I am downloading all historical data via the Historical data manager. Every day after the market close I select two instrument lists and update all tick, minute and daily data. The lookback period for downloading data is preset to one week. I have been doing this with NinjaTrader 7 for years and it worked.
Today I discovered that with NinjaTrader 8 for all instruments historical tick data was not correctly downloaded for the trading days during the time when the US and Europe had different daylight savings schedules. Examples:
YM: March 14, March 16, March 17, March 20, March 21 missing
NQ: March 14, March 16, March 17, March 20, March 21, March 22 missing
HO: March 16, March 17, March 19, March 21, March 22 missing
Analysis
As I am only downloading data via the Historical Data Manager, and as I had not opened any charts for YM, NQ and HO recently, I know that the missing data can only be attributed to the malfunction of the download manager.
The problem only occured when US and Europe had different daylight savings schedules. During this period the start of the trading day is 11:00 PM local time. And the download manager precisely failed to download the data between 11:00 PM and 12:00 AM. This happened for all futures contracts, although the dates are not 100% identical.
Only tick data was affected. Minute data was correctly downloaded.
Updating tick data for a futures contract
Let us assume that I had updated data for a futures contract yesterday prior to the market close. Market close was at 10:00 PM local time and the markets reopened at 11:00 PM (when the US observes summer time and Europe winter time). Today I am updating tick data and set the lookback period to 1 week.
Now NinjaTrader downloads all data of today (calendar day) but fails to download the missing hour from yesterday (11:00 PM to 12:00 AM) leaving a hole in my historical data.
These data holes are a very annoying feature of NinjaTrader, as they are never filled unless you open a chart and reload all historical data. And the historical data manager is definitely not working as expected.
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