// Page 1. Why use session templates, how to set up your database, charts, and the right solution for each instrument.

Transcription

1 // Page 1 Why use session templates, how to set up your database, charts, and the right solution for each instrument.

2 // Page 2 TABLE OF CONTENTS: Getting Started Why Use Session Templates Default Instrument Settings...5 Instrument Manager...6 Session Manager...7 Advanced Settings....8 Isolating the RTH Session...9 Exhange Timezone Energy & Metals...15 Softs & Grains European & U.S. Index Futures...17 European & U.S. Bond Futures...18 Forex Session Indicators...20

3 First of all, what is a trading session? GETTING STARTED A trading session is one day of business in a financial market, from open to close. Within this >me frame, all orders for the day must be placed. During this >me buyers and sellers influence market prices. Originally a trading session referred to the floor session, when traders and brokers would meet physically in the trading pit. Since the introduc>on of electronic markets, the concept of a trading session has broadened. For example, if we display the S&P500 with a default session template, we get a chart from 5:00 PM CT to 4:15 PM CT. This includes the night session, the regular session and the evening session. A default session template for the S&P includes 3 sessions; - night session - regular session - evening session // Page 3

4 WHY USE SESSIONS? But, do we need the data of the night session? Why should we know where the S&P traded during the European Session, and why we care about the evening session? Does it contain useful informa>on? And if yes, what is the best way of accessing it? Many instruments are now traded around the clock. The high and lows of the Asian and European sessions therefore have important pivots that may be tested during the US session. The price ac>on of the night session is more recent than that of the prior day and our indicators should therefore be able to access these price points. To sum up, it is important to work with a chart serng that references the previous night, regular and evening session. Generally we can access these price levels by using the default instrument serngs, as defined by the NinjaTrader instrument- and session manager. // Page 4

5 1 DEFAULT INSTRUMENT SETTINGS First check that the "instrument serng" session template automa>cally appears when you open up a new chart in the Data Series window. In this example we will use Australian Dollar (6A). 2 // Page 5

6 INSTRUMENT MANAGER By opening the instrument manager, selec>ng 6A and choosing "edit, you may review the default session template. The instrument editor reveals the default session template for 6A to be "CME FX Futures ETH" // Page 6

7 1 SESSION MANAGER By entering the Session Manager, we may review the specific open and close hours of the "CME FX Futures ETH session template. 2 3 // Page 7

8 ADVANCED SETTINGS The Regular Trading Hours (RTH) session refers to the original floor trading session, which is when traders met physically on the exchange floor to buy and sell stocks and commodi>es. The Electronic or Extended Trading Hours (ETH) refers to the "around the clock" session, including the night-, regular- and evening sessions. For most instruments, important vola>lity and volumes levels are created during the Regular Trading Hours (RTH). It is therefore some>mes useful to dis>nguish between the RTH and ETH session. Commodi&es, equi&es and bond markets all have strong pit tradi>ons and may therefore have a bias towards price benchmarks created during the RTH. But for the Forex markets there was never a local exchange with local trading >mes that influenced the en>re market. This makes ETH session templates more appropriate for FX instruments. // Page 8

9 ISOLATING THE RTH SESSION To analyze the RTH price ac>on, we want to isolate it within the ETH session. By adding session breaks and dividing the day into three sub- sessions, we gain addi>onal control of how to display the price informa>on: 2 1 Go to the Session Manager in the Control Center Choose "New" // Page 9

10 1 2 Add the night session for Sunday and choose the exchange time zone Enter a name for your session template // Page 10

11 1 Check that the times were entered correctly 2 // Page 11

12 Check that the times were entered correctly 1 2 Add the evening session for Monday // Page 12

13 Check that the times were entered correctly As you load the chart, pay attention to the session breaks. These will allow additional control on how to display the price information. Repeat the same process through Tues. to Fri. // Page 13

14 EXCHANGE TIMEZONE NinjaTrader always displays charts in local >me (>me as set per your PC clock). Depending on where in the world you are and the markets you trade, there may be a >me difference with the appropriate exchange. Using session templates is a useful method to keep track of the relevant trading hours. This is especially true with respect to daylight savings >me (Europe and the U.S. adjust with 2 weeks difference). Conclusion: Your session templates can plot a ver>cal line at the regular market open, another for the evening session and finally one for the night session. This gives you a clear idea of what is happening at all >mes because your charts will automa>cally refer to the local exchange 3me, regardless of the >mezone you are in. Keep track of relevant trading hours in different >mezones! ET = Eastern Time CT = Central Time CET = Central European Time // Page 14

15 Commodi>es have a strong tradi>on of floor traders. Un>l recently the original floor pivots worked beher than full session pivots. However, there is now ample volume also during the European session, and you may also use the ETH price data to calculate pivots. Energy, Metals and So<s are traded in ET, grains in CT: ENERGY CME NYMEX (ET) SESSION TEMPLATES Instrument Abrev. 1st session 2nd session 3rd session Crude Oil CL 6 p.m. 9 a.m. 9 a.m p.m p.m p.m. Hea>ng Oil HO 6 p.m. 9 a.m. 9 a.m p.m p.m p.m. Gasoline RB 6 p.m. 9 a.m. 9 a.m p.m p.m p.m. Natural Gas NG 6 p.m. 9 a.m. 9 a.m p.m p.m p.m. METALS CME NYMEX (ET) SESSION TEMPLATES Instrument Abrev. 1st session 2nd session 3rd session Gold GC 6 p.m a.m a.m p.m p.m p.m. Silver SI 6 p.m a.m a.m p.m p.m p.m. Copper HG 6 p.m a.m a.m. 1 p.m. 1 p.m p.m. // Page 15

16 SOFTS NYMEX (ET) SESSION TEMPLATES Instrument Abrev. 1st session 2nd session 3rd session Cohon TT 6 p.m p.m. Cocoa CJ 6 p.m p.m. Coffee KT 6 p.m p.m. Sugar YO 6 p.m p.m. GRAINS CBOT (CT) SESSION TEMPLATES Instrument Abrev. 1st session 2nd session 3rd session Corn ZV 7 p.m a.m a.m p.m p.m. 7 p.m. Wheat ZW 7 p.m a.m a.m p.m p.m. 7 p.m. Soybean Oil ZL 7 p.m a.m a.m p.m p.m. 7 p.m. Soybean Meal ZM 7 p.m a.m a.m p.m p.m. 7 p.m. Soybean Fut. ZS 7 p.m a.m a.m p.m p.m. 7 p.m. // Page 16

17 FDAX & FESX are part of the XETRA market segment of Deutsche Börse. All &mes are Central European Time, which is the >mezone of EUREX. The regular session opens at 9:00 AM and closes at 5:30 PM, and accordingly, the day is divided in three sub- sessions. Instrument Abrev. 1st session 2nd session 3rd session DAX Future FDAX 8 a.m. 9 a.m. 9 a.m p.m p.m. 10 p.m. Euro Stoxx FESX 8 a.m. 9 a.m. 9 a.m p.m p.m. 10 p.m. The US index futures all have the same session. The only excep>on is the Russel2000, which trades longer and therefore needs an arer- session. All &mes are CT, which is the >me zone of CME. Instrument Abrev. 1st session 2nd session 3rd session Mini Dow YM 5 p.m a.m a.m p.m p.m p.m. Mini S&P ES 5 p.m a.m a.m p.m p.m p.m. Mini Nasdaq NQ 5 p.m a.m a.m p.m p.m p.m. // Page 17 EUROPEAN INDEX FUTURES (CET) SESSION TEMPLATES U.S. INDEX FUTURES (CT) SESSION TEMPLATES

18 EUROPEAN (CET) BOND FUTURES SESSION TEMPLATE Instrument Abrev. 1st session 2nd session 3rd session Euro Bund Futures FGBL 8 a.m a.m a.m p.m p.m. 10 p.m. U.S. BOND CME CBOT (CT) FUTURES SESSION TEMPLATES Instrument Abrev. 1st session 2nd session 3rd session 30 year U.S. Treasury Bond Ultra Treasury Bond 10 year U.S. Treasury Bond ZB 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. UB 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. ZN 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. // Page 18

19 FOREX (CT) SESSION TEMPLATES There is no centrally located exchange for FOREX instruments. Although volume and vola>lity are s>ll highest during the London/ New York overlap, these markets are truly global. We should therefore use ETH session templates, however, should you wish to isolate RTH session, the below serngs are based on the U.S. open, CT &me. Instrument Abrev. 1st session 2nd session 3rd session Australian Dollar 6A 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. Bri>sh Pound 6B 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. Canadian Dollar 6C 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. EUR/USD 6E 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. Japanese Yen 6J 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. Swiss Franc 6S 5 p.m a.m a.m. 2 p.m. 2 p.m. 4 p.m. // Page 19

20 SESSION INDICATORS: Once the sessions have been set up correctly, the price data can be accessed by the LizardTrader session indicators : Session Pivots: All indicators can be used with daily or intraday data. For full session Globex or FOREX pivots all indicators should be set to ETH, and a template should be used that covers the full contractual trading >me. This template may consist of one or several subsessions. For regular session floor pivots, a specific RTH template should be used as described in this document. Session VWAPs/RWAPs/TWAPs: We generally recommend to use all SessionVWAP indicators with an ETH template consis>ng of one or several subsessions. The subsessions are only needed if you wish to calculate the average prices and SD bands for the regular session only. Session templates do not have any impact on the use of daily historical data. // Page 20