Exported S&P EMini "Day" Data Vs. CME

[Jim-Boulder]

I connect using Zen Fire data-and have exported daily data using the data manager.

When I compare the daily data that gets exported to the official daily data from the CME--there are large discrepancies in total volume and OHLC prices.

When does the daily data when you select "day" data as the export begin for the S&P Emini? And when is the "close" price (what time of day is the close?)

Is there any way to control this using the session template definitions?

[NinjaTrader_RyanL]

Hello Jim-Boulder,

Thank you for your forum post.


You can view the Session Templates from the Session Manager:

• Control Center > Tools > Session Manager...

In the Session Manager you can also create your own Session Template that you can use.

• http://www.ninjatrader.com/support/h...on_manager.htm

Please let me know if this helps to resolve the inquiry or if I can provide any further assistance.

[Jim-Boulder]

Session Templates Not Used in Download Manager?

Thanks for the reply--my question is whether the session templates affect the starting and stop (close) times when you export data through the historical data manager.

I seem to recall from the past that Zen-fire data -- for the "day" data build starts their 'day' at midnight----and for futures, this causes the data to be out of sync with the CME data which starts their trading day at the prior day's afternoon session.

I do not believe the session template is affecting this as the session template that is the default for the S&P e-mini--which is the one I am using-is set to the same start/stop times as the CME session--but I still get the data discrepencies mentioned.

Can you confirm that the session templates definitions are NOT used by the download data manager (at least for zen fire)-and therefore when you export 'day' data-the 'day' is defined with different open and close times than the official futures electronic market times?

[NinjaTrader_Matthew]

Hello,

The session template would not effect the exported data.

The exported data will come as it is downloaded from your data provider.

A zen-fire connection will use the NT historical data servers which use RTH hours only for the daily data. As a result, the volume OHL prices will not match the CME.

If you would like the globex session included in your daily data, please connect to Kinetick End of Day (free) which uses the ETH values in it's daily data. You will need to ensure you're connecting to Kinetick first, and then Zen-Fire to download this data.