Where does Market Analyzer get NetChange?

[higler]

I had been using CQG data feed. Just switched to Zen-Fire. I'm watching YM and NQ contracts.

Under CQG my NetChange value always equaled the current price minus the CME settlement price.

This is not so with Zen-Fire. The NetChange seems to be the current price minus the closing price of the last bar of the previous session. Under Zen-Fire the NetChange value seems to be Market Analyzer's LastPrice - LastClose and not the settlement price.

Where does Market Analyzer actually get the NetChange value from. I prefer CQG's using the settlement price in the NetChange calculation. I don't have a clue where Zen-Fire is getting LastClose from.

The difference in the NetChange today for YM between CQG's method and Zen-Fire's method is 2 points. Maybe I'm confused, but I would like to understand why Zen-Fire and CQG report different NetChange values.

Thanks.

[NinjaTrader_Jason]

Hello higler,

The LastClose value is loaded as is from the connectivity provider. NetChange is calculated by the LastClose and LastPrice.

Unfortunately, I am not quite sure how Zen-Fire determines the LastClose. I suggest to contact Zen-Fire for clarification.

http://www.zen-fire.com/pages/advantages/support.html

[higler]

I will contact Zen-Fire, but to me, the correct calculation would use LastClose as the CME settlement price, not some arbitrary last tick of the session. There is a reason that CME has a closing settlement price.

[higler]

Ninja - I've read your response on NetChange. Below is Zen-Fire support's comment on NetChange. They seem to be different. Now I am confused. How can I get the correct NetChange using NT/Zen-Fire? Thanks.

Response from Zen-Fire support:

"The terminology can be confusing but the 'Close' is the last price the product traded and the 'Settlement' is where the exchange officially marks the market. The Close is known as soon as the market session ends (the last price to trade) however the exchange does not publish the Settlement for several hours after the market reopens and can be dramatically different than the Close. (They settle the currencies at the pit close; 2PM CST. The currencies trade until 4PM CST so there is often a wide gap between the Close and the Settlement. Many products have similar behavior as they've expanded electronic trading hours over the years.)

The Close is not to be used when determining the Net Change, the Net Change is a value distributed by the exchange but can also be calculated by using the Settlement price and the Last Price; not the Close Price and the Last Price.

We use the Net Change that the exchange disseminates and we publish both the Close and the Settlement (when it comes out). Ninja would need to modify their formula and use the Settlement instead of the Close if they calculate the Net Change as opposed to just reading it on the wire."

[NinjaTrader_Jason]

The NetChange is calculated by the LastClose and current market price in NinjaTrader. The LastClose is received as it is submitted by Zen-Fire. Unfortunately, we do not have access to the settlement price to calculate the NetChange that way.

[higler]

If you will pardon my frustration, your reply really doesn't make much sense to me. Zen-Fire says that they send the the exchange's NetChange and the Settlement Price along with the Last Close. I have done a little programming in the past and it seems to me that NT needs to use either the Settlement Price or NetChange which Zen-Fire says they transmit when using Zen-Fire. It doesn't do any good to offer a NetChange which is incorrect. This "not having access" to the settlement price doesn't make sense to me when Zen-Fire says they transmit it. If Zen-Fire is transmitting it then the NT coders should be able to access it without much difficulty. Either that or just use the exchange's NetChange which Zen-Fire also says they transmit. Don't publish an incorrect NetChange.

If ZenFire doesn't transmit these values that they say they do then I suggest that NT and Zen-Fire have a little discussion and see what the facts really are. If the info is transmitted by Zen-Fire then "we don't have access to it" is an unacceptable response from a software company.

[NinjaTrader_Jason]

I will forward your feedback to have the NetChange calculate as per the settlement price that Zen-Fire sends to development.

You can view how the NetChange is calculated at (My) Documents-->NinjaTrader 7-->bin-->Custom-->Market Analyzer.

[higler]

Jason - Thank you for your responses. I don't really need to view how NT is "calculating" NetChange since I have verified over the last few days that the value is incorrect when using NT/Zen-Fire. If NT is going to provide NetChange in Market Analyzer when using Zen-Fire then it is reasonable to expect it to be correct and consistent with the general industry interpretation of NetChange.

[NinjaTrader_Jason]

The suggestion has been added to our list and is assigned to ID# 1549

[higler]

Jason -

Thank you for your help. I apologize if I seemed snippy. It's just that I think that it would be beneficial (at least for me) if NetChange represented the same value among all the data feeds. I've used a few of them and Zen-Fire, so far, has been the only one which had a different value for NetChange. Anyway, thanks for putting it on the list and thanks for your help.