tst1 

Too bad, that slows the process down a bit... I don`t need the past data to be adjusted,i just need the ''carryover'' from the previous sessions.And have this carrier seamless.

Sorry for being thick skulled but I need more clarification. Let me put forth an example.

Actual Price 1000
Gap
Actual Price 2000

What would the new data points look like?

NinjaTrader 

Sorry for being thick skulled but I need more clarification. Let me put forth an example. Actual Price 1000 Gap Actual Price 2000 What would the new data points look like?

I was talking about the session degap,and here we`ve probably switched to the bar`s degap within the session,which is GREAT!

As per your example,actual close of the bar is 1000,and the open of the new bar is 2000.The new data is 2000,but the close of the prior bar is now also 2000.The gap removed, and now we have a seamless data.Same with the session`s gaps.But if you can do that with the bar`s gaps as well,it would be 2 times priceless.

tst1 

I was talking about the session degap,and here we`ve probably switched to the bar`s degap within the session,which is GREAT! As per your example,actual close of the bar is 1000,and the open of the new bar is 2000.The new data is 2000,but the close of the prior bar is now also 2000.The gap removed, and now we have a seamless data.Same with the session`s gaps.But if you can do that with the bar`s gaps as well,it would be 2 times priceless.

A little remark...Just to be clear,the actual price could be anything,but the current bar`s(after the gap)open should match the prior bar`s close.

There are some limitations linked to the fact that NinjaTrader stores data in local time:

-> When I want to use data from my CET NinjaTrader install for my EST NinjaTrader install it requires a prior complex conversion.
-> The transition from historical data to market replay data sometimes produces gaps, if the PC time is not set to Eastern time.
-> I cannot display charts in exchange time.

I believe that storing data in UTC will simplify the database in the longer run.

UTC would seem like a v good solution actually.

Well said FT

I'm a newbie & do not know how to reference back to the other tread, so I have to copy what I've asked for help & the reply from Fat Tails below. (Bear with me).

If NT team is reading this. Please consider having the time stamp on the stored data be exchange time. Also allow chart to show exchange time. When one is trading an instrument outside his local time zone, he usually will know the exchange time in which the instrument is traded. The trader will definitely know the local time from the PC clock time.

*** My Help Request ***
NT7 & IB
Hi,
It seems a problem (or maybe not) when NT7 is working with IB as data-feed.
I've tried to work with NT Support team but can't get it resolved.
My local time zone is UTC+8.

When I plot the chart, I noticed that the time on the chart is using local PC clock time.
For equities, the chart shows 9.30pm (today) to 4am (the next day).
I'm using session template "US Equities RTH" with "The sessions are based on the following time zone ..." set as UTC-5.
I noticed that the data retrieved from IB stored in the Historical Data Manager also used the local PC clock time.
I want both the chart & data collected from IB to show exact EST. Can I do it?
I've worked with NT support team & their solution is to set my local PC clock time to EST.
Please advise if there is another way to do it without touching my local PC clock time.
I'm concerned whether the data loaded from IB using local PC clock time will have any implication when I use them for backtesting, strategy development, etc. Hence, I would like the data with exchange time captured.

I've tried the following options & they didn't work too.

1. I've copied the "US Equities RTH" template & changed the time zone to UTC+8.
Result: Chart not populated with any bar.

2. I've copied the "US Equities RTF" template & changed the 5 trading days as
Mon 9pm to Tue 4am
Tue 9pm to Wed 4am
:
Fri 9pm to Sat 4am
Time zone set to UTC-5 (EST)
Result: Chart not populated with any bar.

3. Same as (2) except time zone set to UTC+8
Result: Chart shows local PC clock time again. The data loaded in Historical Data Manager is also using local PC clock time again.


*** Fat Tails Response ***
NLD1888 View Post
Hi,
It seems a problem (or maybe not) when NT7 is working with IB as data-feed.
I've tried to work with NT Support team but can't get it resolved.
My local time zone is UTC+8.

When I plot the chart, I noticed that the time on the chart is using local PC clock time.

Fat Tail response:
NinjaTrader always shows local time.


NLD1888 View Post
For equities, the chart shows 9.30pm (today) to 4am (the next day).
I'm using session template "US Equities RTH" with "The sessions are based on the following time zone ..." set as UTC-5.

Fat Tail Response:
This is correct. The US currently has summertime, so the difference with UniversalTime is reduced to 4 hours. As your UTC + 8, the total difference between US and you is 12 hours, and the US stock market opens at 9:30 PM your time.


NLD1888 View Post
I noticed that the data retrieved from IB stored in the Historical Data Manager also used the local PC clock time.

Fat Tails Response:
NinjaTrader always stores data by using timestamps of your local time. This is in fact a very bad choice, for several reasons

-> in case that your local time switches from summertime to wintertime and the exchange time does not, you will get two bars with the same timestamp
-> you cannot share your data easily with somebody located in a different time zone

But things are as they are, so we have to accept it.


NLD1888 View Post
I want both the chart & data collected from IB to show exact EST. Can I do it?
I've worked with NT support team & their solution is to set my local PC clock time to EST.
Please advise if there is another way to do it without touching my local PC clock time.

Fat Tail Response:
The only way you can do that with NinjaTrader is to set your system clock to EST.


NLD1888 View Post
I'm concerned whether the data loaded from IB using local PC clock time will have any implication when I use them for backtesting, strategy development, etc. Hence, I would like the data with exchange time captured.

If you use local time, there will be now implication on backtesting and strategy development. However, if you use time filters, you would need to use exchange time and then convert it to local time. This is not difficult to do with NinjaScript, see below.


NLD1888 View Post
I've tried the following options & they didn't work too.

1. I've copied the "US Equities RTH" template & changed the time zone to UTC+8.
Result: Chart not populated with any bar.

2. I've copied the "US Equities RTF" template & changed the 5 trading days as
Mon 9pm to Tue 4am
Tue 9pm to Wed 4am
:
Fri 9pm to Sat 4am
Time zone set to UTC-5 (EST)
Result: Chart not populated with any bar.

3. Same as (2) except time zone set to UTC+8
Result: Chart shows local PC clock time again. The data loaded in Historical Data Manager is also using local PC clock time again.

Fat Tails Response:
Do not play around with templates, in the end you will make things worse. The template ALWAYS AND WITH NO EXCEPTION needs to use exchange time. If you do not follow this rule you will run into daylight savings and other issues. Never use the template 24/7, never use the template 24/5. They are useless. Store the appropriate template for each instrument and save it under instrument settings, only use charts with instrument settings.

If you follow this rule all your strategies and backtests will work correctly.

The only thing that you need to pay attention to is time filters. You strategy runs in local time. The logic of your timefilter needs to follow exchange time, so you need to convert those times.

Example: In a strategy you only want to enter a trade between 9:30 AM and 11:30 AM or 2:00 PM and 3:45 PM exchange time. Now you cannot simply add 13 hours to the time window in exchange time and then use the result in local time. This will fail, because the time difference between EST and your timezone is 12 hours in summer, but 13 hours in winter. Your backtest will go wrong.

NinjaScript provides an easy way of converting the exchange time windows to your local time. The method reads


Code

localTime = TimeZoneInfo.ConvertTime(exchangeTime, Bars.Session.TimeZoneInfo, TimeZoneInfo.Local);



Enter the time filters in exchange time and then convert them, and you will not run into issues.

None of the above is linked to Interactive Brokers.

Would like to have support for Natural Hours mode for hourly chart ( similar to TS) - basically - if 60 minute chart is picked - all the bars would align to hours irrespective of the session template picked.

At present - when ETH is picked for CME - the hourly candles would be lined up as 8:30, 9:30 etc. Would like to have them plotted with 8:00, 9:00 etc. At present as a work around - using 24 hour charts. The problem with using 24 hour chart - when 5 minute chart is used - there is an extra candle with time stamp 15:20 CT - which technically shouldn't exist)

This is the option in TS to get the desired result:

• Ability to display multiple instruments on the same chart panel (Y-axis becomes %)
  
• Intrabar-capable backtesting already. Workarounds don't cut it for strats that use tick-based or price-increment bars.
  
• A single historical file format for backtesting/optimization and replay.
  
• Ability to optimize on other efficiency factors: Sharpe Ratio, MAE, expectancy, for example.

Glad to see this thread!

Edit- sorry, I've got more to say about this:
In their current state, Backtesting and Optimization are really more toys than useful tools. Multiple-timeframe workarounds aside, unless your strat is built to work off of OHLC, it seems like backtesting and optimization in NT is pretty much worthless.

I don't think anyone's looking for guaranteed "just like live" sim executions or pin-point accuracy, but at least something that offers the speed and analysis toolsets available in backtesting/optimization with the “closer to reality” granularity of market replay.

jacqudy 

[LIST] In their current state, Backtesting and Optimization are really more toys than useful tools. Multiple-timeframe workarounds aside, unless your strat is built to work off of OHLC, it seems like backtesting and optimization in NT is pretty much worthless. I don't think anyone's looking for guaranteed "just like live" sim executions or pin-point accuracy, but at least something that offers the speed and analysis toolsets available in backtesting/optimization with the “closer to reality” granularity of market replay.

This is so crucial. You are completely correct. For me, a fully automated day trader, backtest is pretty much useless. I transitioned a while ago to using only replay, which is just about OK for testing, but it takes me ages to test because replay has had very very few useful features added for years now (e.g. skip days with no data, which I asked for probably three years ago) Other features - instrument can be saved as default for strategy, set of strategies can be saved for re-running (do you realise how long it takes to add 5 strats to replay every half an hour??), allow 750x and 1000x replay (my CPU is rarely above 20% so why not?)

I can't speak for chart traders, but for automated traders, Ninja is simply not professional enough. Sure you can write any strategy you like, but to be professional you have to test it properly, and Ninja is sorely lacking.

And the worst thing is that I've seen little from Ninja that even hints that they may address this soon. I believe they may have a better granularity for backtest in the pipeline. I guess since most traders lose money anyway, it's better to do stuff for new business than support the few people around who do have decent workable strategies (and who've already paid their license)

Quoting 

This is so crucial. You are completely correct. For me, a fully automated day trader, backtest is pretty much useless.

Its probably my misunderstanding, but why is it useless?
If you need granularity you can get the absolute granularity with dataseries of 1 tick.

Baruch