Morning data/candles missing?

[LightWeight]

Hello,

I'm having a problem with missing data in Market Replay using Soybean futures. For some reason the data stops at 5:15 AM PST and then reappears at 7:30 AM PST. I've tried changing the instrument settings to various standards (CME FX, CME Commodities, CBOT agriculturals) and no matter what it won't show the data for that period, which is precisely what I need to see. I've attached a screen shot of the chart to illustrate.

[NinjaTrader_Matthew]

Does this occur each day at the same times?

Does this only occur on days before June 25th? There were some changes to the CBOT hours this summer that could be related, however I do not have the old hours handy - but I believe there was a break in trading in the morning on the old hours:

http://www.cmegroup.com/trading/agricultural/expanded-electronic-trading-hours-for-cbot-grains-oilseeds-and-ethanol.html

[LightWeight]

Hi Matthew,

Thank you for your reply. I am trying to look at the price action/information for the days when the USDA crop report comes out, it comes out at 5:30 AM PST/8:30 AM EST, so there is obviously activity at that time. I was able to use market replay with the reports for 9/12, 8/10, 7/11 and 6/12, but when I got to May and April for some reason it would no longer show that time frame any longer. I've tried using several different contract months and session templates, and nothing will give me the data for 5:15 AM - 7:30 AM for the crop reports on 4/10 and 5/10. I haven't tried going back farther than April as of yet.

[NinjaTrader_Matthew]

I'm seeing the same results on my end from multiple providers. Try a data beyond June 25 and let me know if you still see this data missing.

[LightWeight]

If you mean after June 25th, then yes I have no problem seeing the data then. Like I said I can see the data for that time period from the June 12th USDA report onward. I didn't encounter the problem until I got to May and then April, it just cuts that time period right out of the chart and I can't figure out why.

[LightWeight]

I just tried it again with the March report on March 9th, using the July soybean futures contract, and got the same missing timeframe. But if I download September 12th's data using the November contract (the date of the September report), I got the appropriate time frame data, even when using CME FX Futures as my session template. I cannot figure out why it snipping that data out when I go back to the earlier months.

[NinjaTrader_Matthew]

I do see the same thing and I see this on multiple providers. We're checking with a market vendor for clarification.

[NinjaTrader_Matthew]

We were able to confirm that the eCBOT hours changed. Please refer to the following CMEGroup article from March 27, 2012:

“CME’s Globex electronic futures market closes at 7:15
a.m. Central time each weekday before pit trading opens at 9:30.”

http://www.cmegroup.com/education/files/ED147_Planting-Featured-Report-2012-03-27.pdf

However these hours have recently changed where we no longer see this trading black out.

Here is another article which discusses these changes:

http://www.agfuturestrading.com/cme-group-to-expand-cbot-grain-and-oilseed-trading-hours-on-cme-globex/

[LightWeight]

We were able to confirm that the eCBOT hours changed. Please refer to the following CMEGroup article from March 27, 2012:

“CME’s Globex electronic futures market closes at 7:15
a.m. Central time each weekday before pit trading opens at 9:30.”

http://www.cmegroup.com/education/files/ED147_Planting-Featured-Report-2012-03-27.pdf

However these hours have recently changed where we no longer see this trading black out.

Here is another article which discusses these changes:

http://www.agfuturestrading.com/cme-...on-cme-globex/

Okay, that would explain why there is no data from May or earlier, but why did I encounter the problem again today? I woke up early today to simulate the crop trade in real time at 5:30 AM PST, and once again the data completely failed to fill on the chart, but the trade was still accepted and plotted on the chart, resulting in a rather significant loss. I didn't even realize until after the trade executed that data had stopped plotting at 5:15 AM again.

So I don't understand how data showed on the charts for June, July, August and September, and then today we're back to no data showing again? According to my fills, there was trading going on, but it was not being plotted on my chart.

[LightWeight]

To further illustrate, here is a screenshot of the Firetip platform showing the chart data that NinjaTrader should have been showing. I'm not sure what datafeed they use, I think maybe ZenFire, but you can clearly see the price action on the chart, and what I should be seeing in NT but am missing.

[NinjaTrader_Matthew]

If this was on a live connection can you please clarify who you connect to for data?

What session template is loaded on your chart? You can check this by right clicking on the chart--> select "data series".

Do you see the data for this period if you use the "Default 24/7" session template?

[LightWeight]

If this was on a live connection can you please clarify who you connect to for data?

What session template is loaded on your chart? You can check this by right clicking on the chart--> select "data series".

Do you see the data for this period if you use the "Default 24/7" session template?

Hi Matthew,

The data provider is CQG. I tried using Default 24/7 as well as other session templates and the result is always the same.

The interesting thing I just realized is that the data seems to be there -- if you look at the bid/ask prices on the right hand side of the chart, they continue to update and show the correct price, they just don't plot on the chart. In other words, I don't think the problem is with the data or the data provider as the correct data is being shown for the bid/ask, rather the problem seems to be with the charting software. I can't help but wonder if NT still thinks there is no trading during that time frame, and is therefore not plotting the data that is being fed to it on the chart past 5:15. What do you think?

[NinjaTrader_Matthew]

Hello,

I can verify that the historical data exists during this period. With the default 24/7 session template loaded, what happens when you right click on the chart and select "Reload all historical data"? Does the data back fill at this time?

[LightWeight]

Hello,

I can verify that the historical data exists during this period. With the default 24/7 session template loaded, what happens when you right click on the chart and select "Reload all historical data"? Does the data back fill at this time?

Hi Matthew,

That did the trick apparently, changing the session template to 24/7 and reloading the historical data I can now see the price action on the chart during that time frame. Hopefully it will work again now when I do it real time again, unfortunately I'll have to wait till next month to find out. Thanks again for your help.