monthly & weekly CL charts differ in close and high

[Spartacus]

My daily, weekly and monthly charts are different every day from my minute charts in the following way:

4/22 closing pit session prices differ (129.29 - minute) & (112.35 - Daily)
3/31 pit session high differ (113.43 - minute) & (113.43 - Daily)

see attached my 30 minute and daily charts - both use session template of "Instrument Settings"

This has just started to happen in the last 2 weeks about. This hasn't happened before then. I haven't changed anything.

thanks for your help.
spartacus

[NinjaTrader_Jason]

Hello Spartacus,

Can you please tell me to what data feed provider you connect in NinjaTrader.

Please note that session templates do not have effect on daily bars. Daily data is loaded as per the OHLC values provided by the data feed provider. Likely, the data feed provider uses a different Close time for daily bars than the Close time of the session template used for the minute data series.

[Spartacus]

Hi Jason,

My data provider is Velocity/Trading Technologies.

To restate, this is the 1st time this is happening, so are you saying that it is still most likely that this would happen? If that's the case should I speak with Velocity? This all started to happen after the last CL rollover for this month, if that's any help.

Thanks again.

[NinjaTrader_Jason]

Hello Spartacus,

Can you please go to Control Center-->Tools-->Instrument Manager, highlight the CL in the 'Available master instruments' section and click Edit. Please tell me what session template you have selected.

I created a CL 06-11 minute chart on my end using the 'Nymex Metals / Energy ETH' session template. It reflects a Close price of 112.35. The same as in the daily chart.

Please make sure the CL instrument uses the 'Nymex Metals / Energy ETH' session template in the Instrument Manager. Subsequently create new charts and check if the discrepancy persists.

[Spartacus]

Jason,

It's correct what you said that switching switch from NYMEX ENERGY RTH to NYMEX METALS / ENERGY RTH gives me that closing price 112.35 that you stated, however, it also gives me the extra overnight hours with it; I just want pit sessions hours, (9am - 2:30pm) so I think that NYMEX ENERGY RTH is the correct one, is that right?

If it's true that I should use NYMEX ENERGY RTH for pit session hours only for both charts ( my minute as well as for my Daily ), why are the opening & closing prices differ in the Minute and Daily charts within each template?

1 ----- NYMEX ENERGY RTH
Daily
Open: 112.66
Close: 112.19

Minute
Open: 113.20
Close: 112.25


2 ----- NYMEX METALS / ENERGY ETH
Daily
Open: 102.44

Minute
Open: 112.34

Do you recommend using Kinectic chart as a solution to EOD data?

[Spartacus]

Jason,

The more I look at it, the more i'm convinced that the problem is that "Daily" seems to add Sunday market data starting at 6pm and cuts off at 12 midnight, Sunday night, regardless of which template I use.

can you verify this?

thanks

[NinjaTrader_Jason]

Yes, the 'Nymex Energy RTH' runs from 9:00 AM to 2:30 PM EDT.

Please note that historical daily data is loaded as per the OHLC values provided. You will need to use the 'Default 24/7' session template for the daily chart because daily data is recorded as per the times of the 'Default 24/7' session template.

If you select the 'Default 24/7' session template in the minute chart, it will resemble the Open and Close price of the daily data.

As per 4/25/2011, the Close price reflects 111.23 and Open 112.66 in the daily chart. If you check the minute chart, it will list 111.23 and 112.66 at the session breaks for 4/25/2011.

When I test the 'Kinetick end of day (free) connection', I display a Close price of 112.28 and an Open price of 112.34. I am not sure what time stamps are used for the Open and Close prices.

[Spartacus]

Hi Jason --

If I understand your message correctly (and let me know if I am misinterpreting what you wrote), you are suggesting that I switch my daily and minute charts to 24/7 charts because those charts don't seem to have the same inconsistency problems. However, I don't want a 24/7 chart. I want a chart that reflects only pit hours. (It's a huge difference given my trading strategies.)

Is it a problem with the data provider? I use Trading Technologies. And if so, can you help figure out a solution with them? My best guess is that they are providing some of Sunday evening's data and incorporating it as being part of Monday's data for daily pit session hours (which obviously should not occur). This seems to be a relatively new problem so maybe some glitch developed that they just need to become aware of so that it can be fixed.

Your help would be greatly appreciated.

Thanks,
spartacus

[NinjaTrader_Jason]

If you like to use pit hours in the minute chart only, unfortunately you wil see a discrepancy with daily data. Daily data does not use the pit session hours. Daily data is recorded as per 12:00 AM to 12:00 AM. The Open and Close price in the daily chart for 4/27 is 111.22 and 112.08 respectively. If you create a minute chart using the 'Nymex Energy RTH' session template, you will see that the Open and Close price do not match. If you create a minute chart with the 'Default 24/7' session template, the Open and Close prices do match.

Trading Technologies does not provide any historical data itself. As a courtesy, we allow live TT users to load historical data from our historical data server. Unfortunately, historical daily data is not recorded using the pit hours.

I will forward your suggestion to record historical daily data as per the pit hours for the CL instrument to my superiors.

[NinjaTrader_Jason]

Hello Spartacus,

Your suggestion has been inserted in our tracking system and has been assigned ID # 913.