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Session Manager Quirk?
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Created: by joe11 Attachments:0

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Session Manager Quirk?

  #1 (permalink)
Elite Member
chapel hill, nc
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 32 since May 2010
Thanks: 21 given, 4 received

Session Manager Quirk?

Has anyone figured this out in NT7?

I need to create a 5-day session like this -
Mon 2:30pm - Tue 2:30pm
Tue 2:30pm - Wed 2:30pm
Wed 2:30pm - Thu 2:30pm
Thu 2:30pm - Fri 2:30pm
Fri 2:30pm - Mon 2:30pm <=

The last entry is not accepted by NT7!
I am surprised by this quirk in the Session Manager logic.
Is there a workaround for this?
Obviously I do not want to split the last entry into 2 days.

TIA,
joe

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  #2 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
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joe11 View Post
Has anyone figured this out in NT7?

I need to create a 5-day session like this -
Mon 2:30pm - Tue 2:30pm
Tue 2:30pm - Wed 2:30pm
Wed 2:30pm - Thu 2:30pm
Thu 2:30pm - Fri 2:30pm
Fri 2:30pm - Mon 2:30pm <=

The last entry is not accepted by NT7!
I am surprised by this quirk in the Session Manager logic.
Is there a workaround for this?
Obviously I do not want to split the last entry into 2 days.

TIA,
joe

@joe11: I do not think that it is a quirk in the session logic. It looks like a user error.

When you create a session template, you ALWAYS want to use the time zone of the exchange. I do not know a single market in the world that opens at 2:30 PM local time. If you do not stick to this rule you will

-> either confuse the NinjaTrader heuristics for determining the trading day
-> or run into issues with daylight savings schedules

Next, you NEVER want to include a weekend in your session. The markets are closed during the week-end, and you should exclude all times from your session, when the markets are closed.


Let me give you an example:

You wish to trade crude oil futures. Crude oil futures are traded at New York, so you need to use New York time for your template. For crude oil futures there is a contractual trading day which starts at 6:00 PM and ends at 5:15 PM. The time between 5:15 PM and 6:00 PM is a technical break, which should be excluded from the session. So in this case you would have five sessions

Sunday 6:00 PM - Monday 5:15 PM
Monday 6:00 PM - Tuesday 5:15 PM
Tuesday 6:00 PM - Wednesday 5:15 PM
Wednesday 6:00 PM - Thursday 5:15 PM
Thursday 6:00 PM - Friday 5:15 PM

The weekend needs to be excluded.

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  #3 (permalink)
Elite Member
chapel hill, nc
 
Futures Experience: Intermediate
Platform: NinjaTrader
 
Posts: 32 since May 2010
Thanks: 21 given, 4 received


Hello Fat Tails,

Thanks for the quick response.
I suppose the intent of the NT7 Session Manager is to allow users to define and use flexible user-defined sessions.
I am taking the example of CL (CME/Nymex Crude Oil) contract in US Eastern Time (NY time).
The pit hours for CL is 9am-2:30pm ET.
I would like to use the pit closing time (not the globex closing time) as my session end time for each day.
I would like to have only 5 sessions for a week and each of the 5 days/sessions end at 2:30pm ET (CL pit close).
How do I do this?

Thanks,
joe

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  #4 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
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joe11 View Post
Hello Fat Tails,

Thanks for the quick response.
I suppose the intent of the NT7 Session Manager is to allow users to define and use flexible user-defined sessions.
I am taking the example of CL (CME/Nymex Crude Oil) contract in US Eastern Time (NY time).
The pit hours for CL is 9am-2:30pm ET.
I would like to use the pit closing time (not the globex closing time) as my session end time for each day.
I would like to have only 5 sessions for a week and each of the 5 days/sessions end at 2:30pm ET (CL pit close).
How do I do this?

Thanks,
joe

The data published by the exchange is the settlement price, which cannot be taken from intraday data. The best option is to use an indicator that collects the settlement price from daily data. The free Kinetick EOD data comes with the settlement price for CL. You can simply use that.

If you don't want to use Kinetick EOD data or if you do not wish to use daily data or load daily data by an intraday indicator, then you can approximate the settlement price via the close at 2:30 PM.

For that purpose you can subdivide your trading day into three sessions

night session 6:00 PM to 9:00 AM EST
regular session 9:00 AM to 2:30 PM EST
after session 2:30 PM EST to 5:15 PM EST

You can now use the close at 2:30 PM as a proxy for the settlement price, which is the volume weighted average price of all trades that take place between 2:28 PM and 2:30 PM EST. But the better option is to load the daily bar close and use the settlement price.

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