Range Bars + Session Division - Best Practices

[MattD888]

Looknig for recommendations on the best way to handle sessions division with range bars. Seems there is some advice to NOT use the session iteration function.

Support team: is there a generally accepted best practice to handle the change of sessions with range bars?

Last bar or first bar code combined with a time filter?

Thanks for any help or direction anyone can provide.

[NinjaTrader_ChelseaB]

Hello MattD888,

I'm not quite clear what you are asking.

As far as I know Range bars are fine to use with a SessionIterator and Bars.IsFirstBarOfSession will return true on first bar of a new session.

Is there a specific issue you are having you would like assistance with?

[MattD888]

The higher level concern is the fact that range bars are not time based and the session iterator is. Thus when running summaries of data collected by an indicator, it has a hard time with range bars because they overlap sessions. As long as this is acceptable "slippage" in data reporting.. meaning the user is ok with having less than 100% accurate data outputs because a bar started in Session A will complete in Session B then yes it seems like session iterator will work from a technical standpoint.

Naturally this variance gets exaggerated the larger the range bar used as those bars take longer to form. But due to the nature of range bars, I guess there is no way to get around that.

I just tried to set the range bars with Break End Of Day checked. I see that a partial bar is formed. Perhaps I can experiment with the Break EOD setting.

Support - Can you comment on order of processing for the EOD logic. Is the bar that would close like that just like a bar that process OnBarClose? Or I am assuming... indicator logic might not trigger until the next bar opens in the next session..??

[NinjaTrader_ChelseaB]

Hello MattD888,

A range bar would be closed at the end of a session if Break EOD (End of Day) is enabled.

A session iterator just gets the start and end time of a session based on the Trading Hours template. It doesn't use bar information for that.
Bars.IsFirstBarOfSession will still be true for the first bar of a session.

I'm not certain what 'slippage' you are referring to. Slippage is the amount of market price change between when an order is transmitted and when it is accepted and filled.

"Support - Can you comment on order of processing for the EOD logic. Is the bar that would close like that just like a bar that process OnBarClose? Or I am assuming... indicator logic might not trigger until the next bar opens in the next session..??"

With Break EOD enabled, a bar closes when the session closes. With Break EOD disabled a bar will continue building into the next session and may close in the next session.

A session iterator would not be affected by this as it is returning the session start and end time based on the time provided. (You can provide a time of any session to point the session iterator to that session).