Range Bars Bug?

[Watchtrac]

Forex Pairs range bars do not appear to be building correctly on NT7 v19.
On my charts 60 pip range bars of GBP/USD, USD/CAD and EUR/AUD are yielding some correct bars but also others with variable range, no candle - only wick and doji.

DTN IQFeed data. Is there a fix available?

[NinjaTrader_Bertrand]

Welcome to our forums - which PIP settings are you using under Tools > Options > Data?

The Range count is reset at the session break, so some bars could differ from your 60 period setting.

[Watchtrac]

I have the Quote size set at Pip. Two 60 pip bars on GBP/USD were 160 pips this morning.
Many 60 pip range bars are variable in size. One on EUR/AUD over 200 pips today.

More details: I have two data feeds IQfeed - historical and backup - and a PFG Broker demo feed running. PFG tech support said that I could use Pip settings if I did not want to see 1/10 pips increments. The range bars, however, are set to 600 to account for 1/10 pip required.

I did not note any variable bar sizes when running NT6.5 with IQFeed this morning - even at a session break - as the data seems to merge and gaps were filled with bars.

[NinjaTrader_Bertrand]

Watchtrac, to use 60 Pip range bars on a pip setting of just 'pip', please enter 60 as the Period amount...600 would need to be entered if you were using a setting of 'tenthPip' then. Can you please post a chart on IQFeed and NT7 with just the Range indicator added, so I can compare? Also: Have you tried a fresh reload of data for example only connected to IQ, so the FX spot data from different sources would not get mixed up?

Thanks

[Watchtrac]

Bertrand, I adjusted to 60 pips period.
Used IQFeed only on a reload of historical data.
.jpg attachment shows problem persists.
Thank you for your assistance.

[NinjaTrader_Bertrand]

Thanks for the screenshot, it looks to me as your see the reset at session breaks, can you please enable the session break lines in the DataSeries dialog box and then recheck if those would line up with the periods where you get lower than 65 range reported via the indicator?

Thanks

[Watchtrac]

I have enabled the session breaks and it appears that the bars in question occur as the last bar working before the session break. See attachment.

I did not have this situation in NT6.5. How do I set the new real data to merge with the previous session bar and continue? In NT6.5 gaps were filled by the appropriate size range bar and the bar continued until the proper range was reached.

This is important to the proper functioning of my ATM strategy which is based on a range bar close of a certain amount.
Thank you.

[NinjaTrader_JoshP]

Watchtrac,

This is expected in NT7 new sessions will "restart" the bars building. In 6.5 charts were very dependent on which start date you actually had loaded. If you had a different start date tomorrow, the bars you were looking at yesterday would look completely different than they do today because your chart's start date was different. In 7, the charts are no longer dependent on what your chart's start date is and are now more consistent.

[mrlogik]

The problem Josh is talking about has to do with perturbation theory. I did a proof on this for Renko bars, and their initial start dates. If anyone is interested in a further explanation, you can read about it here.