Trading Hours Questions

[GrumpyTrader]

I've created a trading hours template that uses the ETH hours for the CME index futures but I've broken out the the RTH periods as separate sessions. Just some background, I do this because I use tick charts and want to ensure that I get a session break on the RTH open and close.

For example:
Session 1: Sunday 5:00pm - Monday 8:30am
Session 2: Monday 8:30am - Monday 3:15pm EOD
Session 3: Monday 3:15pm - Tuesday 8:30am
Session 4: Tuesday 8:30am - Tuesday 3:15pm EOD

The first question is that I can't create an after hours session for Friday from 3:15pm - 4:15pm because you have a constraint that the last session must be and EOD session. I don't think that requirement is needed. What is the thought process on that constraint?

Second question is how to I determine that a given session I am in is an EOD session. I've seen examples where I can get session start and end time, but I can't seem to locate where I can access the EOD bool. Can you point me in the right direction?

[NinjaTrader_DaveI]

Hello,

The EOD constraint in place works a bit differently than you may expect. The rule in place is that you cannot have a session after a prior session marked as EOD within the same day. For example, if you had a session from Friday @ 9am to Friday @ 3:15, marked EOD, then you could not add another session after that from 3:15 to 4:15. In this case, you would need to mark that second session as EOD.

Put simply, once you've designated a session as the end of the day, then that session must be the end of the day. We do this to ensure that sessions do not unnecessarily overlap within a Trading Hours template.

To be clear on your goal -- are you trying to activate the "Break at EOD" function before the true end of the trading day as defined in the template? If so, there will not be a way to do this using the Break at EOD function, but you should be able to limit which data is analyzed in your script by using custom time filters. If I'm not understanding your goal, please let me know what you are trying to accomplish, and I'll see if there is another way to go about it that may give you better luck.

[GrumpyTrader]

Hi Dave,
Thanks for the answers. I still don't think your constraint with trading hours is correct. I don't have the same issue with other platforms (TS & MC). I can understand not having 2 EOD sessions in the same day, but I see nothing wrong with having an after hours session after the RTH close marked EOD. The only thing the EOD designation does, that I am aware of, is close a position in a strategy that is marked for EOD close as is denoted by the IsExitOnClose flag.

From my understanding, you are mixing the two definitions for what the EOD designation does.

a) What session close to use to close strategy day positions (IsExitOnClose). For me, in the example that I gave, that would always be the RTH close as that is when you have the most liquidity (i.e. most of the volume happens then)

b) What session is the last of the day (will not always will be when you want to close strategy positions). I'm also not sure where this is used as I've never come across it in the platform.

Not critical if you guys don't change it as I can code around it, but I do think there is a logic flaw here.

Additionally, you can't use time parameters when using tick charts as you never know what time a new bar will be created. The only way to get accurate numbers is through custom sessions that will break mid bar.

[NinjaTrader_DaveI]

You make a good point about Tick bars and the need to exit mid-bar at the close of a session. I am going to log this suggestion so we can track demand for changing this behavior. (SFT-648)