Heating Oil data problem

[jbesada]

Hi,


I am using kinetick as data feed.

After analyzing Heating Oil data from ICE (UHO symbol) I have noticed that there is a lot of missing days (around 186 days in 2 years) roughly corresponding with the first ten days of every month. Is it normal?

Even stranger, several days (five or six) after this gap data is EXACTLY equal to BH from Nymex (different instrument in a different exchange).
Am I missing something important? or Is UHO data really wrong?.


Thank you

[NinjaTrader_Jason]

Hello jbeseda,

Could it be related to the Merge policy? I assume you have Merge policy enabled for the UHO. If you create a UHO 10-12 chart for 2 year, it will merge historical data from previous expiry months in the chart. The historical data will be merged as per the rollover dates that are setup.

You can check the rollover dates as follows. Please go to Tools-->Instrument Manager, highlight the UHO and click Edit. You can check the rollover dates in the Misc-tab under 'Contract Months'. Click the '...' button that appears when you click this row. A new window will open which lists all expiry months and their rollover dates.
The BH and UHO refer to the same instrument - Heating Oil futures.

Could you please post a screenshot of your UHO chart so I can compare it on my end.

[jbesada]

Hi Jason,


Rollover data is defined every 10 or 12 of each month, is it right? As you can see in the screenshot of this year, there is a lot of missing days every month.
BH and UHO are related to the same asset but they are not the same instrument (they are coming from different exchanges), so they must have roughly equal prices but not exactly the SAME price minute by minute during several days. It is like data was copy from other asset when not available¿?

Regards

[NinjaTrader_Jason]

Yes, the rollover date is either the 10th or 12th of the month. When I create a daily chart while connected to Kinetick, I load the data in the screenshot. I notice differences.

Can you please disconnect Kinetick and delete all UHO historical data from the Historical Data Manager. You can find instructions at the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/editing.htm

Subsequently shut down NinjaTrader and delete the following folder:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->cache

Start NinjaTrader and check if data is loaded as per my screenshot.

[jbesada]

Hi Jason,

Regards

Unfortunately, after perform the two steps; I have got the same data.

Any suggestion?

[NinjaTrader_Jason]

Could it be you connect to other data feed providers in NinjaTrader as well? I am not sure why you load different daily data for the UHO 10-12 than I do.

Did you modify the UHO instrument to a different exchange than Ipe? If so, please disconnect Kinetick and go to Control Center-->Tools-->Options-->Data-tab and click Reset Instruments. Delete the historical data once more and check if the new data is loaded as in my screenshot.

[jbesada]

Hi Jason,


No, I have only Kinetick (or IQFeed) as provider and UHO is configured with IPE only.

As far as I know, resetting instruments will delete all instruments values, including all manual fixed mapping values, isn’t it?
Also, I can appreciate from your chart that there is missing days too. Any normal instrument must have around 22 bars in a month but this instrument has only around 13-14, so what is the problem?

Regards

[NinjaTrader_Jason]

Yes, it will remove all modifications for default instruments. Manualy added instruments are not affected.

I load the data this way from Kinetick. The UHO is not very volatile. I suspect there is no data for the missing dates. What do you see when you create a minute chart?

[jbesada]

It is not a problem related to liquidity. Missing data is always the first ten days of every month, it has a pattern, so it is regular problem in the data feed.
Also, as I mentioned previously, some days, data is exactly the same as BH and another days, they are different. In my opinion, UHO data is corrupted, is there any way to someone to review quality data of this instrument?

Thank you in advance

[NinjaTrader_Jason]

Please note that we are not a data feed provider ourself.

I suspect the issue is due to the rollover dates that are setup by default. The UHO 10-12 uses a rollover date of 9/12/2012 (yesterday), so all data before this date is loaded from the 09-12 expiry. I suspect there is no UHO 09-12 data for the first 10 days of September.

Can you please go to Control Center-->Tools-->Instrument Manager, highlight the UHO and click Edit. Set Merge policy to DoNotMerge and click Ok. Remove and re-add the UHO 10-12 to your instrument list now that it uses different settings. Instructions can be found at the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/instrument_lists.htm

Create a new UHO 10-12 chart and check if all days for September load data.

[jbesada]

You are right, with DoNotMerge, August has correct number of bars. So the question is, what is the right rollover configuration in order to use Merge policy and be able to analyze two years of data?

Thank you

[NinjaTrader_Jason]

There is not really a "correct" rollover date. You can use a rollover date you like. Normally you rollover the instrument when volume shifts between expiries. I created a chart for both the UHO 09-12 and UHO 10-12 (Merge policy = DoNotMerge) with the VOL indicator. It seems volume shifted on 8/30/2012. I suggest to use it as rollover date and use similar dates for previous expiries as well.

[jbesada]

OK, changing rollover date has worked, now number of days is ok.
Regarding the second issue, attached is the difference between UHO and BH, as you can see, there are some periods with exactly the same price (so difference goes to zero).
It is the first time I have seen this behavior (even with high correlated instruments). I am using one minute bar and during several days, prices are identical!
Should I contact with Kinetick for this issue?
Regards

[NinjaTrader_Jason]

Good to hear changing the rollover dates worked.

Yes, please check with Kinetick for clarification regarding the UHO and BH data.

[Williamkatte]

I was also facing the same problem but after deleting the historical data then it was showing the correct data.
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