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LineBreak Chart Anomaly?
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Created: by GuppyDRV Attachments:0

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LineBreak Chart Anomaly?

  #1 (permalink)
Elite Member
Futures Experience: Intermediate
Platform: MultiCharts 10
Broker/Data: InteractiveBrokers, IQFeed
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Posts: 46 since Nov 2015
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LineBreak Chart Anomaly?

Hello All,

I have looked all through the forum and can't find a single discussion regarding an anomaly I think might be found in the Line Break Bar with Wicks.

I have observed that when a new bar opens the open price will paint a particular price, however, as the bar develops the open price will change from its original value during the bar and eventually close at something different.

With a normal type chart is the opening price always equal to the closing price of the prior bar?

With a Line Break is the opening price an average or something of where price was to create the new bar? Thus possibly differing from the prior bars close?

I would think that the price at open (regardless if fixed or an average) should not be subject to change for any reason! The open price is just, a one tick snapshot, that defines the price of the opening of a bar.

Is this an issue with the code or something inherent to Line Break chart types.

I appreciate any insight or help anyone might have on resolving this issue.


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  #2 (permalink)
Trading Apprentice
charlotte nc
Futures Experience: Master
Platform: ninjatrader
Broker/Data: MB Trading, NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 35 since Jan 2015
Thanks: 0 given, 87 received

Hi GuppyDRV,

I used to play with linebreaks a few years back and what I can tell you is that NinjaTrader can not accurately handle these in backesting / strategy analyzer. Anything you see here will be crazy wrong, so don't run these chart types in your strategy analyzer. If you use market replay the results will be fine, but in backtesting /strategy analyzer the system only sees the line break bars and not every tick that made up the bar so you get very misleading results. The prices will fill on the open of the new bar which is can be misleading as well.

I may not have the best answer to your question, but if you use backtesting / strategy analyzer and line breaks you will get overly optimistic results that you could never possibly achieve, but if you run your strategy in market replay you will get fairly realistic results.


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  #3 (permalink)
Elite Member
Futures Experience: Advanced
Platform: cqg integrated client
Favorite Futures: cl es nq
Posts: 39 since Oct 2015
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I'm having the same issue. does anyone know the answer?

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  #4 (permalink)
Market Wizard
London UK
Futures Experience: Beginner
Platform: CQG
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Hi guys

I'm not familiar with the problem, but may I suggest two approaches
  1. If not done already, open a support request with Ninjatrader for this
  2. Notify user @NinjaTrader of the issue and ask for advice

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  #5 (permalink)
Elite Member
Denver, CO
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: NinjaTrader Brokerage
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Posts: 1,247 since May 2010
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xplorer View Post
Hi guys

I'm not familiar with the problem, but may I suggest two approaches
  1. If not done already, open a support request with Ninjatrader for this
  2. Notify user @NinjaTrader of the issue and ask for advice

Following up with our support team as suggested is the best course of action.

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