Generate Day bars from imported data is incorrect

[Ralph]

Hello Matthew,

sorry for confusion. I do not expect NT to match up with CME settlement procedures, that is not the issue at all. Every of my posts is related to post #1. I was hoping you could understand the point made in post #1.

I would like to ask you if you could go through the following "set of instructions", because that is what I would like to get the result from:

1. Determine the open, high, low and close in the minute data (sent to Patrick) for the electronic trading session of day Sep.16th. You can extract by either open a 1-min chart in NT based on these data or you can take these values from post #1, I do provide that information there.
2. Read in the 1-min data into NT to create daily data from it. Use the DoNotMerge option and the option CBOT Agriculturals ETH for the ZC contract.
3. Compare the open, high, low, close of the (generated) daily bar for Sep. 16th with the reference values of the 1-min data - I expect them to match.

On my side the comparison did not match any of these 4 values (OHLC), as described in post #1. I would like to know what the outcome on your side is.

Regards
Ralph

[NinjaTrader_Matthew]

Ralph,

Thanks - we can verify that the data imported from your source txt file matches the daily bars that are generated.

I have checked through your file for Sept 16 and there is no High of 707 1/4 or is there a of Low: 691 3/4 during the session. There was a high of 707.25 on the 15th and a low of 691 3/4 on the 18th

In addition, the Open value as per your text file is 703 3/4 and the Close value is 693 even.

Can you clarify where you are validating the 'correct' values you referenced in post #1?

If you would like, I would be happy to log into your PC remotely to verify the results you're seeing. If so, please send an email to support[at]ninjatrader[dot]com with 'Attn: Matthew' in the subject line, Please also include your land line phone number and a good date/time you would be avaialble.

[Ralph]

Hello Matthew,

Here is how you need to read the 1-min data NT has written into the .txt file. The time stamps are related to the Sep 16th ETH session:

CBOT Agriculturals ETH: session open: 18:00 CT Sep 15th, session close: 13:15 CT Sep 16th. There is a lunch break inbetween.

txt file: session open: 23:00 UTC Sep 15th, session close: 18:15 UTC Sep 16th

Here are the OHLC values of the Sep 16th ETH session as written to the txt file:

Open: 701 3/4
20110915 230100;701.75;703;701.25;702.75;901

High: 707 1/4
20110916 035200;707.25;707.25;707;707.25;7

Low: 691 3/4
20110916 181500;692.75;693;691.75;692.25;4558

Close: 692 1/4
20110916 181500;692.75;693;691.75;692.25;4558

That confirms my findings from post #1. You can also open an NT 1-min chart to evaluate what I am explaining here if you don't feel comfortable with the UTC values in the txt file. The NT 1-min chart is displayed correctly.

Regards
Ralph

[NinjaTrader_Matthew]

Ralph,

Thanks for the detailed instructions and I'm checking with development on this further.

Once I have more information I will give you an update.

[Ralph]

I am still waiting for an answer.

Regards
Ralph