Incongruence in Market Replay data

[nolte_]

Hi! I have a problem with the Market Replay tool, and I would appreciate some help.
I have downloaded quite a lot of data connected from kinetick (only free data) for the ES.

When I use a daily chart all the data seems to be ok (I have compared it to data from CME). However when I look to a whole day with a, say, 10-min chart, sometimes the opening of the day, high, low or closing prices don't match with the prices I observed with the daily chart. High and low are usually ok (but not always), but closing and specially opening prices seem to be wrong quite a lot of days.

Do you know why is this happening?

Thanks a lot for your help!

[NinjaTrader_RyanO]

Hi nolte_,

Thank you for your post.

When comparing replay data to End of Day daily data with Kinetick there may be differences between the two.

The Kinetick End of Day historical data will show the OHLC information for daily bars, and the daily bars are based on the Regular Trading Hours session.

However, with Market Replay there can be 24 hours of intraday data which may affect the Open and Close prices, and the High and Lows since those may have occurred during the Extended Trading Hours rather than in the Regular Trading Hours and thus they would not be included in the Kinetick End of Day daily historical data.

So, what you would want to do when using replay is to chart the data using the <Instrument Settings> rather than a 24 hour chart that would show the entire day's OHLC information rather than just the Regular Trading Hours.

[nolte_]

Well, I had thougth about that and I think that is not the problem. Using Instruments settings I have chosen as Session template CME US Index Futures RTH. In fact, when I replay a whole day I don't see data for the 24 hours, but just for the regular trading hours.

Moreover, when for example, the minimun seems to be wrong, it is always lower in the daily bar than when I look for the low of the day using the 10-min chart! And the maximun is also higher in the daily bar... I have been a couple of days trying to figure out what is happening, but I haven't discovered it yet...

[NinjaTrader_RyanO]

nolte_,

Can you please let me know a particular day that this occurred, as well as which instrument and front month you are viewing in Market Replay.

With that information I can test this issue further.

[nolte_]

I really really appreciate your help, as this is driving me crazy!

The instrument is the ES 03-11. And here you have a couple of examples:

December 20th
Daily bar: Opening 1240, Low 1234
Using 10-min chart: Opening 1243 (09:30 EST), Low 1236,25 (11:20 EST)

December 21st
Daily bar: Opening 1241, Low 1240,75, Closing 1250,75
Using 10-min chart: Opening 1246,25 (15:30 EST), Low 1245,25 (15:30 EST), Closing 1250,5 (16:15 EST)

[NinjaTrader_RyanO]

Hi nolte_,

In testing this issue when I create daily chart for the ES 03-11 I get daily bars that match the Market Replay, but I also modified the Merge Policy.

The Market Replay data is recorded using the Zen-Fire datafeed, and thus there may be differences between the values that each provider offers.

Also, if you go to Tools-->Options-->Data and then please set your Merge Policy to Do Not Merge.

When comparing the Zen-Fire daily RTH data, with the Market Replay data it does correspond after modifying the Merge Policy to Do Not Merge.

[nolte_]

Hi! Still not working.

I have deleted all the data for these days and downloaded it again. Previously I had changed the Merge Policy to Do not Merge, but in the Market replay, when I use 10-min bars I still get, for example, for 20th Opening at 1243 and low 1236,25, which does not match the daily bars info. Are you getting the right info in this case?

I guessed that a 0.25 difference in the closing could be due to getting the data from different places or something like that, but I think that the other differences are too big to be due to this.

Any other idea?

[nolte_]

I think I found the solution! It doesn't matter the Session template of the instrument, i think for the daily bars we always get the OHLC for the extended session. I will check it carefully tomorrow, as here in spain it is a bit late now, but it seems this is the thing!

Thanks.

[NinjaTrader_RyanO]

Hi nolte_,

That may be true, but when I tested this issue with the Market Replay data and then Zen-Fire daily data it matched indicating that the Regular Trading Hours daily bar was showing the same OHLC values as determined during Market Replay.

Since you are comparing to Kinetick End of Day daily data there may be differences based on the way the bars are generated and the fact that the Market Replay is not recorded from Kinetick data, but rather Zen-Fire, and the fact that the Zen-Fire and Market Replay data correspond would indicate that the data in Market Replay is correct for the Zen-Fire feed, but the Kinetick End of Day may use different methods for the calculation of daily bars.

[nolte_]

Ok, thanks for the tips! Now it is working fine