I am looking to find a way to create a custom range bar or directed towards one if it already exists. From what I can see the range bar on ninjatrader is different from the one that I used to use on think or swim. I understand data can be different and that people are always concerned about inaccurate price when bucketing with these bars. Generally its what a few ticks off? This is not a concern for my strategy if that's what it is.
On think or swim you have range bars and then are able to choose aggregation type: range, time interval: I use 30 days, and then price range: I use anything from 20-25 ticks depending on what contract I am trading, sometimes even more to bump the ATR. Then it looks like it pulls the ATR if I am not mistaken and generally it pulls at about $5 when I am running MNQ. So if I am not mistaken, it then makes each bar based of that ATR. Is there a way to have this coded over to ninjatrader so I can run it on here. Everything I have found is not even remotely close because the ones I have seen on ninjatrader take way too many trades vs the one on think or swim when it is the same parameters on both for entering and exiting trades.
Any help would be greatly appreciated!
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