How to calc daily bars from intra-bar data

[zacharydw00]

My data provider does not provide daily bar data for the ES (emini S&P500). I would like to be able to calculate a 14 day ATR for use in a strategy.
Does anyone have code that can generate daily bar data and store it in a way that it can then be input to an indicator?

Thanks.

[NinjaTrader_Bertrand]

zacharydw00, please try running your ATR calcs on 1440 min charts / series then as workaround.

[zacharydw00]

Using a 1440 min bar on a 24hr chart doesn't give the correct results. Is it possible to store the (end of market) 4:00pm EST bar's closing price to an arraylist or some other list type, and then feed the list to the ATR indicator? I don't think I can use a DataSeries, because there is only 1 element of data per day. Thanks for any suggestion on how to approach this.

[NinjaTrader_Bertrand]

If you look for the cash session closing value, best would be to use a 390 min chart then and set session times to your 9:30 AM - 4:00 PM, this should replicate the chart you need.

[zacharydw00]

My strategy requires a 24hr chart. Restricting the session times is not possible. So, back to my last question, is it possible to store the (end of market) 4:00pm EST bar's closing price to an arraylist or some other list type, and then feed the list to the ATR indicator?

[NinjaTrader_Bertrand]

zacharydw00, yes you could store the 4:00 PM price to an arraylist and then calculate your own ATR on that, but unfortunately this is outside of what we can support. It would easier to connect to a third party feed first that would allow you to access the daily historical data you need.