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NoGapRangeBars / RangeNoGap
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NoGapRangeBars / RangeNoGap

  #71 (permalink)
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trs3042 View Post
Hello @RJay

Please review the charts I've attached. Your no gap range bars on the left and NT's default range bars on the right. Could you explain why there's a difference of the opening price (orange line) and the high of day (green line)? The low of day (red line) agree with each other.

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Thank you,

Rick

Hi Rick,

You might look at the chart data series settings. Are both charts using the same trading hours settings and the same historic data days to load?

RJay

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  #72 (permalink)
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RJay View Post
Hi Rick,

You might look at the chart data series settings. Are both charts using the same trading hours settings and the same historic data days to load?

RJay

Yes, they are identical.

"If you're going to panic during a trade............. panic early."
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  #73 (permalink)
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trs3042 View Post
Yes, they are identical.

Rick,
1) What is the source of the (indicator) that puts your highs and lows for the day on the chart? (remembering that Range bars are not time dependent)

2) Did you check to see the day bars to see if the No-gap chart highs and lows are more or less accurate than the Default NT range bars.

Thanks, Gary
P.S. NT support staff told me to use RJay's NoGapRange bar charts for range bars if I want to avoid the 1 or more ticks lost per entry and exit in backtesting. NT does not use industry standard Range bars. If a strategy uses end of bar as the trigger time an order placed then will loose a tick as the next candle skips a tick to the open.

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  #74 (permalink)
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TheGaryGuy View Post
Rick,
1) What is the source of the (indicator) that puts your highs and lows for the day on the chart? (remembering that Range bars are not time dependent)

2) Did you check to see the day bars to see if the No-gap chart highs and lows are more or less accurate than the Default NT range bars.

Thanks, Gary
P.S. NT support staff told me to use RJay's NoGapRange bar charts for range bars if I want to avoid the 1 or more ticks lost per entry and exit in backtesting. NT does not use industry standard Range bars. If a strategy uses end of bar as the trigger time an order placed then will loose a tick as the next candle skips a tick to the open.

Hello Gary,

I use Harry's @Fat Tails indicator for OHLC (see attachment). The problem is with the open of the day line not the high and low of the day. I spent some time with RJay (coder of the NoGapRangeBars) by phone yesterday but we couldn't solve the problem. The only thing I noticed by comparing the charts side by side was that NT's default range chart showed a big gap down from last Friday's close, where as the NoGapRangeBars chart showed bars all the way down to the open of the day price to fill the gap. Hence the name of the bars........NoGapRangeBars.

So in conclusion, the problem is not solved. I know nothing about coding so maybe @Fat Tails or @Silvester17 or some other gifted coders could chime in and see what they think. Please refer to post #71 of this thread for snapshot of the charts.

Rick

anaCurrentDayOHLV42.zip NoGapRangeBars_NT7.zip

"If you're going to panic during a trade............. panic early."

Last edited by trs3042; September 17th, 2013 at 04:11 PM.
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trs3042 View Post
Hello Gary,

I use Harry's @Fat Tails indicator for OHLC (see attachment). The problem is with the open of the day line not the high and low of the day. I spent some time with RJay (coder of the NoGapRangeBars) by phone yesterday but we couldn't solve the problem. The only thing I noticed by comparing the charts side by side was that NT's default range chart showed a big gap down from last Friday's close, where as the NoGapRangeBars chart showed bars all the way down to the open of the day price to fill the gap. Hence the name of the bars........NoGapRangeBars.

So in conclusion, the problem is not solved. I know nothing about coding so maybe @Fat Tails or @Silvester17 or some other gifted coders could chime in and see what they think. Please refer to post #71 of this thread for snapshot of the charts.

Rick

Attachment 123557 Attachment 123558

Thanks Rick!

I have an idea on how to figure this out a bit. On both range charts add a Donchian channel with enough length to get you back to start of day. Then you will see which one of your charts is correct on the highs and when they separate.

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  #76 (permalink)
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TheGaryGuy View Post
Thanks Rick!

I have an idea on how to figure this out a bit. On both range charts add a Donchian channel with enough length to get you back to start of day. Then you will see which one of your charts is correct on the highs and when they separate.

Here's what I got. I'm on my laptop so I had to scrunch it a bit to see back to today's open. Everything matches except for the orange dashdot lines which are the open of the day. They are different readings right at the open.

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Not sure what this tells me.

Rick

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  #77 (permalink)
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trs3042 View Post
Hello Gary,

I use Harry's @Fat Tails indicator for OHLC (see attachment). The problem is with the open of the day line not the high and low of the day. I spent some time with RJay (coder of the NoGapRangeBars) by phone yesterday but we couldn't solve the problem. The only thing I noticed by comparing the charts side by side was that NT's default range chart showed a big gap down from last Friday's close, where as the NoGapRangeBars chart showed bars all the way down to the open of the day price to fill the gap. Hence the name of the bars........NoGapRangeBars.

So in conclusion, the problem is not solved. I know nothing about coding so maybe @Fat Tails or @Silvester17 or some other gifted coders could chime in and see what they think. Please refer to post #71 of this thread for snapshot of the charts.

Rick

Attachment 123557 Attachment 123558

hi @trs3042,

I'm afraid I can't help with no gap range bars. I don't use or even have them. for me a range bar needs a gap in order to display a range.

anyway I'm pretty certain that nt's range bars show the correct open. just comparing with a different chart, like a minute based chart:

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Last edited by Silvester17; September 17th, 2013 at 10:17 PM.
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  #78 (permalink)
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Silvester17 View Post
I don't think it's just a range problem. I believe it includes all tick based charts. because tick based charts have a different timestamp than minute bars.

@Silvester17: Tick based charts usually show the correct open.

This is just a problem that can be solved by simple logic:

A No-Gap-Range Chart fills the gap between the close of the prior day and the open of the current day with virtual bars. This is the way it is supposed to work!

The virtual bars do not represent any real ticks as no trade has occurred within the gap covered by the virtual bars.

The OHLC indicator just collects the open of the first bar of the session. That open is a virtual open, as no trade occurred at that price. This is explains that the open displayed by the OHLC indicator is just a virtual open, which is located near the closing price of the prior day.

You cannot display the daily open on a No-Gap-Range Chart, because it is not the open of the first bar shown for the trading day.

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trs3042 View Post
Here's what I got. I'm on my laptop so I had to scrunch it a bit to see back to today's open. Everything matches except for the orange dashdot lines which are the open of the day. They are different readings right at the open.

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Not sure what this tells me.

Rick

Hi Rick,

Ok, I suggested using the Donchian channels to see if the charts matched Highs and lows are the same on both charts and they do.

Please check out the definition at Investopedia for range bars . http://www.investopedia.com/articles/trading/10/range-bar-charts-different-view.asp

There is actually nothing wrong with either chart. Both are showing a proper and valid open for the day.

To keep things simple I have brought up two charts for CL in the attachment.

Attached Thumbnails
NoGapRangeBars / RangeNoGap-rjaysnogapcomparison.jpg  

Last edited by TheGaryGuy; September 17th, 2013 at 07:33 PM. Reason: Missing link
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  #80 (permalink)
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TheGaryGuy View Post
Hi Rick,

Ok, I suggested using the Donchian channels to see if the charts matched Highs and lows are the same on both charts and they do.

Please check out the definition at Investopedia for range bars . Range Bar Charts: A Different View Of The Markets

There is actually nothing wrong with either chart. Both are showing a proper and valid open for the day.

To keep things simple I have brought up two charts for CL in the attachment.

I don't think this is correct.

your quote about range bars:

"simply, the open of the following candle is always the SAME as the close of the previous candle"

according to my understanding (as well as your source investopedia), the open of a new range bar MUST be outside the high/low of previous bar. and that of course includes the closing price.

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so I believe if you use no gap range charts, you'll get a wrong opening price if there's a gap. because of the virtual open. nt's range bars are correct.


Last edited by Silvester17; September 17th, 2013 at 08:47 PM.
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