CurrentDay Open on minute vs tick chart.

[higler]

Using NT 7. I've got two charts. One is a minute chart and the other is a 150 tick chart, both of YM. I'm using the same Session template on each chart which is 24/7 of start/end times of 7:30 AM Mountain Time Zone. I'm using the CurrentDayOHL with Calculate on Bar Close set to false on both charts in order to plot the Open on each chart. I have the charts open and running before 7:30 AM. Some days both charts plot the same Open values and other days they may differ from 2 to 4 ticks. My question is why aren't they both "picking off" the same Open value every day? Thanks.

[NinjaTrader_Matthew]

Hello higler,

Thank you for your post.

Do you see the same discrepancy if you switch the 150 tick chart to a minute based period?

If you save your 1 minute chart as a chart template, and then apply this saved template the 150 tick chart, do you still see a discrepancy?

[higler]

I'll do what you suggest tomorrow morning and let you know what happens.

[higler]

I've been going back and checking some things using a fresh 150 tick chart and a fresh 1 minute chart with only the CurrentDayOHL indicator and plotting only the open and Calculate on Bar Close set to false. Using YM and my session times are set for 7:30 AM to 7:30 AM every day (Mountain Time). On some days (not every day - today is one of them 2/1/2011) the open on the tick chart differs from the open on the minute chart. I checked this and it sometimes occurrs with NT's default 24/7 session settings. If I change 24 hour session settings slightly (so that it closes 2 minutes before the open) then the charts show the same open values. It is only when I have 24 hour charts with open/close times the same that I sometimes see this phenomenon and it appears that the problem is with the tick chart. Today's example on the 150 tick YM chart shows my session break line at 7:29:59, there is then a bar after the session break line at 7:30:00, and then a bar at 7:30:13 which was used to pick the open from. If NT had picked the open from the bar immediately after the session break line then it would have picked the same value as the minute chart. Don't know why it sometimes misses the bar immediately after the session break line on the tick chart when picking the open.

[koganam]

That sounds like it is an effect of how you have set NT to timestamp the bars.

[NinjaTrader_Matthew]

Hello higler,

Thank you for the update.

You may be experiencing a slight discrepancy in your local PC clock which is stamping your tick bars at the incorrect time. This issue is more apparent on tick intervals than minute intervals.

I would suggest shutting down NinjaTrader and then syncing your local PC clock.

You can sync your PC clock by double clicking on the clock in the lower right corner of your desktop. Once you have done that, click on Internet Time tab and then click Update. Your PC clock should now be updated.


Please see our Help Guide article on 'How Bars are Built' for more information:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?how_bars_are_built.htm

[higler]

It probably is due a discrepancy in my PC clock and time stamping. I do sync my PC every morning right before staring NT but that is no guarantee that it's absolutely correct. I am surprised that the session break line can appear and then sometimes the next bar be ignored by CurrentDayOHL.

[NinjaTrader_Matthew]

higler,

Can you please tell me who you are connecting for data? If your data provider stamps there bars natively on their servers, it could lead to issues

Which time server to you sync too? Have you tried using one of the alternative Internet Time servers that comes preconfigured in Windows?

[higler]

I'm connecting through Zen-Fire. I'm synchronizing through the Windows Internet Time settings to time-a.nist.gov. I doubt that this Windows time setting functionality is very sophisticated. It would be nice if it did some sort of closed loop verification that the clock was set withing certain tolerances.

[NinjaTrader_Matthew]

higler,

That is a great point, and I would agree that it could be improved.

Zen-Fire data is natively time stamped from their servers, which would explain why you are seeing the open at 7:29 instead of 7:30 if your clock is out of sync with their servers.

If you're having issues with the standard windows internet time feature, we have heard reports of other users having better luck with 3rd party utilities to sync your clock. Unfortunately, I cannot make any recommendations on these products, but perhaps another community member would be willing to share their experience here.

[higler]

Thanks for the help. I'll look into it other clocks. I've read the description of NT's time stamping numerous times and I will probably never understand it because you have vendor time stamped data and also NT running real time based on the PC clock and you have to somehow sync up the two.

I do have a question since ZF data is timestamped at the vendor. If I am running real time tick by tick and I call Time[0] on each tick, is Time[0] returning the ZF time stamped time or my PC based time? Thanks.

[NinjaTrader_Matthew]

That would be the time stamp provided by your data provider. Since your charts are built using the Native time stamps, the value is determined by the vendor.

[higler]

I'm not sure this is purely a timestaamp issue but possibly also how NT deals with tick charts. I have attached two chart examples. Both are charts of the opening of YM on 1-21-2011. Both charts use the same 24 hour session of 7:30 AM to 7:30 AM. One chart is based upon 1 minute bars and the other chart 150 tick bars. On both charts I have plotted NT's CurrentDayOHL indicator showing the open with orange dashed lines. On both charts I have also plotted my own hCurrentDayOHL indicator showing the open with solid purple. On the 1 minute chart both indicators overlay one another. On the 150 tick chart there is a 10 point difference between NT's CurrentDayOHL 150 tick chart open and NT's 1 Minute chart open. The modified indicator hCurrentDayOHL on the 150 tick chart gives the same value as both the indicators on the 1 minute chart and is 10 points different than the NT indicator on the 150 tick chart. You can see on the 150 tick chart that NT's indicator is not picking the open value until the 4th bar after the session break whereas my indicator is picking the open of the 1st bar after the session break and it seems to always correspond to the value picked by both indicators on the 1 minute chart. This seems to happen on days when there is a burst of data at the 7:30 AM opening. The first 3 bars on the 150 tick chart are all time stamped 7:30:00 and NT's indicator isn't picking the open on the tick chart until the first bar that is stamped > 7:30:00. Also, I did some experimenting with an indicator and (I haven't confirmed it) that Bars.FirstBarOfSession is reporting true for the first 3 bars in this instance. Anyway, I just wanted to share the possible discrepancies that CurrentDayOHL can occasionally show between the minute chart and tick based chart and there does seem to be some unusual handling of the tick based data on high volumes at the open. I have only seen this when the tick based charts span 24 hours (start time = end time in session manager) and there is high volume at the open resulting in a number of bars stamped with the opening time (7:30:00 in this case).