@Joseph689: It all depends what you look for. In particular for futures the question is not evident.
(1) Do you want to calculate the OHLC from daily data (as published by the exchange) or from intraday data?
(2) Do you want to display high and low of the full session or the regular session?
(3) Do you want to display the close or the settlement price (for futures)?
Let me give two examples:
(A) High, low and close for $EURUSD
You wish to display the full session high and low and the last traded price. For displaying this with NinjaTrader, you would need to select the FOREX session template, which starts at 5:00 PM EST and ends att 5:00 PM EST next day.
You can now use the PriorDayOHLC indicator that comes with Ninjatrader. Open, high, low and close are taken from intraday data. This indicator cannot be used to display the settlement price, nor can it be used to display high and low from a regular session of a futures contract, but for the purpose of displaying OHLC for a FOREX instrument it is just fine. If you use an inappropriate session template, you will get false results.
(B) Regular session high, low and settlement for ES
For this purpose you may to use the SessionPivots indicator, which can be found here:
If you wish to display the regular session high and low, you need to tell Ninjatrader what the regular session is for a specified instrument. This is done via a session template that subdivides the day into a
*) The after session ends at 4:15 PM, but in order not to eliminate trade data prior to November 18, when the old session times were applied, it is better to use 4:30 PM
The session template should be saved and the preselected under instrument settings. Then, if you open any chart with instrument settings, the appropriate template will be used for each instrument.
The settlement price can not be calculated from intraday data, but should be taken from daily data. Therefore an indicator should be used that can access daily data (for the settlement) and intraday data (for the regular session high and low).
In any case it is up to you to specify which high, which low and which close (last traded, last quoted or settlement price) you wish to take.
The following 6 users say Thank You to Fat Tails for this post:
Firstly thank you for taking the time to educate me, and for clearing up my confusion in what exactly I was looking for!
Your indicator "SessionPivots V39" does exactly what I needed!! What I wanted was just the ES regular session high low...as per your instructions, I got it working perfectly!! I was a bit overwhelmed by all its settings.
It also helps to read the "Detailed explanations.." for the indicator.
Thank you again for helping this novice, Fat Tails!
philipp and trendisyourfriend: Thanks also
The following 3 users say Thank You to Joseph689 for this post: