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Of course you wish to adapt the session templates to the contractual trading times of the market. But when the market hours are changing, then you will need to think twice, which is the proper session template. The key is to understand that you need
- a session template for the old market hours
- a session template for the transition period
- and a session template for the new market hours
Examples:
(1) You are a discretionary scalper, and none of your charts has a lookback period greater than 5 days. In that case you need to use the transition template for 5 days and then switch to the new template
(2) If you are a discretionary swing trader and you typically use charts with a lookback period of 100 days, then you will need to use a transition template during the 100 days after the change.
(3) If you are a systems traders and if your are performing backtests over the last three years, then you need to use a transition template for the next 3 years.
The Transition Template:
The proper solution would be to use the old session template for all price data prior to September 20, 2015 and then use the new session template for all data after September 20, 2015. However, NinjaTrader does not allow for using different session templates within the same chart. Therefore you need to settle for a single session template which covers the entire chart or backtest. This is the transition template.
The transition template is a compromise session template, which works reasonably well with both the old and the new market hours.
When you set up this session template, the first thing that you wish is that all trade data is shown on the chart. Now if we look at the trading times
you will easily understand that it is best to continue to use the old session template during the transition period. If you use the new session template, then all trade data between 4:00 PM and 4:15 PM will be cut out from your chart and your charts will be incomplete.
The next question is whether there are any disadvantages, if you continue to use the old session template. And in fact the answer is no. If you continue to use the old session template, NinjaTrader will exactly show the same bars that it displays when you use the new session template. Also most of the session indicators that are available for NinjaTrader will work correctly when the old session template is maintained. I did not find a single reason to switch to the new session template. But there is an important reason NOT to switch to the new template as per now. All chart data prior to September 20 will be imcomplete (=false), if you switch to the new template.
Therefore I will keep the old session template over the next few years, as it can be used with both the old and new market hours. After all, I do not wish to see any false backtests.
@Fat Tails, thanks for the lucid laying out of the options. This makes me feel unconcerned about the new hours beginning next week.
If I understand you, since the proposed new template will cut off some historical bars when the market actually traded, the old template will work better for the "transition" period, and in fact will continue to be the preferred template for as long as it matters that we capture those bars. All the data under the new schedule will still be captured with the old template. So there will be no immediate need for a change, and, in fact, perhaps no need for a change at all, depending on a trader's time perspective.
Therefore, it appears that I should have no problems with just ignoring the entire issue -- and certainly ignoring it for the duration of the Dec. contract, which will have had days that were traded under both schedules, so the new template should not be used for it unless you can just shrug off the loss of data.
