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nt7 session template for forex
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nt7 session template for forex

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Market Wizard
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nt7 session template for forex

is there a session template for NT7 to trade forex?Using 24/7 and 24/5 is giving incorrect pivots and vwap

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Set it from 5:00 pm ET to 4:59 pm ET

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Capt. Johnny Jameson
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bobarian View Post
is there a session template for NT7 to trade forex?Using 24/7 and 24/5 is giving incorrect pivots and vwap

I believe @Fat Tails posted it on his trading the session thread:
https://futures.io/elite-circle/25791-session-toolbox-trading-session-fat-tails.html

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bobarian View Post
is there a session template for NT7 to trade forex?Using 24/7 and 24/5 is giving incorrect pivots and vwap


Session templates 24/7 and 24/5 will give false pivots and VWAPs for all instruments.

This is because there is no instrument in the world with market hours from 0:00 AM EST until midnight EST.

Please select the session template <instrument settings> which is already preset for all instruments.


For regular trading hours pivots - genuine floor pivots - the anaPivots require specific non-standard session templates as explained in the thread cited by @Devil Man.

However, for FOREX there are no regular trading hours, therefore the session template <instrument settings> is the correct choice.

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Fat Tails View Post
Session templates 24/7 and 24/5 will give false pivots and VWAPs for all instruments.

This is because there is no instrument in the world with market hours from 0:00 AM EST until midnight EST.

Please select the session template <instrument settings> which is already preset for all instruments.


For regular trading hours pivots - genuine floor pivots - the anaPivots require specific non-standard session templates as explained in the thread cited by @Devil Man.

However, for FOREX there are no regular trading hours, therefore the session template <instrument settings> is the correct choice.

Thank you Fat Tails.I did in fact go back to instrument settings.Also thank you to Devil Man, TR8 ER,MRPHR,and Blash.Also, I downloaded Fat Tails TWAP, it just makes sense to use a time based indicator vs volume for Forex.I was told By Riley from NT support that NT8 is better suited for forex.I will stick with NT7 for now.Thanks Again everyone!

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bobarian View Post
Thank you Fat Tails.I did in fact go back to instrument settings.Also thank you to Devil Man, TR8 ER,MRPHR,and Blash.Also, I downloaded Fat Tails TWAP, it just makes sense to use a time based indicator vs volume for Forex.I was told By Riley from NT support that NT8 is better suited for forex.I will stick with NT7 for now.Thanks Again everyone!

In case that your data provider supplies both historical and real-time tick volume, I would personally opt for the RWAP or VWAP for trading FOREX.

For data suppliers such as Interactive Brokers that do not supply historical FOREX data, I would use the RWAP.

The TWAP is an indicator that was originally used as a simple execution algorithm over a set period of time (not the fuill session). In case that you use the TWAP with the full session, it will overweigh low volume bars and price action will not correctly follow the bands.

Please find attached three charts that show RWAP/VWAP/TWAP with bands for EURUSD over the last two days. The TWAP is clearly the worst option here. The VWAP with tick volume supplied by FXCM is good, but in my opinion the RWAP, which does not use volume data, but only price data, is slightly better. But judge yourself.


VWAP (based on tick volume):

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RWAP (not using volume data):

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TWAP based on equal time intervals:

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Fat Tails View Post
In case that your data provider supplies both historical and real-time tick volume, I would personally opt for the RWAP or VWAP for trading FOREX.

For data suppliers such as Interactive Brokers that do not supply historical FOREX data, I would use the RWAP.

The TWAP is an indicator that was originally used as a simple execution algorithm over a set period of time (not the fuill session). In case that you use the TWAP with the full session, it will overweigh low volume bars and price action will not correctly follow the bands.

Please find attached three charts that show RWAP/VWAP/TWAP with bands for EURUSD over the last two days. The TWAP is clearly the worst option here. The VWAP with tick volume supplied by FXCM is good, but in my opinion the RWAP, which does not use volume data, but only price data, is slightly better. But judge yourself.


VWAP (based on tick volume):

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RWAP (not using volume data):

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TWAP based on equal time intervals:

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Forgive me for asking, why is the RWAP the best option.Visually, theyre similar enough.I would love to know what your thoughts are on this
Thanks!

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bobarian View Post
Forgive me for asking, why is the RWAP the best option.Visually, theyre similar enough.I would love to know what your thoughts are on this
Thanks!

It is difficult to make a difference between VWAP and RWAP. The algorithm of the RWAP is based on the assumption that volatility is proportional to the square root of volume. You will mostly find this assumption formulated as the variance being proportional to time. However, when it comes to intraday data the proportionality to time does not hold, because the market slows down during the night session. Therefore variance should be seen as proportional to volume.

Using this method volume can be estimated from the bar ranges. Statistically, the RWAP is a good approximation for the VWAP.


Why do I prefer the RWAP to the VWAP?


(1) The RWAP does not depend on volume data.

The FOREX markets are split between different ECNs and typically you will not know the exact volume. The RWAP makes a volume estimate based on volatility.


(2) The RWAP (with integrated alerts) is more CPU efficient than the VWAP.

This is because you may use the RWAP with the setting "Calculate.OnPriceChange". If you use the VWAP, which is a volume based indicator with "Calculate.OnPriceChange" it will return false results. The VWAP may only be used with the setting "Calculate.OnEachTick". Of course, both indicators may be used with setting "Calculate.OnBarClose", but then you will not receive the alerts when needed.

However, I only use the RWAP with FOREX data.

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