syswizard, refer to today's trading in April Light Crude. Link to 5 min chart ... http://www.futuresource.com/charts/charts.jsp?s=RCLJ07&o=&a=V:5&z=800x550&d=LOW&b=bar&st=
Ellis I don't think that this is the problem, because even prior to referring to the Length, the DTR (as opposed to DATR) is providing an incorrect value.
Thanks for the formatting tip for displaying this indicator. Makes it a lot easier to check my coding.
That's not a CHART, that's a JOKE ! Hopefully, ONE OF THESE DAYS, when open outcry is eliminated, these secondary electronic markets will start to show some "life" (i.e. liquidity). Recent Story: a Hong Kong trader was trading the emini gold futures via my broker and started to complain about the order execution...and the fact he wasn't getting his stops filled properly. I looked at the market, and actually ran a few orders in sim mode, and sure enough, stop orders would get filled 2-5 ticks away from the stop price. I told him it was the market, NOT THE PLATFORM. He continued to complain to the broker about the platform having "bugs" and what-not. The broker ended-up terminating the guy's account. Moral: trade in low liquidity instruments, and expect to get "hit" once in a while with a bad fill.
This appears to calculate the average range rather than the average "true" range. The ATR should take into account any unfilled gaps betwen the day's close and the next day's high or low. It's when I start introducing the close into the calculation that I start running into problems.