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MarketDataType.LastClose

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    MarketDataType.LastClose

    Is the price that MarketDataType.LastClose returns affected by the Session template's End Time? E.G. If the Session template for the ES (CMS US Index Futures ETH) is modified so the session End Time is changed from 4:15pm CT to 3:00pm CT would that change the time at which the ES closing price is captured, thus returning the closing price at 3pm instead of 4:15pm?

    Or, is the .LastClose price determined by the exchanges?

    Thanks.
    Last edited by zacharydw00; 09-29-2017, 04:53 PM.

    #2
    Harry explains here.

    Comment


      #3
      Hello zacharydw00,

      The LastClose as well as all market data and fundamental data does come directly from the exchange and would not be affected by any applied session template.

      (This would be the same as the LastClose column in the Market Analyzer.)

      Instead you would want to use a 1440 minute secondary series which can have the template applied.
      Chelsea B.NinjaTrader Customer Service

      Comment


        #4
        Follow up

        How does the Market Replay connection calculate/receive the MarketDataType.LastClose data?

        I've noticed that data does not seen to be available right away. It seems to become available after the first day of RTH data has closed. And, moving the M/R slider causes that price data to disappear.

        Edit 2/23/18: Hi guys. This question is over a week old. Any one there to answer?
        Last edited by zacwhitesi; 02-23-2018, 10:56 AM.
        zacwhitesi
        NinjaTrader Ecosystem Vendor - Shark Indicators

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          #5
          Hi guys. My question above is over two weeks old. Any one there to answer?
          zacwhitesi
          NinjaTrader Ecosystem Vendor - Shark Indicators

          Comment


            #6
            Hello zacwhitesi,

            The market data in Market Replay data is recorded from a live connection.

            This is not calculated, but is instead playback when it would have been recorded for a live connection.

            Typically the LastClose will come out after the close of a session.

            (I'm seeing the ES typically produces a LastClose around 4:30 PM Central in Playback.)
            Chelsea B.NinjaTrader Customer Service

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