NinjaTrader 7 Indicators

Details: AddOn_UpDown_GomPackage1.1

February 18th, 2010
Size: 21.03 KB
Downloaded: 3438 times

Keywords: betraride tick gompackage cumulative volume recording delta

SessionVolatilityBands V38

Exported using NT Version 7.0.1000.7

This indicator is an old version and there will be no more maintenance. All the features have now been integrated with the SessionPivots indicator that can be downloaded here:

https://nexusfi.com/download/ninjatrader-7/indicators/371-download.html?view

The indicators that come with the SessionPivots package also allow to display weekly and monthly average ranges.

Indicator will only run on NT 7.0.1000.5 or later.

The indicator detects the Average Daily Ranges (ADR) for two selectable periods and uses them to calculate intraday targets, which are displayed as volatility bands. The upper target band is calculated by adding the average daily ranges for the two periods to the current session's low. The lower band is calculated by subtracting the average daily ranges from the current day's high.

All daily ranges and bands can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. It is recommended to display both ETH and RTH volatility bands by applying the indicator to the chart twice with different settings.

The indicator also can display OHL and Dynamic Fib Lines for the current session.

Indicator Settings

Band Type: The bands will auto-adjust to the current day's high and low, until the expected daily range is exceeded for both of the lookback periods. In this case the bands will freeze and change color (Band Type "Freeze"), stop (Band Type "Stop") or further expand (Band Type "Expand", requires a second expansion target).

Default BandRange: The default setting uses 100% of the ADR of the selected period. Instead of using 100% you can select any other percentage to calculate the intraday target bands.

Expanded BandRange: This is required for the Band Type "Expand". The default setting uses 127% of the ADR of the selected period. Instead of using 127% you can select any other percentage to calculate the second level of the intraday target bands.

Include After-Session : If set to true, the volatility bands of an intraday session will be extended to the next session, the after-session, but not recalculated. Default value is "false".

Period(1) for the average daily range: This is the period used to calculate the shorter average daily range. Default value is 3 days, maximum selectable is 100 days.

Period(2) for the average daily range: This is period used to calcualte the longer average daily range. Default value is 10 days, maximum selectable is 100 days.

Session: Select between the full ETH and the RTH session. Default value is "ETH."

Session for RTH: Select the RTH session, for which you want to display the bands. For FOREX, you would select "First" for the Asian session, "Second" for the European session and "Third" for the US session, if you use a session template with 3 intraday sessions. For ES you would select "Second", if your session is divided into night and day session. Default value is "Second". This option only applies, if "RTH" has been selected under "Session". A hybrid setting selects the third intraday session for FOREX and currency futures, and the second intraday session for all other futures contracts. Only select it, if you use triple session templates (Asian, European, US) for FOREX and Currency Futures.

Show Current Open: Selects or unselects Current Open.

Show Dynamic Fib Lines: Selects or unselects intraday Fibonacci retracements. Fib retracements will only be shown if Show High/Low is set to true.

Show High/Low: Selects or unselects to show the current day's high and low.

Show Projection Bands: Selects or unselects projection bands.

Show Projection Labels: Selects or unselects projection band labels.

Show Range Data: Displays average daily ranges and current day's range for the selected session in the upper left or upper right corner of the chart.

The indicator now calculates average daily ranges without using range data from Globex holiday sessions.

Update Jan 23 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Price markers are now correctly formatted for US interest rate futures and FOREX. FOREX ranges are displayed in PIPS.
Update June 2, 2011: New signature for GetNextBeginEnd() implemented.
Update June 20, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update June 25, 2011: Band colors were not serialized and therefore did not keep the selected color, when saved as part of a template or workspace.
Update July 11, 2011: Different band types are available. Once the daily target range has been exceeded, bands will change color and can be frozen, further expanded or cut off.
Update July 18, 2011: Serialization of the plots changed.
Update September 11, 2011: Expanded bands did not display correctly on days when both upper and lower range targets were hit. Bug removed.
Update September 24, 2011: ChartControl checked for null, indicator can now be called by strategies.

Details: SessionVolatilityBands V38

July 11th, 2011
Size: 13.43 KB
Downloaded: 3386 times

Keywords: dailyrange range session volatility

Fibs From Prior Sessions V43

Exported using NT Version 7.0.1000.26

Indicators will only run on NT 7.0.1000.5 or later.

This is a family of 3 indicators to display fibonacci retracements and expansions calculated from the high and the low of the prior day, the prior week and the prior month. High and low can be taken from daily data or from intraday data. When taken from daily data, the order of the retracements may be inverted, when high and low were made on the same day.

Chart settings: Please set the right side margin under chart properties to 200 to allow for correct display of the labels. The colors are better adapted to dark chart backgrounds.

Session templates: The indicators require the use of a correct session template for the instrument shown on the chart. With an ETH template retracements and expansions can be only calculated from the full session high and low. If you want to calculate retracements and expansions from the regular session, it is recommended to use a multi-session template that divides the day into the night session, regular session and after-session.

ETH: If you set the indicator to ETH, the retracements will be calculated from the high and the low of the full trading day. To avoid inverted levels best calculate all fibonacci lines from intraday data.

RTH: Please use a multi-session template. The retracements will be calculated from the selected RTH session. If the daily data supplied by your data supplier is regular session data, no multi-session template is required and you can display retracements and expansions calculated from the regular high and low by setting the indicator to "DailyBars".

Auto setting for the 3 indicators: The Auto setting will preselect ETH for FOREX and all CME currency futures, but preselect RTH for all other instruments.

Fibonacci Levels: The numerical values for the Fibonacci levels can be individually selected. If you need more than five retracement and expansion levels, you can add the indicator to your chart several times. If you do not wish to display some lines, please set the value for the Fibonacci ratio for these lines to zero, and the lines will not be plotted.

Display Options: Prior day's close, fibonacci retracements and fibonacci expansions can be switched on and off separately. The indicator further allows to display all plots for the prior days with or without labels. The label font size can be selected.

GLOBEX holiday sessions with settlement next day: The indicators are preconfigured for Globex holiday sessions without settlement for trade date next day or later. These trade dates are President�s Day, Martin-Luther-King Day, Memorial Day, Independence Day, Labour Day and Thanksgiving. The indicators will use double day sessions for these days for all GLOBEX and NYMEX traded instruments.

Update December 15, 2013: Weekly and monthly indicators added. Daily indicator entirely recoded. Plots can now be displayed for several days. Holiday calendar added for 2014.
Update January 19, 2014: The ratios for the fib levels are now user selectable.
Update December 29, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

Details: Fibs From Prior Sessions V43

December 29th, 2014
Size: 35.00 KB
Downloaded: 3375 times

Keywords: close fibonacci low session expansions high retracements

Initial Balance Range Bands V42 MTF

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later.

The indicator displays the current open, the initial balance (IB) and upper and lower range bands that are calculated by adding and subtracting fractions of the initial balance to the IB high and IB low. This version is a multi-timeframe (MTF) version of the standard Initial Balance Range Bands V42 indicator. The indicator adds a second minute bar series to the chart, which is used to calculate the initial balance. It has the following advantages over the standard version:

For tick, range and volume charts: The standard indicator may not display the initial balance correctly, if the last bar expands the initial balance and closes after the opening period. The MTF version of the indicator will display the initial balance correctly, even if the primary bar series does not contain the necessary information for its calculation. An example is shown on the chart attached.

Use with minute charts: You want to use this indicator with minute charts, if the opening period is not an integer multiple of the bar period. Example: You trade 7 min charts and your opening period is 30 minutes.

You can only use this indicator with an appropriate session template. The opening time will align itself to the start time of the RTH session, as specified via session template. The hybrid setting assumes that you want to use the 3rd intraday session as RTH session for FOREX and currency futures and the second session for all other instruments.

Example ES: Select a session template with the following sessions: Session 1 (night session) 15:30 - 8:30 Central Time, Session 2 (RTH) 8:30 - 15:15 Central Time. Select second session for opening range.

Select length of opening period: The length of the period for establishing the initial balance can be selected via indicator dialogue box. The default setting is 60 minutes.

Select Offset: With an offset of 00:00, the indicator aligns to the start of the selected session. If you enter a positive value for the offset, the opening range will be shifted forward from the session start. For example if you open a chart for ES with the session template US CME Index Futures, then the session (and the trading day) starts at 5:00 PM Central Time. To display an opening range for the regular session, you need to enter an offset of 15:30, because the regular session starts 15 hours and 30 minutes after the start of the trading day.

Multipliers for range bands: The multipliers for the upper and lower range bands can also be changed. The default settings for the bands are 0.5, 1 and 2, meaning that the first upper band is built from the IB high by adding half of the IB range, and similar for the other bands.

Display regular open or one-minute-range: The indicator allows to either display the regular open or the range of the first minute of trading after the start time selected for the opening range.

Developing range: Prior to the completion of the opening range, the indicator plots the developing range in gray to show that the range is still incomplete.

Night session or pre-session range: The indicator also has an option to display the full night session, European or Asian session range. This feature is not used with the default settings. I did not add it on purpose, it was already part of the opening range indicator, and it was easier to leave it than to remove it.

European Session Range: You can select start and end time of the European Session in CET (Central European Time). The European Session is pre-configured for the time between 8:00 AM and 1:00 PM CET.

Asian Session Range: You can select start and end time of the Asian Session in TST (Tokyo Standard Time). The Asian Session is pre-configured for the time between 9:00 AM and 3:00 PM TST.

Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update December 8, 2013: Indicator entirely recoded. Offset added, opening period no longer needs to be aligned to the session start. Drop down property added for time zones. Custom plot added.
Update March 15, 2015: Regular open and minute range were drawn back to start of trading day on tick charts. Bug removed.

Details: Initial Balance Range Bands V42 MTF

March 15th, 2015
Size: 13.19 KB
Downloaded: 3362 times

Keywords: initialbalance open rangebands mtf openingrange volatility

Relative Volume V23

Exported using NT version 7.0.1000.26

Only to be used with minute or daily charts.

The relative volume indicator measures the volume of a fixed period bar against the average volume over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's volume is compared to the average volume of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's volume is compared to the average volume calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative volume for the period of the day. For example on the chart today's highest relative volume occured after a news release, just prior to the start of the regular session. Compared to the last 40 business days, the relative volume was 593% (about 6 times higher than for a normal business), whereas it was 509% (about 5 times higher than for a normal Friday). The cumulated volume for today is 26% higher compared to an average business day and 20% higher compared to an average Friday.

Average volume bars - between 80% and 120% of normal volume - are shown as white bars. If the relative volume exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.

Update February 26, 2013: Following the rescheduling of the daily trading sessions by CME in November 2012, the indicator did not work correctly. I had published a new version in the thread on the Relative Volume Indicator, which is now available for download here.
Update October 28, 2013: Null check added when calling ChartControl. The indicator can now be used as input series for other indicators or strategies.
Update December 5, 2014: Indicator entirely recoded. Indicator is now considerably faster and should cope with different data feeds. Option added to compare today's volume to all prior business days. The prior version could only do comparisons for the same day of the week.
Update December 10; 2014: Error message added to inform user when the chart lookback period is insufficient.
Update December 29, 2014: Holiday calendar and error messages updated.

Details: Relative Volume V23

December 29th, 2014
Size: 7.63 KB
Downloaded: 3320 times

Keywords: relativevolume seasonality volume

SessionTWAP Daily V43

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Time Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session theTWAP shall be shown.

Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.

Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.

ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the TWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

RTH multi: The TWAP will be displayed starting from the open of the RTH session as specified and then continue through the after session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Public Holidays: For Globex instruments the indicator will display the ETH TWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar.

Colors: Different colors can be selected for rising and falling TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update Jan 23, 2011: Globex holiday calendar for 2011 added. Holiday sessions will only be applied to Globex instruments. Indicators now also work on tick and volume charts.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update June 15,2011: TWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of TWAP bands added.
Update July 26, 2011: SessionTWAP uses (high + low + open + close) / 4 for higher accuracy. Adapted to different plot styles.
Update January 25, 2012: Globex holiday calendar for 2012 added. Small bug removed, which had affected the plot colors.
Update July 4, 2012: Serialization of plot parameters changed.
Update February 23, 2013: Plot recoded & CPU efficiency improved, Globex holiday calendar for 2013 added.
Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 9, 2013: Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

Details: SessionTWAP Daily V43

December 28th, 2014
Size: 10.22 KB
Downloaded: 3320 times

Keywords: bands range session twap vwap eth rth standarddeviation variance

MultiPeriod Candles

Exported using NinjaTrader 7.0.1000.8

This is a simple indicator that allows to display larger timeframe candles on any chart. For example you can display 30 min or 60 min candles on a 5 min chart.

The larger timeframe candles are plotted behind the standard candles of the chart and are aligned to session times. Colors and opacity of the candles and the candle outline color can be selected.

The indicator has been tested to work on fixed period (minute), tick, range, Kagi, Renko and rangeNoGap charts. Due to its session logic in cannot be used on daily data.

Update December 3, 2010: Improved to work with all data feeds. Some data feeds fill and other do not fill the minute data, when no trade has occurred. The indicator will now select the correct intervals in both cases.
Update May 6, 2011: Bug fixed. On minute charts the first multi period candle after the session start contained one bar less than expected.
Update December 14, 2011: Indicator optimized following suggestion by Richard (Zondor).

Details: MultiPeriod Candles

May 10th, 2011
Size: 6.98 KB
Downloaded: 3259 times

Keywords: candles candlesticks multi timeframe

VolumeGraph

I wrote this indicator because I like to look at Volume, but wanted something different than just "green=higher volume, red=lower volume".

So, this indicator uses a sophisticated exponential Linear Regression Slope method to determine if the Volume color should be Up or Down.

It also adds an average to quickly identify volume spikes.

Mike

COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: YES (tested by sam028)