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Stock Exchange Session / Time Color Indicator

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Stock Exchange Session / Time Color Indicator

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  #11 (permalink)
 Fat Tails 
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drunkcolonel View Post
Hi Harry,

I was wondering if you meant 8:20 Eastern Time? Per my SessonManager.png it says 7:20 and I think it is talking about Central Time... though it does not specify... and I would be an hour "earlier" which for me would be 8:20.

Yes, I meant 7:20 AM CT and was thinking 8:20 AM Eastern. Of course, the FOREX market opens around 8:00 AM, I would not want to be over an hour late!

drunkcolonel View Post
1. Are Extended Trading Hour session templates best for what I want to do?

I wanted to be able to trade other Exchanges, knowing that liquidity/volume/participation is coming into the market around certain hours. However if we take the London Stock Exchange as an example, are those blokes looking at an Extended Trading Hours session template? Or are the professional traders mostly paying attention to their (London Stock Exchange time zone adjusted) "Regular Trading Hours" session templates? Which lead to my last question:

2. Would it be better to use separate session templates based off what exchange is currently experiencing the most liquidity? That is: have two session templates: One for London... and trade with it accordingly -seeing what the folks across the pond "see", and another for New York... as liquidity from NY starts taking over... switch to what the New York professionals "see"... ?

You should definitely use an ETH session template. The official values published by all exchanges refer to the extended trading hours as per contract specifications. To start with use the regular ETH session template for the exchange as it comes with NinjaTrader.

Later you can subdivide your session template, if you wish to use specific indicators like the opening range or noise bands indicator.

Take into account local time and daylight savings schedules.

@monpere: Your indicator will not correctly take into account the shift of the London or Tokyo sessions versus the New York session. The London traders observe their own local time, and so do the Asian traders which do not have any daylight savings schedules.

@drunkcolonel: Particularly for a backtest, if you want to trade European exchanges, you would need to reference the local session in London time. This cannot be done via a segmented session template, because the session template can only use a single time zone, which would be either fit for the US, for London or for Tokyo, but not for all three of them.

Attached is the little indicator that takes into account the different timezones and which requires that you enter the London session in GMT (Greenwich Mean Time) and the Tokyo session in TST (Tokyo Standard Time). The indicator is attached. If you apply it onto a chart go back to end of March and watch how the pattern of the overlapping session changed, when London switched to summer time. This increased the overlap from the Tokyo and London business hours to 2 hours, but reduced the London - New York overlap. Also watch how this affected trading volume during the first two hours of the London session for currency futures.

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