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How to display Globex Highs/Lows on RTH chart


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How to display Globex Highs/Lows on RTH chart

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  #1 (permalink)
 keymoo 
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Someone asked me on my blog if this is possible, I tried to do it in Ninja but failed. I tried it in Sierra and succeeded. I did a little video for the guy on my blog, so thought I'd share it here. Enjoy.


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 Fat Tails 
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There is an obvious problem, however, as the lines are not being plotted in the correct location.

The screenshot below is from your video and shows that the high and low use their own scale, which is different from the chart scale. The Globex High at 1309.25 is drawn at around 1303.50, while the Globex Low at 1297.00 is drawn at around 1293.00. Not yet quite useful.

It is true that I have not been able to achieve this with NinjaTrader. If I load a secondary bar series via indicator, I am not free to select a session template, which is different from the template of the primary chart. So this is not possible.


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 keymoo 
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Thanks for spotting that! I've fixed it now, what you need to do is on the pit session chart, set the Scale to "Same as Region". I had it set to Independent.




Here's the chart now:


The other thing you could do is link the time periods using chart linking, so that when you change to a tick chart, minute chart or whatever, they both stay in sync. Might do the vid again, lol.

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 RPinSC 
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Will this display on the TPO chart? If not, can you pull the information from a spreadsheet study and copy those to K-Z cell to be drawn?
Thanks,
Ron

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 jersey101 
Palm Harbor FL
 
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The way I have been plotting the Globex high and low is I use the high/low for time period study in sierra charts and change the times and names and check the name label box. My times are set to 16:30est- 9:29:59, can someone tell me if those times are correct.

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 crazybears 
Alesia E.U.
 
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Hi
do you live in UK ?
if yes how is it setting your computer clock ? London Time: What is the current local time now in London, England?
if so for ES i think you should setting daily end time to 21:14:59

evening end to 14:29:59

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samironthemove
Berlin, Germany
 
 
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Fat Tails View Post
There is an obvious problem, however, as the lines are not being plotted in the correct location.

The screenshot below is from your video and shows that the high and low use their own scale, which is different from the chart scale. The Globex High at 1309.25 is drawn at around 1303.50, while the Globex Low at 1297.00 is drawn at around 1293.00. Not yet quite useful.

It is true that I have not been able to achieve this with NinjaTrader. If I load a secondary bar series via indicator, I am not free to select a session template, which is different from the template of the primary chart. So this is not possible.


Hi Harry,

have you been successful in finding a solution for this yet?

Thanks,

Samir

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 Fat Tails 
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samironthemove View Post
Hi Harry,

have you been successful in finding a solution for this yet?

Thanks,

Samir


My post is from A.D. 2012 and refers to NinjaTrader 7. Is your question about Sierra Chart, NinjaTrader 7 or NinjaTrader 8?

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samironthemove
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Hi Harry,

Thank you for your response.

I'm using NT8. What I am trying to avoid is having an ETH 5M secondary data series up since it causes a large horizontal gap btw the RTH plots obviously.

I tried using a 1020M second series (330pm - 930am CST) in transparent on top of the RTH chart but wasn't able to call the H/L of that 1 bar.

Samir

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 Fat Tails 
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samironthemove View Post
Hi Harry,

Thank you for your response.

I'm using NT8. What I am trying to avoid is having an ETH 5M secondary data series up since it causes a large horizontal gap btw the RTH plots obviously.

I tried using a 1020M second series (330pm - 930am CST) in transparent on top of the RTH chart but wasn't able to call the H/L of that 1 bar.

Samir


Hi Samir,

NinjaTrader 8 makes it easier to display GLOBEX highs and lows on a RTH chart. However, you would need to write an indicator that loads a secondary bar series. With NinjaTrader 8 it is possible that the secondary bars use a different trading hours template (for example ETH) than the primary bars (RTH in your case). That way the indicator may load full session data and perform calculations as requested.

Another option is to let the indicator load daily bars. This will work for you if your daily chart is an ETH (Globex) chart where the daily bars are built from the full session open, GLOBEX high, GLOBEX low and settlement price.

In case that your datafeed supplies daily bars (ETH), you may also use the amaPivotsDaily indicator to display full session high and low on a RTH chart. Please see chart attached.




The indicator is available in the download section of the forum:


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samironthemove
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Fat Tails View Post
Hi Samir,

NinjaTrader 8 makes it easier to display GLOBEX highs and lows on a RTH chart. However, you would need to write an indicator that loads a secondary bar series. With NinjaTrader 8 it is possible that the secondary bars use a different trading hours template (for example ETH) than the primary bars (RTH in your case). That way the indicator may load full session data and perform calculations as requested.

Another option is to let the indicator load daily bars. This will work for you if your daily chart is an ETH (Globex) chart where the daily bars are built from the full session open, GLOBEX high, GLOBEX low and settlement price.

In case that your datafeed supplies daily bars (ETH), you may also use the amaPivotsDaily indicator to display full session high and low on a RTH chart. Please see chart attached.




The indicator is available in the download section of the forum:


Hi Harry,

I use CQG and NT assured me the Daily bars are built from ETH data but when I use the amaPivotsDaily indicator I do not get the correct levels unfortunately. See attached.

Thank you,

Samir

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 Fat Tails 
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samironthemove View Post
Hi Harry,

I use CQG and NT assured me the Daily bars are built from ETH data but when I use the amaPivotsDaily indicator I do not get the correct levels unfortunately. See attached.

Thank you,

Samir


Hi Samir,

You are tempting your luck, as you started with pivots on rollover day.

The pivots are always calculated from the prior day's high, low and close. On rollover day the prior day's high, low and close is the high, low and close of the prior contract. This means that you used data from the September contract to calculate pivots for the December contract.

This is feasible, if you use merged backadjusted data, that compensates for the rollover offset. However, you used merged non-adjusted data, and therefore the pivots shown on your chart are false, because the rollover offset has not been deducted.

When calculating pivots, you either need to use

- single month contract data
- or merged backadjusted data from several contracts

Otherwise your pivots will be false.

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samironthemove
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Fat Tails View Post
Hi Samir,

You are tempting your luck, as you started with pivots on rollover day.

The pivots are always calculated from the prior day's high, low and close. On rollover day the prior day's high, low and close is the high, low and close of the prior contract. This means that you used data from the September contract to calculate pivots for the December contract.

This is feasible, if you use merged backadjusted data, that compensates for the rollover offset. However, you used merged non-adjusted data, and therefore the pivots shown on your chart are false, because the rollover offset has not been deducted.

When calculating pivots, you either need to use

- single month contract data
- or merged backadjusted data from several contracts

Otherwise your pivots will be false.

Hi Harry,

the merge-back adjusted option is checked in NT. I think I may not have been clear on what I'm trying to accomplish though.

When the US market opens today at 930am EST I want the Globex H/L on my chart from the close of yesterday until the open of today. Your indicator seems to look at yesterday's ETH session where as I just want the overnight hours of 430pm to 930am. Perhaps I can accomplish this with a custom session template?

Thank you for your reply,

Samir

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 Fat Tails 
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samironthemove View Post
Hi Harry,

the merge-back adjusted option is checked in NT. I think I may not have been clear on what I'm trying to accomplish though.

When the US market opens today at 930am EST I want the Globex H/L on my chart from the close of yesterday until the open of today. Your indicator seems to look at yesterday's ETH session where as I just want the overnight hours of 430pm to 930am. Perhaps I can accomplish this with a custom session template?

Thank you for your reply,

Samir


Hi Samir,

I had just answered your original question:


samironthemove View Post
I use CQG and NT assured me the Daily bars are built from ETH data but when I use the amaPivotsDaily indicator I

I am 100% sure that the pivots shown on your chart were calculated from the September contract, but displayed for the December contract. This clearly points to a merged non-backadjusted chart (or a software bug).


The pivots indicator is designed to display floor pivots, which are calculated from yesterday's high, low and close. It is in no way designed to display today's overnight high and low. If you wish to display the GLOBEX high and low, you would simply need a different indicator.

The appropriate indicator would be an opening range indicator, which displays both the opening range and the pre-session range. I have posted a simple free version of the opening range indicator here:



It comes with an option to display the pre-session range. It is possible to select a custom period, for example the period from 3:30 AM CT to 8:30 AM CT (exchange time, equivalent of 4:30 AM ET to 9:30 AM ET).
Please see chart attached below. In case that you do not need it, you may unselect the opening range and just display the pre-session range.




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