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Incorrect Data

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    Incorrect Data

    Hi,
    (1) When first load the instrument (CL 03-11 ), the chart looks normal (attachment fig1 ). Once there is an incoming tick, the chart looks strange ( attachment fig 2 ). The case seems only happen to CL 03-11.
    (2) I'm using version 7.0.1000.2. Connects to AMP-ZenFire. Advice needed. Thanks.
    Attached Files

    #2
    Hello denhu fazu,

    This is related to the 'Merge policy'. Currently (1/18) when you create a CL 03-11 chart, it will load all historical data from the 02-11 expiry. Real-time data is received as per the 03-11 expiry. There is a difference in price between the 02-11 historical data and the 03-11 real-time data. This causes the green bars to be created to fill the gap between the two prices.

    The 03-11 expiry is set to 1/19. So if you create a CL 03-11 chart that request historical data before 1/19, it will be loaded from the 02-11 expiry. You can view (or modify) the rollover date as follows. Highlight the instrument in the Instrument Manager and click Edit. Select the Misc-tab and scroll to the bottom. Click the 'Contract months' row and click the '...' button that appears. You can now view or modify expiries.

    You can disable 'Merge policy' so it will not combine 02-11 and 03-11 data. In the Definition-tab of the instrument (after clicking Edit), please set 'Merge policy' to DoNotMerge.

    Restart NinjaTrader and create a new CL 03-11 chart and the issue should not occur anymore. It will only load historical data from the 03-11 expiry.
    JasonNinjaTrader Customer Service

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