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merge day + minute

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    merge day + minute

    hi

    i have noticed a problem when i merge futures contracts

    if i have 2 future data sets both with good data :

    day high lows matching same minute bar max high + min lows for the day

    i then merge old into new using merge (nt6,5) ..

    day + minute data high lows for new merged contract are now different in pre merge dates

    ie do minute data + day data use a different offset when merging ?

    do i need to equalize minute + day data in old contract pre- merge ? ie eod close = last minute bar close ?

    rgds

    alex

    #2
    Alex, for NT 6.5 the merge would backadjust the data as per the formula outlined here - http://www.ninjatrader-support.com/H...eV6/Merge.html

    In NT 7 this manual merge is not needed anymore, as automatic continuous contracts with multiple merge policy options are default here.
    BertrandNinjaTrader Customer Service

    Comment


      #3
      hi bertrand

      thanks for reply

      i have read the help on merge thoroughly , the formula states :

      New price = Old price + (Open price of front month of merge date - Close price of expiring month on the day prior to the merge date)

      what i am experiencing is a different adjustment being made to days and to minutes

      ie my days and minutes both adjust with nice join in history , however the days going back are out of sync with the minutes.

      are minutes adjusted to the close of merge dates minute data + days to days close?

      i think problems because 24 hr clock 00:00 + days data set around market closes circa 5pm est

      make sense ?


      alex

      Comment


        #4
        Alex, I'm not aware of a different formula used for the various granularities - do you see the same if you open your daily charts for both expiries (please check if the data is reporting ok and if it's complete prior to the merging) and then disconnect and do the merge? I believe this happend as you accidentially downloaded missing data then for the new expiry which would not be adjusted of course then downloaded directly from the server.
        BertrandNinjaTrader Customer Service

        Comment


          #5
          hi bertrand

          thanks for reply

          i made this merge while disconnected + checked the data beforehand

          minutes + dayas all in sync for both the merged to + from data

          i made the merges on weekend days ie merging up to friday from old data so 1st day sunday for data i was merging into , maybe this could have created problem ?

          alex

          Comment


            #6
            Hmm, that might be the case alex, though I've never heard of that before - would you see it working as expected when ensuring both dates fall on a weekday in your local timezone setup?
            BertrandNinjaTrader Customer Service

            Comment


              #7
              hi bertrand

              i re merged using a non friday back data end + it seems to be ok now

              i'm not sure how much of problem was due to old data i was merging in possibly using only RTH for days + if merging into sunday globex start really made a difference

              anyway seems ok now thanks for help

              alex

              Comment


                #8
                You're welcome - great to hear it's working as expected now for you.
                BertrandNinjaTrader Customer Service

                Comment


                  #9
                  hi bertrand

                  maybe i spoke a bit too soon

                  i just looked + it seems that their is same method but applied seperately to each of days + minutes

                  with the merge i just applied days are tied as follows :

                  close (merge in data) days = open (merge into)days
                  days = 7 tick offset

                  close (merge in data) minutes = open (merge into)minutes
                  minutes = 3 tick offset


                  its not the end of the world i think i could dummy some data in an export + reload to fix slight tick offset difference

                  i think most of the bad discrepancy i was seeing was due to RTH day data from old source

                  alex

                  Comment


                    #10
                    Which provider would you use here? I could only think the source data on those days is simply different creating another offset value then for you unfortunately.
                    BertrandNinjaTrader Customer Service

                    Comment


                      #11
                      hi bertrand

                      im mixing some what is now looking very dodgy GBP futures data pre 2006 into newer better quality end 2006 data.

                      the old data on closer inspection has huge discrepancy between day data + minute data + this was there before merge which made me worried

                      i can see now that the merge has different offsets for minutes + days , based on setting CLOSE (old) = Open (new)

                      it is same with merge of some not so bad EUR futures data where days offset = 2 ticks based on OPEN (new) - CLOSE(old) and minutes = 1 tick offset same equation for minutes

                      but it seems definitely to have different offsets for minutes + days based on OPEN - CLOSE for each series

                      alex

                      Comment


                        #12
                        Alex, for sure the offeset is different if the open / close values you get for the minute or daily data is not the same.
                        BertrandNinjaTrader Customer Service

                        Comment

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