hi/lo/indicator data differs from different places

[cowboyss]

ETH = Extended Trading Hours

RTH = Regular Trading hours

For example, the CME US Index Futures Extended Hours are 5:00PM to 4:15PM Central Sunday through Friday

The CME US Index Futures Regular Trading Hours are 8:30AM to 3:15PM Central, Monday through Friday.

Should the highs or lows be reached outside of the regular trading hours, they will not be reflected on an RTH daily bar, as you have with CQG.

Thanks Matthew, that really clears things up.

Now I am able to replicate my teacher's EOD hi/lo; open/close data
There is still a discrepancy in the indicators for each EOD data

Specifically ATR, ROC,

I find the ATR difference (last three days Thu, Fri, Mon)
them: 11.19 vs NT: 9.996
them: 12.69 vs NT 10.92
them 13.56 vs NT 12.38

ROC 2 of the 3 days are exact. one day is .61 vs NT .67
====
I spoke with their techs - they ATR seems to follow the standard True high - True low and then modified moving average method by Welles Wilder. is this something that is or can be easily added to the ATR?

ROC is standard - percent current bar & past x number of bars - ratio of prices.
The question is in NT by selecting a number (eg, ROC 14) is it using exactly 14 bars or from the end of 12?

Any other ideas how I might tweak NT indicators to get a closer match?

Thanks

[cowboyss]

Kinetick EOD day would be ETH hours.

CQG daily data would be RTH.

If you want ETH for your daily bar calculations, please make sure you connect to Kinetick first, and the connect to CQG.

As per this suggestion I connect first to Kinetick then connect to CQG.
For the ES mini S&P 500 - I find is that the EOD Hi/Lo is not always accurate - some days it gives .5 plus/minus what the actual intraday chart hi/low reveals. In some cases it gives much higher or lower data.

eg ES 03-13
Feb 5 Intraday Low: 60 min chart: 1493.75 vs EOD chart 1492.25
Feb 4 Intraday High 60 min chart: 1508 vs EOD chart 1501.75
(I also reviewed the 30 min & 15 min charts — getting the same info)

[NinjaTrader_Matthew]

Kinetick provides the settlement price calculated by the exchange which is not always the same as the last trade price.

Your minute bars will show the last trade price.

If you want your minute bars and daily bars to show last trade price, you can use 1440 minute bars which will replicate the daily session. As long as you're using the same session template in the 1440 bars as your 60 minute, you should get the same closing value.