FixingPrice - VWAP

[JulianoFL]

Hello !

I'm trying to get the value for FixingPrice for ES, like CME shows here:

https://www.cmegroup.com/trading/price-limits.html#equityIndex

https://www.cmegroup.com/trading/fixing-price.html

Does the NT have something built up ? I'm trying the search for FixingPrice indicators, or using VWAP but no success yet.


Thanks !

[NinjaTrader_PatrickG]

The first link you provided discusses the down limit prices for circuit breakers which is based off the 'fixing price':

The fixing price is the volume weighted average price, VWAP, calculated during the 30 seconds of trading from 2:59:30 p.m. – 3:00:00 p.m. CT. View Equity Index Fixing Prices page

The second link discusses "Fixing Prices" which are defined at the bottom of the page as:

On expiration days for End-of-Month (EOM) and Weekly options on standard and E-mini S&P 500 futures, CME calculates a special fixing price based on the weighted average trading price of the designated lead month for the E-mini S&P 500 futures in the last 30 seconds (2:59:30 - 3:00:00 p.m.) of trading before the 3:00 p.m. (Chicago Time) options expiration. For the purposes of this calculation, the designated lead month is always the contract month closest to expiration until the Monday prior to expiration, when the designated lead month becomes the second contract month.

There are no built in indicators that display the fixing price or the down limit prices.

I also could not find any indicators available in the User App Share section of the NInjaTrader Ecosystem site that would provide these values.

With that said, both of these pages define how the value is calculated so creating the indicator should be possible via custom NinjaScript programming. Please let me know if you're interested in learning more about how to program these yourself or if you'd like more information on third party programmers that could make this for you.

[JulianoFL]

The first link you provided discusses the down limit prices for circuit breakers which is based off the 'fixing price':


The second link discusses "Fixing Prices" which are defined at the bottom of the page as:



There are no built in indicators that display the fixing price or the down limit prices.

I also could not find any indicators available in the User App Share section of the NInjaTrader Ecosystem site that would provide these values.

With that said, both of these pages define how the value is calculated so creating the indicator should be possible via custom NinjaScript programming. Please let me know if you're interested in learning more about how to program these yourself or if you'd like more information on third party programmers that could make this for you.

Hello !

I just wanna make sure that NT does not have a built in indicator for that.
In the plataforms for my local market we have an indicator called TrueRange, that does a similar calculation

I'll search how to do that for AddOn. I have done one but using the Bars count for the whole day, I need to learn how to get specific range bars.

Thanks !!