Generate Day bars from imported data is incorrect

[Ralph]

Hello,

I am not sure if this is the right sub-forum for the following issue, but I did not found a better choice. Here it is:

I import minute-data to generate Day-bars with it. But the resulting daily bars are not correct. As an example I use the December Corn Contract (ZC 12-11).

The correct daily values extracted from the minute-data of last Friday (09/16/11):
Open: 701 3/4, High: 707 1/4, Low: 691 3/4, Close: 692 1/4

The incorrect daily values of last Friday created with the Generate-Day-bars-from-imported-data option:
Open: 703 3/4, High 705 1/2, Low: 692 1/2, Close: 693

And here is the session template used:
CBOT Agriculturals ETH (18:00-07:15, 09:30-13:15 Chicago Time)

My (and my PC's) time zone is Berlin Time, GMT+1.

Regards
Ralph

PS: I counter-checked with an ES-Future contract and that operates correctly.

[NinjaTrader_RJ]

Hello Ralph,

Thank you for your post.

Can you please send in the .txt file that you are trying to upload to Support AT NinjaTrader DOT com?

We can test the upload for you.

Thank you!

[Ralph]

Here is a picture highlighting this NT-problem.

At the picture you can see 3 charts. They all contain daily ETH data for the ZC December contract from 08/01 - 09/23. The first 2 charts in the row are a CME chart and an IB chart, they are identical. The 3rd one is an NT chart, which is different.

Regards
Ralph

[NinjaTrader_RJ]

Hello Ralph,

What data provider is providing this data to your NinjaTrader platform?

[Ralph]

Interactive Brokers

[NinjaTrader_PatrickH]

Hello Ralph,

Thank you for that information.

Please send in the .txt file that you are trying to upload to Support AT NinjaTrader DOT com.
In your sbuject line please place "ATTN: Patrick".
We will need this file to test on our end.

Thank you.

[NinjaTrader_PatrickH]

Hello Ralph,

Thank you for that information.

I was able to match your CME and IB charts by importing your data through the Historical Data Manager and selecting:
Format: NinjaTrader (timestamps in import file(s) represent end of bar time)
Data type: Last
Time zone of imported data: UTC
Generate 'Minute' bars from imported tick data - unchecked
Generate 'Day' bars from imported tick or minute data - checked

What Time zone of imported data are you using?
What timezome is you PC set too?
What version of NinjaTrader are you using? You can find this by going to Help > About > exp. "7.0.1000.7"

I look forward to assisting you further.

[Ralph]

Hello Patrick,

I use UTC for export and import (NT standard setting).
My PC's time is GMT+1 (Berlin Time).
I use the latest NT version (7.0.1000.7).
I changed the ZC session template to CBOT Agriculturals ETH, because I want to see the daily bars based on the electronic session.

Your chart looks strange and I guess you use the contract-merge-option. I do not merge contracts. So the whole chart is based on ZC 12-11 (I forgot to mention that).

Regards
Ralph

[NinjaTrader_PatrickH]

Hello Ralph,

Thank you for that information.

Using DoNotMerge for Historical Data, UTC for Time Zone, and Generate 'Day' bars from imported tick or minute data I was able to reporduce your results for CME and IB.

My PC is set to UTC-07:00 Mountatin Time, I am in Denver, Colorado.

Please ensure your Merge policy is set to DoNotMerge by going to Tools > Options > Data > Merge policy > DoNotMerge.

Thank you.

[Ralph]

Hello Patrick,

your NT chart does not match the CME chart at all (see attached CME picture).

You can verify the NT behavior by comparing a session opening- and closing price in the .txt file I sent you with the corresponding bar on the NT chart. You will not find any match.

Regards
Ralph

[NinjaTrader_PatrickH]

Hello Ralph,

Thank you for your response.

I have attached a picture of a NinjaTrader daily chart for ZC and a CME daily chart for Corn side by side. They are identical in comparison.

When comparing the file you provided via e-mail to a Daily chart generated from that file you will not see a bar by line comparison that matches, as the file was minute data which was imported into a Daily chart.

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

[Ralph]

Hello Patrick,

since post #1 I talk about Generate 'Day' bars from imported tick or minute data.

The minute date contained in the .txt file I sent to you represent the CME minute-data for ZC. Why shouldn't they represent the daily CME session? They do!

Regards
Ralph

[NinjaTrader_PatrickH]

Hello Ralph,

I apologize for the confusion.

The CME group uses what is called Daily Settlements for Daily data where as the minute data will retain the Open, High, Low, Close as normal.
For information on the Daily Settlement Procedures please visit the following link: http://www.cmegroup.com/market-data/...Procedures.pdf

For settlement time details please visit the following link:

http://www.cmegroup.com/market-data/settlements/settlements-details.html

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

[Ralph]

Hello Patrick,

thank you very much for these interesting informations.

Let's go back to the issue I opened this thread for. Please read carefully post #1, I would like to know your opinion about the explained issue (I sent you the related .txt file in a separate e-mail already). In case I left something unclear, please ask.

Regards
Ralph

[NinjaTrader_Matthew]

Hello Ralph,

You will need to clarify as we are no longer following. How is the issue in post #1 not resolved?

Is your chart still not correct? We've been able to import this data on our end and generate minute bars to daily and do not see any major discrepancies.

Please tell us what specifically is not lining up or working correctly.

In addition, if you are looking for 100% accurate daily data to match the CME, you're not going to get this from minute data. If you are looking for your charts to match the CME, please use the Kinetick End of Day (Free) connection as this connection will distribute the CME Settlement data for daily bars.