merge day + minute

[alexgg]

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

[NinjaTrader_Bertrand]

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.

[alexgg]

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

[NinjaTrader_Bertrand]

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.

[alexgg]

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

[NinjaTrader_Bertrand]

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?

[alexgg]

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

[NinjaTrader_Bertrand]

You're welcome - great to hear it's working as expected now for you.

[alexgg]

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

[NinjaTrader_Bertrand]

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.

[alexgg]

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

[NinjaTrader_Bertrand]

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