Changing trading hours to modify the formation of range bars in historical data?

[jaysteel]

Is there any way to alter the formation of the range bars in historical data?

For instance, if trading hours are from 17h to 16h for a specific instrument and I change the trading hours from 20h to 16h, the initial tick at 20h used to create the first range bar is most likely different than the one at 17h and should hence allow the formation of a first range bar with different OHLC data than the one at 17h.

However, this is not the case with historical data.
Is there any way to FORCE this behavior?

Thanks!
Jerry.

[NinjaTrader_Zachary]

Hello jaysteel,

Thank you for your post.

I would expect that changing the Trading Hours template for a chart would alter the bar formation of any tick-based data series. Unfortunately, I'm not sure if I fully understand the example that you provided. Do you have any screenshots of what you mean so that I can get a better idea? Please also feel free to provide screenshots of the Trading Hours templates that you're using as well.

• To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
  • Click here for instructions
• Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
  • Click here for detailed instruction

I look forward to assisting you with this

[jaysteel]

Sure.
Trading ES futures with default instrument settings, which are these trading hours:





Then, I copy these hours and delay the opening time by 6 hours:






I setup 2 charts.
1 with the default instrument settings
the other one with the day open delayed by 6 hours.

Here they are side by side:



Basically only the first 2 bars are modified and the 2nd bar is like the original Trading Hour.
It ends at the SAME millisecond, which is absolutely illogical since range bars are NOT time-based.


1st chart:




2nd chart:

[jaysteel]

Now, I'm almost convinced that if I were to test that LIVE, it would work as intended, otherwise it would not respect the original data.

However, I need to make it work with historical data as well.
Is there anything that can be done to avoid this massive issue?

Thank you

[NinjaTrader_Zachary]

Hello jaysteel,

Thank you for your response.

I see the same result on my end, but it appears to be expected. It would seem that from 5 PM CST to 11 PM CST on November 1st, there was not enough price movement for a 40 Range bar to close on either of those charts during that time and the tick that occurred at 4:20:28.352 was the tick that satisfied that requirement for the next range bar to open on either chart because of that.

Please let us know if we may assist you any further.