ATR like TOS ATR

[EricC64]

Having migrated to Ninjatrader from TOS I am having a discrepancy in data when I compare the ATR.

In TOS I am using ATR(5 day, simple). Investigating it seems that the OHLC values I get in TOS are different than the ones in Ninja.

This is for /ES. Issue looks to be related to session template.
In the indicator I also want the session Open and Close values.

I can not see how to reference two different session templates from within an indicator/strategy.

Alternatively I can program a new ATR indicator, but I need to extract the overnight High and Low for use in the ATR calc paired with the Session Close.

When I use

if ( (Bars.BarsSinceSession == 0 ) && (Time[0].ToString("ddd") != "Sun" ) )
{
Print("");
Print(Time[0] + " " + Time[0].ToString("ddd"));
Print("Open: " + Open[0]);
Print("PrvDayClose: " + Bars.GetDayBar(1).Close);
Print("PrvDayHigh: " + Bars.GetDayBar(1).High);
Print("PrvDayLow: " + Bars.GetDayBar(1).Low);
}

I am able to capture the Session Open, and PrvDayClose correctly with the code above.
The Prv Day High and Low though are the regular session High and Low and I want the overnight H/L if they are larger/smaller respectively.

I tried Add("ES 09-16", PeriodType.Day, 1); // Add Day Bars for ATR calc
But ATR on this also does not match TOS. Can I pass a 24h session template to the alternate time period?

Any thoughts or suggestions?

[NinjaTrader_PaulH]

Hello EricC64,

Thanks for your post and welcome to the forums!

What datafeed are you connected to NinjaTrader7 with?

[EricC64]

Data Feed

I am testing using the Sim101 account and the NinjaTrader live feed. We have the Continuum Data feed I think.

For Example in TOS I see the following ATRs over last couple of days
Date TOS Ninja
8/23 11.95 10.6 (Candle shows 8/24 and 8/23 candle missing. I see an 8/25 candle
8/22 11.70 10.81
8/19 11.55 11.02

Chart looks to be using the 24/7 default session.
Strategy is using US Index Emini Futures RTH/ETH

[NinjaTrader_PaulH]

Hello EricC64,

Thanks for your reply.

In the case of the NinjaTrader continuum data feed, in Ninjatrader7, a daily bar is preconfigured as RTH and session templates cannot change that.

A work around would be to replace the daily bar with a 1440 minute bar which will then be effected by the session template.