Bars.BarsSinceSession unreliable on Renko charts

[marcow]

When using the Bars.BarsSinceSession on Renko charts, sometimes the sessionbreak is ignored and bars since session is incorrect.ie. bar numbering continues from previous session, and does not start at zero.

Strange thing is that on the same chart period Bars.FirstBarOfSession is always correct. So the first bar of the new sesion is recognized, but Bars.BarsSinceSession keeps counting bars from previous session.

If Bars.FirstBarOfSession is triggered, how is it possible that Bars.BarsSinceSession doesn't start to count at zero ?

The problem described above occurs on downloaded ReplayData from 9/11/2011 to 9/19/2011 ES future on a 4Renko chart. But it is very likely it also occurs on other replay data, because I've encountered this several times.



Marco

[NinjaTrader_Bertrand]

Hi Marco, what Renko charts did you work on as you saw this issue manifest? The default NT shipped ones?

Thanks,

[marcow]

hello Bertrand,

yes, I'm using the default NT Renko chart.

[NinjaTrader_Bertrand]

Thanks, so that's happening for you in Market Replay only and not if you connect to regular data?

I've just run a test script here and a ES 4 Renko and Bars.BarsSinceSession, Bars.SessionBreak and Bars.FirstBarOfSession trigger all as expected for me.

[marcow]

Thanks, so that's happening for you in Market Replay only and not if you connect to regular data?

because I exclusively use MarketReplay for testing my strategies, I cannot tell you if it also occurs on historical or live data.

At this moment I'm running a MarketReplay and don't want to mess things up , is it okay for you if I report back on this issue thursday ?
Then I will do some further testing on more recent replaydata of the current sept2012 ES contract and also will provide you the strategy code I used for testing this issue.

Marco

[NinjaTrader_Bertrand]

Sure thing Marco, I look forward to your report then.

[marcow]

hello Bertrand,

The most recent error occurs on the sessionbreak from July2 to July3, please take a look at the attached image.Timezone in this image is CET.

I also attached a test strategy which sets backcolor to blue for FirstBarOfSession, and sets backcolor to red for the first 10 bars occording to Bars.BarsSinceSession. It also prints barnumbers and firstbarofsession to the output window to make sure it is not a graphics issue.

To replicate exactly what I did you should download replaydata for ES 09-12 from June28 to July3, and run the test strategy on the default 4 Renko chart on that period.

Marco

[NinjaTrader_Brett]

Hello,

What session template is in use? Is it custom modified?

-Brett

[marcow]

it's the default template, but with a black background and some other color changes for example for grid lines.

[NinjaTrader_Brett]

When you say default do you mean Default 24/7 or <Use Instrument Settings.

-Brett

[marcow]

the session template for ES is CME US Index Futures ETH

[NinjaTrader_Bertrand]

Thanks for the details and file Marco, just tried this here and was unfortunately not able to reproduce - please see my screenshot attached from the 'run'.

Are you on latest NT7 R10 here as this happens for you?

Would you see the same still with freshly downloaded replay data from our server?

Thanks,

[bretddog]

Maybe I'm missing something on this discussion, but has it been confirmed that this is not due to the classic "computer timezone UTC+2" issue?

[NinjaTrader_Bertrand]

bretddog, I'm not exactly sure what you refer to, could you please clarify? The session breaks should be created and trigger regardless of local time settings.

[bretddog]

I believe there is a missing session break issue with IB TWS and NT when computer Time Zone is set to UTC+2/3, for some US futures including YM and ES. I can't recall exactly the details, as I run mine at UTC. Maybe it's only if TWS runs on other computer set to different time zone..