Equal Time Bars (with realistic session template)

[DaveE]

I have noticed that NT truncates the last bar of a session (so that bars do not flow across session breaks). However this behavior causes the following problem:
I want all my bars to cover the specified period (all cover equal duration of market time). But this does not seem to be possible currently in NT unless the 'Default 24/7' session template is used. This then means I cant use the functions like GetNextBeginEnd to get realistic market session times.

If I define a realistic Session template (for example modelling the IB FOREX session break between 17:00 and 17:15 Eastern) then (for multi-minute bar) the last bar of each day will be truncated (unless I use an exact divisor of 1425 such as 15 minutes).
As an extreme example: If I request a 712 minute timeframe, using a session template matching IB forex trading times, then NT gives me 3 bars per day/session: 2 bars with requested duration, and the 3rd covering only 1 minute duration. This is not going to produce an accurate average (or other filter) for strategies to work on.

I would like to request an new option on the Session Template Manager "Allow bars to flow across session breaks (equal time bars)". The default would be false to ensure compatibility with existing code or expectations.

[NinjaTrader_CalH]

Hi DaveE,

Thank you for your post.

I will forward this thread to development as a feature request for the next major release of NinjaTrader.

Currently you can do a custom session template to avoid this.

Let me know if I can be of further assistance.

[DaveE]

Currently you can do a custom session template to avoid this.

Then please explain how you can produce a realistic session template (that models normal session breaks) without getting the problem of a truncated bar at the end of session?

[NinjaTrader_CalH]

Apologies, the custom session template would not work for this method.

As of right now, I have sent the thread into development