Day close Data / Differences betwenn NT 7 /8

[Mirasol]

Hello,
I started to work with NT8 several weeks ago, rebuilding my templates, workspaces etc from NT 7. That works fine so far .

But I noticed that there are differences between end of day data, regarding the close price, which I can´t explain. Following to that, there are wrong daily candles built.
Attached you will find an example for the FDax 03/16, but also wrong data in ym03/16 and other. I tried to reload historical data etc, but no result.
The NT 7 shows the correct closing price for the day.
Intraday data are all correct and similar form NT 7 to 8, for example 1, 5,60 minutes Charts, they all shows the correct closing price for the day.
Thanks for help,
André

[roslja]

It looks like NT7 daily bars have been built from minute bars and NT8 ones have been downloaded as daily bars. These two are not the same. You may even see this on FDAX official page, closing price does not eqial to settlement price, see the screenshot below.

[Mirasol]

Day close Data / Differences between NT 7 /8

Sorry, but that´s not quite right.
In NT 7 Daily data has been delivered also as daily bars and in my chart these daily data is used. There are no different settings in my Nt 7 / 8 platform and data provider/feed is the same in NT7/8 (using continuum).

Trading hours in the Fdax are from 8:00 a.m. to 10:00 p.m. Settlement is at 5:30 p.m (but thats not the daily closing price, which is at 10:00 p.m.) .
So why are there these differences between Nt7/8 when data feed and provider are same. Is there anything adjustable in the NT8 platform settings or underlying settings, so I will get the right data?
Close price is close price and the last price of the day and no settlement price from hours before. At the moment every charts for the Fdax, which are based on daily data (weekly, monthly etc) are not correct. Can you please check this?

[NinjaTrader_EricB]

Hello Mirasol,

Thank you for your post,

I do see the same results on my end when loading the FDAX 03-16 Daily charts, I will report this to our Development team to look into further.

To confirm, what is your Merge Policy set to on each respective platform? (Tools > Options > Data tab).

[Mirasol]

Day close Data / Differences between NT 7 /8

Hello Eric,

Settings are as shown in the attachment .

Best regards

[NinjaTrader_EricB]

Hello Mirasol,

Thank you for your reply,

I was able to get in touch with our Product Management team and learned the method NinjaTrader uses for the Close price of Daily bars has changed from NinjaTrader 7 to NinjaTrader 8.

In NinjaTrader 7, the close price for Daily bars was the last traded tick -- In NinjaTrader 8, however, the close price is adjusted to the settlement price reported via the data provider.

[Mirasol]

Hello Eric,
Thank you for your reply.
But that would not be right and that way I can't work with NT 8.
And I am sure, that you will get further requests from other users when NT 8 is on the run and used by more clients. Because it s not only a problem with the FDax.

[roslja]

Hi Mirasol.
I had similar reaction when I first learned that official daily close does not include last ticks, minutes or even hours deppending on the instrument's type. But, trust me, this is the only right way. Once you get used to this it will make more sense. Meanwhile, If you want to have daily bars with all ticks inclided you can use 24Hours (or 1440Minutes and so on) bars instead of 1Day bars.

[NinjaTrader_EricB]

Hello Mirasol,

Thank you for your feedback, roslja's suggestion of using a 1440-minute chart would certainly allow you to see the same Daily bar Close value that you were used to in NinjaTrader 7.

[Mirasol]

Hello Eric,

thanks for reply. I know this solution of using Intraday Data to create Daily Candlestick-Charts, but that could not be the solution and what about weekly and monthly? Also indicators which are based on daily data (like pivots) has to switch to intraday calculation. Very complicated and not progressive, don´t you think?
And I cant´t agree to roslja opninion regarding the settlementprice as close,.. sorry but the Charts have to fit to the officila Eurex reporting.

Can you also please check the data for the ym 03/2016 contract? Since 01.02.16, there are completely different data regarding open, high, low, close and volume. Why that?

[NinjaTrader_EricB]

Hello Mirasol,

Thank you for your reply,

The change actually puts the Daily chart's close price more in-line with what is reported via the Exchange.

For example, the FDAX Daily chart's listed close price for 2.22.16 in NinjaTrader 8 is listed as 9,571.50, which is the same settlement that is repored via the Eurex exchange. Please see below.

http://www.eurexchange.com/exchange-...-Futures/17206

However, NinjaTrader 7's Daily chart lists the close at 9,578.00 -- because this was the last tick and not the settlement.

Regarding the YM issues you mentioned, this would be due to the Daily bars being ETH instead of RTH. To view the same values, you would need to load the chart as a 1440-minute chart and apply the CME US Index Futures RTH Session Template.

Let us know if we may assist further.

[Mirasol]

Hello Eric,
yes, that is reporting the settlement price of the Eurex. But there is a difference between settlement and close price at Eurex. Close Price (or the last traded Tick) is also reported. The definition of Close Price in NT 8 is not correct in my opinion. It has to contain the Close price and not the settlement price of Eurex. And I do not know any Platform, which it reports the way NT 8 does at the moment.
Because of that, you get different Candle Patterns in the daily chart as you will see in the attachment. To change the chart in to 1440minutes is no solution, because then, the calculation of the Emas are different. Please check this by using, for example an Ema 200 in the 1Day and a 1440 minutes chart. There will be different values.

[NinjaTrader_EricB]

Hello Mirasol,

Thank you for your reply,

I do see that Eurex's method for the Daily Settlement is an average of transactions during the minute before 17:30 CET, so it would not be including the last traded tick.

I will forward a request to Development regarding a possible feature that will allow switching between the NT7 and NT8 methods for Daily bar close prices.

Regarding the 1440-minute chart, make sure you're also applying the correct Session Template / Trading hours template. I tested the scenario from my last reply with the YM 03-16 Daily Chart and the CME US Index Futures RTH template and the SMA values were on for what is reported for a Daily chart in NT7.