Pre Market Data

[pistolpete]

I am running a simple moving average crossover that I have made some customizations to right now. I am curious, is the data that NT is bringing in building its indicators such as the SMA from 9:30 to 4? I got a fill today that was ok but when I widen my chart out from 8:00 am to 4:00 the indicator takes into account the pre market price data and has a drastic change with the way the SMA comes across - in this case making it a lot more profitable for me. Is there a way to build the average including pre market data? I wouldn't trade in the pre market using my automated strategies but I might take a look at using that data to predicting more of an overall average of the day.
Thanks
Pete

[NinjaTrader_Josh]

pistolpete,

The indicators will use any information available on the chart. If your chart contains the premarket information then your indicator will use those bars as part of its calculations.

[pistolpete]

no that is not right. I am trading TZA right now and when I change my charts to only show data from 9:30 to 4:00 the SMA is drastically different then when I reset them to go from 12-12. I got filled when the cross happened when the charts are being built only from data taken between 9:30 and 4:00 if my entry would have been taken from the SMA cross that had pre market data in it it would have been an hour late.

[NinjaTrader_Josh]

pistolpete,

That is what I am saying. The SMA is calculated based on all the information on the chart. When you change the chart sessions to something else the SMA indicator can show different values.

[pistolpete]

Can you bring up a chart for TZA, its a small cap etf bear. Put 2 SMAs of 10 and 30 on. Compare your chart from when it set to default 12:00 to 12:00 then set the chart from 9:30 to 4:00 and compare the crossover points. Are they different?

[pistolpete]

When the SMA shows different values what values is it using the execute the trade from?

[NinjaTrader_Josh]

pistolpete,

It uses different data points for the SMA so it will be different. After awhile the difference fades away since the period range phases out different bars and phases in newer bars. It can be different yet it can be the same. As stated, the indicators use all the bars on the chart and none of the bars not on the chart.

[mainstream]

Josh,

How do you have access to the data 12am-12am for your indicators, but limit the strategy to execute trades during a specific time block?

Say you want a given strategy to be allowed to take trades from 7am-8am Central, 8:45am to 11:30am central, etc.

Thanks.

Also this may be in the wrong place, but how do you put a standard deviation band (like in the VWAP) around a Pivot or Prior day Price level, and use it in a strategy?

[NinjaTrader_Josh]

mainstream,

You will have to program a time filter as shown here: http://www.ninjatrader-support2.com/...ead.php?t=3226

If you want some band around something you will have to use some custom programming of the band's logic to add it.

[mainstream]

Thanks Josh.

I suppose one could "cut and paste" the coding you guys did for VWAP and substitute a different input, because adding a "pivot" as the default input of say APZ in the strategy analyzer, does not work, am I correct?

Also do you all teach writing the ninja code?

[NinjaTrader_Josh]

mainstream,

That code is provided as-is as a 3rd party indicator. Unfortunately I do not know if you can simply replace it with pivots. Also, I don't think it has much value in doing that since pivots are nearly static values anyways.

We are constantly improving our educational resources, but unfortunately we do not currently offer any programming courses.

[mainstream]

Well, it may it may not. I don't know yet. I'll try to figure it out.


Anyway on the teaching thing, I'm sure you'd find many students willing to compensate you for your time and the time of the company.

Maybe you could teach a class at UCLA