Open and Close of Range Bar

[AnotherTrader]

Please can I check my understanding of NT Range Bars?

Say I am using an equity instrument with an interval "value" setting of 100 (i.e. $1).

Say the session's first four ticks are as follows:
20120426 093001 100.00;100
20120426 093002 100.50;100
20120426 093003 99.75;100
20120426 093004 99.25;100

Will Close of the first Range Bar be 99.75, or 99.50?

Will Open of the second Range Bar be 99.50, or 99.25?

[NinjaTrader_Jason]

Hello AnotherTrader,

The Close of the 100 range bar did not happen yet. Please see the link below for information regarding the various bar types we support.

http://www.ninjatrader.com/support/helpGuides/nt7/bar_types.htm

[AnotherTrader]

Apologies, my post was probably confusing. The post refers to an equity instrument where tick size is $0.01 (so 100 ticks = $1). So the fourth ticks causes a new Range Bar to be formed ... No?

[NinjaTrader_Jason]

I see, I assumed a tick size of 0.25 is used due to the prices that are listed. If the tick size 0.01, than a change of 1.00 will create a new 100 range bar.

[AnotherTrader]

Thanks. So referring to my post #1...

Will Close of the first Range Bar be 99.75, or 99.50?

Will Open of the second Range Bar be 99.50, or 99.25?

[NinjaTrader_Jason]

If the range bar starts at 100.00, a new range bar is created when a price of 99.00 or 101.00 is reached.

[AnotherTrader]

If the range bar starts at 100.00, a new range bar is created when a price of 99.00 or 101.00 is reached.

Nope, that's not correct.

You are referring to RENKO BARS (see http://www.ninjatrader.com/support/h...?bar_types.htm ), as you are referring to price movement relative to the opening price. Or possibly you are referring to KAGI BARS.

RANGE BARS on the other hand are based on the range between ticks. Between tick #2 (100.50), and tick #4 (99.25), the range of $1 is exceeded. So a new Range Bar starts.

My question is whether the old range bar ends at the actual last tick of the completed range bar (i.e. 99.75), or at the price that marks the completed range (i.e. 99.50)?

And similarly for the new range bar, does it open at the price of the first tick in the bar (99.25) or at the price at which the prior's range ended (i.e. 99.50, so that there are no gaps)?

[NinjaTrader_Jason]

If you use range bars with a period value of 100, a tick size of 0.01 and starting price of 100.00, a new range bar will be created at 99.00 and 101.00. Each 100 range bar consists of 100 ticks - 0.01 * 100 = 1.00.

Yes, if you use 100.50 as starting point, it would create a new range bar on the 4th tick.

It ends at the price that marks the complete range. Each range bar will consist of 100 ticks.

If you check the screenshot under 'Understanding Range bars', you will see that there are differences between the close and open of the next range bar. So it does not open at the price of the previous range bar close.