Fusion Builder User Guide: Understanding Break at EOD and Data Gaps

Overview

When building indicators that combine data from multiple sources—like plotting NYSE breadth data on a 24-hour ES futures chart—you’ll encounter situations where one data source has gaps while another continues trading. Fusion Builder handles these scenarios through the Break at EOD setting in the Data Series Manager.

This guide explains how Fusion Builder manages data gaps and how to configure your setups for optimal results.

What Are Data Gaps?

Data gaps occur when your chart’s primary instrument is trading but a secondary data source is not. Common examples include:

During gap periods, Fusion Builder needs to know: should the indicator hold its last value or show a gap on the chart?

The Break at EOD Setting

Break at EOD (Break at End of Day) controls how Fusion Builder handles data from secondary series that have different trading hours than your chart.

Where to Find It

1. Open the Fusion Builder
2. Click the Data Series tab in the properties panel
3. Add or edit a data series
4. Find the Break at EOD checkbox in Data Series Settings

What Each Setting Does

Choosing the Right Setting

Enable Break at EOD When:

• Your secondary data only trades during specific hours (NYSE internals, market breadth)
• You want the indicator to clearly show “no data available” during off-hours
• Accuracy matters more than visual continuity
• You’re using indicators like McClellan Oscillator, TICK, ADD, or VOLD

Example: McClellan Oscillator using NYSE Advance ($ADV) and Decline ($DECL) data on a 24-hour ES chart. During overnight ES trading, the McClellan plot will gap because there’s no NYSE data—this is correct behavior.

Disable Break at EOD When:

• Your data should logically persist across session boundaries
• You’re using cumulative or running-total indicators
• The secondary series is the same instrument at a different timeframe
• Visual continuity is preferred over gap accuracy

Example: A 5-minute ES chart using Daily ES bars for pivot calculations. The daily value should carry forward throughout the session, not gap.

Common Scenarios

Scenario 1: McClellan Oscillator on 24-Hour Futures

Setup:

• Chart: ES 09-24, any timeframe, 24-hour session
• Data Series 1: $ADV (NYSE Advancing Issues)
• Data Series 2: $DECL (NYSE Declining Issues)

Recommended Settings:

• Break at EOD: Enabled for both $ADV and $DECL

Result: McClellan Oscillator plots during NYSE hours (9:30 AM – 4:00 PM ET) and gaps during overnight ES trading. This prevents misleading flat lines from stale data.

Scenario 2: Multi-Timeframe Analysis

Setup:

• Chart: ES, 5-minute bars
• Data Series: ES, Daily bars (for daily high/low/close)

Recommended Settings:

• Break at EOD: Disabled (or leave at default)

Result: Daily values carry forward on each 5-minute bar until a new daily bar forms. No gaps during the session.

Scenario 3: BlockVolume or OrderFlow Indicators

Setup:

• Chart: ES, 5-minute bars
• BlockVolume indicator block

Note: BlockVolume and other OrderFlow indicators automatically manage their tick data series. The Break at EOD setting in the Data Series Manager does not affect these—they use internal tick forwarding that operates independently.

Understanding the Visual Behavior

When Break at EOD is enabled and the secondary data is outside its session:

1. On the chart: The plot line will have a visible gap (no line drawn)
2. In calculations: The value is treated as “no data” (NaN)
3. Downstream blocks: Math and Logic blocks receiving this gap will also output gaps (NaN propagates)

When Break at EOD is disabled:

1. On the chart: The plot line continues at the last known value
2. In calculations: The last valid value is used
3. Downstream blocks: Calculations continue using the carried-forward value

Smart Defaults by Bar Type

Fusion Builder automatically sets sensible Break at EOD defaults based on your bar type:

You can override these defaults when adding a data series.

Troubleshooting

“My indicator shows flat lines overnight”

Cause: Break at EOD is disabled, so the last value carries forward.

Solution: Edit the data series in the Data Series Manager and enable Break at EOD.

“My indicator has gaps during trading hours”

Cause: The secondary data series trading hours don’t match your chart’s session.

Solution:

1. Check that your secondary data series instrument is correct
2. Verify the Trading Hours template matches the data source
3. Ensure data is available for that instrument in NinjaTrader’s historical data

“My daily pivots disappear during the session”

Cause: Break at EOD is enabled on your daily data series.

Solution: Disable Break at EOD for the daily series so values carry forward.

“I don’t see my changes taking effect”

Cause: Data series changes require a chart reload.

Solution: Press F5 to reload the indicator after making changes in the Data Series Manager.

Technical Notes

How Fusion Builder Determines “In Session”

When Break at EOD is enabled, Fusion Builder checks each bar’s timestamp against the trading hours template of the secondary data series. If the timestamp falls outside the defined session, the value is treated as a gap.

NinjaTrader’s Native Behavior

NinjaTrader’s charting engine has a helpful feature: even when an indicator outputs a gap (NaN), the chart visually continues displaying the last plotted value. This means:

• What you see: A continuous line (visual persistence)
• What calculations receive: The true gap value (NaN)

This gives you accurate calculations while maintaining readable charts. Fusion Builder leverages this behavior rather than fighting against it.

Session Boundaries and Bar Building

Break at EOD also affects how bars are constructed at session boundaries:

• Enabled: A new bar is forced at the start of each session, even if the previous bar’s time period hasn’t completed
• Disabled: Bars can span across session boundaries (more relevant for Range, Renko, and P&F bars)

Best Practices

1. Match your data’s reality: If the data source doesn’t trade 24 hours, enable Break at EOD
2. Test with historical data: Scroll back to see how gaps appear during overnight/weekend periods
3. Consider downstream effects: A gap in one block propagates to all connected blocks
4. Document your setups: Note which series have Break at EOD enabled when saving templates
5. Use consistent settings: If multiple series represent the same market (like $ADV and $DECL for NYSE breadth), use the same Break at EOD setting for both

Summary

For most traders using NYSE market internals on futures charts, enabling Break at EOD for those secondary data series will give you the most accurate representation of when data is actually available versus when it’s simply being held over from the previous session.