Futures trading - mismatching session times

[drolles]

NT support,

Please help.

I’m trying to model a strategy that uses high volume hours of the futures exchanges – notably on the 10 year treasury future.

I’m looking to model open and closes. I’m a bit focused as to the data i’m seeing. I’ve included a chart here that appears contra to logic. I think I must be misunderstanding the charting of these instruments.

The chart I’ve included charts both daily and 5 min data for the ZN – 10 Year Treasury note contract. I’ve used the session manager to define the session to the regular trading hours – i.e. CBOT Interest Rates RTH.

However, the open and closes of the daily and 5 min sessions don’t appear to align. If we take the 17th March example shown in the screen shot the open closes don’t appear to align. On the 5 min chart the close of the 16th March is above the open on the 17th March. However, if you look on the Daily section of the chart, the open of the 17th March is above the 16th close. I have set both data series to CBOT Interest Rates RTH.

I am based in GMT time zone.

Thanks and regards,

drolles

[NinjaTrader_Matthew]

drolles,

Thank you for your post.

The Session Template does not apply to the Daily charts. The session template will change the session in intraday charts such as a minute or tick, however the Daily bars open and close value will be provided by your data provider.

Can you clarify who you connect to for data? We will need to match the session template your intraday bars use to the session your data provider is reporting the daily data.

Alternatively, you could use 1440 minute bars rather than Daily bars to replicate a Daily bar. With a 1440 Minute bar, your session template should match the intraday bars you have in the panel above.

[drolles]

Matt,

Thanks very much for your reply.

I’m using Esignal as a data provider.

Your reply as helped a lot. I think I’m now getting the results I think I should.

However, I just wanted to check my logic with you: With the “CBOT Interest Rate RTH” time template applied we should see the 1440 day curtailed to the trading hours only. Is that correct?

Thanks and regards,

drolles

[NinjaTrader_JoshP]

drolles,

Yes, 1440 minute bars will still be limited by the session template hours.