Daily OHLC

[ScottB]

Hi,

How do I get a daily bar to have the same OHLC as the CME ETH session? Regardless of my session template I am getting the OHLC of midnight to midnight or so it appears.

For the 08/02 session for the ES there was a high of 1285 made at 1910 08/01 (which would be in the 08/02 session ending 1615 Eastern) but a high of only 1280 on the actual data 08/02.

The daily bar shows a high of 1280; how do I get this corrected?

Best Regards,
Scott

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

Unfortunately with Daily data the Session Template will be ignored and data will display that is provided by the data provider.

If you would like to apply a specific Session Template you may create a 1440 Minute chart to simulate Daily bars then apply the template of your choice.

Please let me know if I may be of further assistance.

[ScottB]

Thanks, that is what I thought. I can just track the OHLC from the minute data.

Best Regards,
Scott

[JoshDance]

The daily bar shows a high of 1280; how do I get this corrected?

Best Regards,
Scott

Who is your data provider?

For accurate daily bars connect to the free "Kinetick EOD" connection first and reload your daily chart. The daily bars will have the correct globex high and lows, and also the correct settlement price for the close. If you use pivots or anything else which relies on the close, you need the correct settlement, and for ES it's not necessarily straightforward.

[ScottB]

Trading Technologies but wouldn't I get historical data from the NinjaTrader servers?

Best Regards,
Scott

[JoshDance]

Trading Technologies but wouldn't I get historical data from the NinjaTrader servers?

Best Regards,
Scott

Yes and the historical data is Zen-Fire data. I'm not sure how NT handles daily historical data. Whatever the case, that does not matter--do yourself a favor and connect to Kinetick EOD first, then TT, and reload your daily chart. Your historical minute data will come from NT (zen-fire), and your daily/weekly data will come from Kinetick. It's accurate and no reason to use the other way if you want correct daily bars.

[ScottB]

Josh,

Thanks for the info. This is part of an indicator that will be used in a strategy so I am somewhat constrained in how I go about this.

Best Regards,
Scott

[JoshDance]

Josh,

Thanks for the info. This is part of an indicator that will be used in a strategy so I am somewhat constrained in how I go about this.

Best Regards,
Scott

Why does that matter? It would be much easier in ninjascript to retrieve the OHLC from a daily bar than calculating using intraday data anyway. Just be sure you're connected to Kinetick and the data will actually be correct. There's no easy way programmatically to calculate the correct settlement price from intraday data. It's usually not the same as the closing tick.

[ScottB]

Josh,

From what I can tell the daily bars ignore the session information (see the post above). This means I will get the wrong open and possibly the wrong high and low as well. This throws all the calculations off.

Possibly I am misunderstanding what you are saying.

Best Regards,
Scott

[JoshDance]

Josh,

From what I can tell the daily bars ignore the session information (see the post above). This means I will get the wrong open and possibly the wrong high and low as well. This throws all the calculations off.

Possibly I am misunderstanding what you are saying.

Best Regards,
Scott

I thought you wanted to use the values from the CME ETH session? This is what the daily bars from Kinetick will show.

[ScottB]

I do but it appears when using a daily bar you get midnight to midnight, not the session template times.

[JoshDance]

I do but it appears when using a daily bar you get midnight to midnight, not the session template times.

The daily bar will be whatever your data provider uses, as far as I can tell. Have you tried what I suggested? How about doing what I suggested (Kinetick EOD, then reload your chart), and if the result is not what you expect, post a picture of your chart.

[ScottB]

Josh,

At this point, I realize I have run into that bizarre bug in NinjaTrader when it compiles code wrong. I changed a print statement in my code, recompiled and reloaded the chart to no avail.

I then stopped NT and restarted it, same results. I have used NT for a very long time and see this from time to time. So please disregard all my posts on this; who knows what is really executing.

The only way to fix this is to delete the indicator and add it back fresh (a new name is best).

Best Regards,
Scott

[Harry]

Loading daily data for the use with strategies is not an easy endeavour.

If you load daily data asynchronously, the strategy will not call it correctly. If you load it synchronously via Add() you may run into trouble with some of the templates.

I would always try to use the OHLC from intraday data, when running a strategy. The only reason to collect daily bars is the settlement price, which is supplied by Kinetick EOD and which cannot be taken from intraday data.

[ScottB]

Harry, thanks for the comment. Yes, that is what I ended up doing; it was the only way I could get the numbers to line up.

As it turns out, the calculations from midnight to midnight vs. session start to session end may actually be more useful.

Decisions, decisions, what keeps this job so interesting.