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RTH Session Range Error for Daily Pivots
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RTH Session Range Error for Daily Pivots

  #11 (permalink)
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brucerobinson View Post
Hello Harry,
I've used ana43 for ages and get the referred to message oftentimes but have never been able to get my head around why or how to resolve.
For example, today I have it on FDAX, YM and ES but not GC, CL or NQ.
I'll post any screenshots you'd like if you would be kind enough to give your assistance, however that could be many - so I'll explain first......
I use your indicators in several instances - so I have Auto, RTH and ETH, Floor and Wide and Camarilla on FDAX, for example.
I use Session Templates for all instruments. So, for FDAX, I have 07:50 to 17:30 and 17:30 to 22:30 Sessions, UTC+1 Exchange, and RTH Session set to First.
I'm not actually sure in my mind what the message is telling me anyhow, i.e. what it means.
Any help appreciated. Any images required just ask. I haven't posted because it would be tens of them to cover everything
Best
Bruce

Edit - OK this thread motivated me to do something about it, atleast. So, it seems to me, this is when using the RTH Session for pivots and is to do with which Close Setting to use. I've got the Close Setting set to Daily Bars, which I do because I use the Kinetic EOD trick to get Settlement Close price.


By design the pivots indicators do NOT update daily data. This limitation also applies to the pivots indicator that comes with NinjaTrader. Before you use any of the pivots indicator with DailyBars setting, you need to make sure that your daily database has been updated!

Updating the daily data base can be done by downloading daily data via the Historical Data Manager, or simply by opening a daily chart for the same instrument.

The error message basically alerts you to the fact that the daily close is not within the range of the selected trading day. With a few rare exceptions (about every two years for index futures) this is impossible. Therefore the message points to a data problem, and you need to update your daily data to fix the problem.

I know that it would be more convenient to have the pivots indicator autoload daily data. However, there is no solution available to do this, as the design of NinjaTrader 7 does not allow for autoloading daily data synchronously. I think there will be some improvement with NinjaTrader 8 here.

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  #12 (permalink)
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Hello Harry,
Thank you for taking the time to reply, I appreciate it.
re: By design the pivots indicators do NOT update daily data. This limitation also applies to the pivots indicator that comes with NinjaTrader. Before you use any of the pivots indicator with DailyBars setting, you need to make sure that your daily database has been updated!
- I do. That is what I meant in my edit by 'I use the Kinetic EOD trick to get Settlement Close price.' I have a workspace with daily bars charts, I connect to Kinetic EOD feed, open my daily bars workspace, open Historical Data Manager, reload all historical data, close historical data manager, disconnect kinetic eod feed, close workspace and save changes. Hence my daily database is updated with the Settlement Close from Kinetic EOD feed. I then connect to my AMP feed, open my trading workspace and reload all historical data on each chart. I originally came across this procedure in a post of yours when I first started with anaPivots.
As I understand it, this is correct?

I wonder if the problem is due to my Session Templates and the Session I am choosing. e.g. for FDAX, the Settlement Close is 17:30 CET. I wonder if when I get the error message I am choosing a Session that does not include 17:30. If this is possibly the answer, could you tell me how the indicator determines which is the First, Second and Third Sessions. Over the years, I've read many of your early interactions with Ninja and others as Ninja has continually developed this aspect of NT7, addressing how to deal with Exchange maintenance breaks and that sort of stuff. Where I am - even now - not clear is the relationship between Local Time, Exchange Time per the Session Template, and how/what your indicator 'references' regarding the 'First Session' (I understand that generically First is the overnight, Second is day, and Third after hours. Is the 'First Session' determined by the indicator simply as the first Session times that are entered in the Template, no matter what time of day these are? I have a Session for FDAX from 09:00-17:30 CET for the Frankfurt Open Outcry session for RTH pivots. Which 'Close' is the error message referring to? The Settlement Close at 17:30 CET, or the Daily Close of the Session at 22:00 CET? If it is referring to Close at 22:00 CET, and the Session it is referring to as being 'outside of' I have set to 09:30-17:30 is this the reason?
Hoping you will shed some light for me, because it ties my head in knots (I know the problem will not be the indicator it will be operator error. I've seen how you get your head round this sort of stuff, for example your Opening Range and dealing with DST with the offset etc. Awesome, as our American cousins would say. Being in Europe I have the same challenges.
I too hope NT8 will improve on NT7 in this regard, but I don't have high hopes as yet. Yes, some improvement, but perhaps you could show them how to get the 'automatic' Rollover functionality to be based on contract VOLUMES not dates. On early looks it seems the new automated rollover method may be worse if you rollover using volume as I do. But perhaps it is better than competitors' products.
Kind regards
Bruce

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  #13 (permalink)
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Why don't you just post your chart and a screenshot of your session template?

But to answer your questions:

If you wish to display regular session pivots (for FDAX Xetra pivots) on a full session chart, then you need to tell the indicator the regular session times. This can be done via the session template.

My pivots indicators require a tripartite session template (for FDAX pre-session 8:00 AM - 9:00 AM, regular session 9:00 AM - 5:30 PM, evening session 5:30 PM - 10:00 PM, all times CET). Then the second session is the regular session, which is used to calculate high and low for next day's pivots.

The settlement price can only be taken from daily data, and for FDAX the settlement time is around 5:30 PM when the underlying XETRA market closes.

If you get an error message, something is wrong. That means either there is trade data missing, or the session template is false, or the indicator settings are not correct. Again, please post your chart and session template, or contact me via private message.

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....requires tripartite session template

Hello Harry and thanks as always (didn't get notification of your reply, not sure why).
It is the requirement for three Sessions for RTH I was unaware of, but suspected something along those lines hence my earlier line of enquiry.
I find I have a '2 Session' template for FDAX based on the Eurex trading hours and the Exetra Close.
I also have a 3 Session one I had prepared and previously used.
I suspect my other 'out of range of selected session' errors on other instruments appear for the same reason - RTH templates that have just 2 Sessions - the 'RTH Session', and 'the rest' being one other Session - along with incorrect Session selected in the indicator.
I think this may have come about iirc because I remember finding some posts about Ninja taking periods when markets close for maintenance as end of Sessions when they were constructing templates in the early days of this, or similar, and you said nooooo, don't go down that road, and I decided to keep it simple - 2 Sessions - RTH, and 'not RTH' hours

How does the indicator determine what is the First Session please?
Little by little my fog lifts.

Kind regards,

Attached Thumbnails
RTH Session Range Error for Daily Pivots-capture.png   RTH Session Range Error for Daily Pivots-capture1.png   RTH Session Range Error for Daily Pivots-capture2.png  
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brucerobinson View Post
Hello Harry and thanks as always (didn't get notification of your reply, not sure why).
It is the requirement for three Sessions for RTH I was unaware of, but suspected something along those lines hence my earlier line of enquiry.
I find I have a '2 Session' template for FDAX based on the Eurex trading hours and the Exetra Close.
I also have a 3 Session one I had prepared and previously used.
I suspect my other 'out of range of selected session' errors on other instruments appear for the same reason - RTH templates that have just 2 Sessions - the 'RTH Session', and 'the rest' being one other Session - along with incorrect Session selected in the indicator.
I think this may have come about iirc because I remember finding some posts about Ninja taking periods when markets close for maintenance as end of Sessions when they were constructing templates in the early days of this, or similar, and you said nooooo, don't go down that road, and I decided to keep it simple - 2 Sessions - RTH, and 'not RTH' hours

How does the indicator determine what is the First Session please?
Little by little my fog lifts.

Kind regards,


RTH pivots: The indicator requires a tripartite session template. For example for FDAX you would use

8:00 AM - 9:00 AM pre-session (there is no trade data prior to 8:00 AM)
9:00 AM - 5:30 PM regular XETRA session
5:30 PM - 10:00 PM evening session (there is no trade data after 10:00 PM)

The indicator detects these sessions as first, second and third session. The second one is the regular session, which you want to use to calculate the regular session XETRA pivots. Therefore you need to select "Second" for the RTH session via the indicator settings.

If you use a two-session-template, the indicator cannot identify the regular session and cannot calculate regular session pivots.

I have explained all this and already posted a few session templates that you should find in these threads:

https://futures.io/elite-circle/6055-correct-sessions-your-charts.html
https://futures.io/elite-circle/3790-ninjatrader-7-toolbox-floor-pivots.html

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  #16 (permalink)
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I am not worthy

Sorry to have bothered you Harry, I simply wasn't aware you'd gone to the trouble of preparing those guides/threads. I think I started on v39 and just kept updating each time I came across a new release.
Much appreciation & respect

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