What is the difference between bar types RangeAlt and RangeNoGap?

May 8th, 2012, 01:40 PM

What is the difference between bar types RangeAlt and RangeNoGap? Which is better? They seem to produce almost similar bars.

May 8th, 2012, 01:48 PM

aligator

What is the difference between bar types RangeAlt and RangeNoGap? Which is better? They seem to produce almost similar bars.

Hi Aligator,

Since one of my creations is involved here, I have an interest. Post some side by side images for discussion. Better yet, post a link to the RangeAlt code. My RangeNoGap is already available in the download area.

RJay

May 8th, 2012, 02:18 PM

RJay

Hi Aligator,

Since one of my creations is involved here, I have an interest. Post some side by side images for discussion. Better yet, post a link to the RangeAlt code. My RangeNoGap is already available in the download area.

RJay

Thanks @RJay.

Here is the RangeAlt bar type that I downloaded here on futures.io (formerly BMT) a couple of days ago, can't recall the link.

Just a word of caution; although this bar type has been around quite awhile and the code is fine, somehow it replaced another bar type that I had in the drop-down menu (Seem like it is using the same bar type number as LineBreakWicked in my case, which is missing now)

May 8th, 2012, 04:21 PM

aligator

Thanks @RJay.

Here is the RangeAlt bar type that I downloaded here on futures.io (formerly BMT) a couple of days ago, can't recall the link.

Just a word of caution; although this bar type has been around quite awhile and the code is fine, somehow it replaced another bar type that I had in the drop-down menu (Seem like it is using the same bar type number as LineBreakWicked in my case, which is missing now)

RangeAlt Appears to be a simpler, possibly earlier version of range bar. RangeNoGap has all the Updates that are in NT7's current Range bars. See attached code.

ALT Range

if (bars.Instrument.MasterInstrument.Compare(close, bar.Low + rangeValue) > 0)
{
double newClose = bar.Low + rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, newClose, bar.Low, newClose, time, 0, isRealtime);
AddBar(bars, close, close, close, close, time, volume, isRealtime);
}
else if (bars.Instrument.MasterInstrument.Compare(bar.High - rangeValue, close) > 0)
{
double newClose = bar.High - rangeValue; // every bar closes either with high or low
UpdateBar(bars, bar.Open, bar.High, newClose, newClose, time, 0, isRealtime);
AddBar(bars, close, close, close, close, time, volume, isRealtime);
}
else
UpdateBar(bars, open, (close > bar.High ? close : bar.High), (close < bar.Low ? close : bar.Low), close, time, volume, isRealtime);

RangeNoGap

if (bars.Instrument.MasterInstrument.Compare(close, bar.Low + rangeValue) > 0)
{
int NewBarCount = bars.Count - 2; bool isFirstNewBar = true;double newClose = bar.Low + rangeValue;
UpdateBar(bars, bar.Open, newClose, bar.Low, newClose, time, 0, isRealtime);double newBarOpen = newClose;
while (bars.Instrument.MasterInstrument.Compare(close, newClose) > 0)
{newClose = Math.Min(close, newBarOpen + rangeValue);

AddBar(bars, newBarOpen, newClose, newBarOpen, newClose, time, isFirstNewBar ? volume : 0, isRealtime);

newBarOpen = newClose;NewBarCount = bars.Count - 1;isFirstNewBar = false;
}
}
else if (bars.Instrument.MasterInstrument.Compare(bar.High - rangeValue, close) > 0)
{
int NewBarCount = bars.Count - 2;bool isFirstNewBar = true;double newClose = bar.High - rangeValue;
UpdateBar(bars, bar.Open, bar.High, newClose, newClose, time, 0, isRealtime);double newBarOpen = newClose;
while (bars.Instrument.MasterInstrument.Compare(newClose, close) > 0)
{
newClose = Math.Max(close, newBarOpen - rangeValue);

AddBar(bars, newBarOpen, newBarOpen, newClose, newClose, time, isFirstNewBar ? volume : 0, isRealtime);
newBarOpen = newClose;NewBarCount = bars.Count - 1;isFirstNewBar = false;
}
}
else
UpdateBar(bars, open, high, low, close, time, volume, isRealtime);

May 8th, 2012, 04:26 PM

RJay

.... RangeNoGap has all the Updates that are in NT7's current Range bars. ...

@RJay

What is the difference between your RangeNoGap and the standard range bar that comes with NT?

May 8th, 2012, 04:31 PM

I think the difference on these bars may be how the deal with the trading open. They may both do the same thing but I think range alt was an alternative bar from the regular range bar that controlled how bars printed on opening gap. Don't quote me on this as I may be wrong.

May 8th, 2012, 04:31 PM

ThatManFromTexas

@RJay

What is the difference between your RangeNoGap and the standard range bar that comes with NT?

Here is a plot of Range, RangeNoGap, and RangeAlt side by side.

May 8th, 2012, 07:11 PM

ThatManFromTexas

@RJay

What is the difference between your RangeNoGap and the standard range bar that comes with NT?

Hi TMFT,

Code is virtually identical for both charts except for a few small differences.

There are no price gaps from bar body to bar body with RangeNoGap.

Range bars are programmed to have gaps

A 4 tick Range Bar can require 5 ticks to display a full 4 tick bar.
A 4 tick RangeNoGap only requires 4 ticks to display a full 4 tick bar.

RJay

May 8th, 2012, 08:15 PM

RJay has realized a nice NoGap variant with using the "right" RangeSize for switch to th next bar.

While i well only using standard (with possible Gaps) variants, i use a simple logic to realize a variant for switch to the next bar to the next tick when the current tick is on the range border.

Code

PseudoCode:
if NextNewBarFlag then NextNewBarFlag=false; AddNewBar; exit;
if outside Range then AddNewBar; exit;
if equal Range then NextNewBarFlag=true;
UpdateBar;
exit;

The advantage of this is:
- its use only real traded prices and give nearly the same optical look comperable with the NoGap variant (its only need 4 ticks, when a Range 4 is selected)
- ~90% its give more as one price on the same level-> the next rangebar open exact and optical nice on the Close of bar before
- ~10% have Gaps, smaller Bars or dont close on the RangeBorder (optical is this not very nice, its shows exact the real live)
- with this logic its give only real traded prices, no zero volumes and/or additional ticks
- if needed its is simple to extend this "NextNewBarFlag" concept with a line for to check the HiLo size and add if not equal the range add one virtual price for realize a dummy tick that give the warranty any range nar has the same size (equal the range)...

I think with the simple NT7 variant, with RJay's 2 variants and this as 4. variant, we have its all combinations with a symetric fixed range period bars defined and differences between all this variants described

What is the difference between bar types RangeAlt and RangeNoGap?

Discussion in NinjaTrader

What is the difference between bar types RangeAlt and RangeNoGap?