruments and the opening range will adapt to the instrument
- The opening range will remain correct, when the US has DST for Halloween and Europe is already back to standard time

Feedback welcome.

Attached Thumbnails
Indicator to Plot the OHLC - user selected start/stop times-6e-09-10-5-min-03_08_2010.jpg  
Attached Files
Register to download File Type: zip OpeningRangeV23.zip (7.0 KB, 126 views)

Last edited by Fat Tails; August 3rd, 2010 at 11:40 AM. Reason: chart added
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