Different EMA Bloomberg - NinjaTrader

[avirex56]

Hi,
a friend of me is working with a Bloomberg terminal and today his 21 daily EMA in the ES 03-13 is at 1506. The Ninjatrader charting tool displays the same EMA with 1504. Why is their a difference and which one is the "right" EMA?

best regards

[NinjaTrader_Jason]

Hello avirex56,

Likely the data is different and subsequently produces different indicator values. To what data feed provider do you connect in NinjaTrader?

Does it make a difference if you right click in the chart and select 'Reload All Historical Data'?

[koganam]

Hi,
a friend of me is working with a Bloomberg terminal and today his 21 daily EMA in the ES 03-13 is at 1506. The Ninjatrader charting tool displays the same EMA with 1504. Why is their a difference and which one is the "right" EMA?

best regards

EMA is an "infinite impulse response" filter. Your values will be affected by how much data you have and what the starting value is. After sufficient data is loaded, the difference between calculations from different, but similar, data sets can be miniscule, but to make a valid comparison, you must be using the same data set, even if from different sources.

[avirex56]

i am using zenfire data and a reload or take a higher numbers of days to reload still 2 Points difference. is the datafeed for a future not the same at different plattforms? i am shure the pros are at the bllomberg terminal so the ninjatrader daily ema is not helpfull with to 2 Points difference.

[NinjaTrader_Jason]

Please see the link below under 'Understanding the variables involved in building chart bars'.

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

Discrepancies Between Different Data Feeds
Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.

[Harry]

Hi,
a friend of me is working with a Bloomberg terminal and today his 21 daily EMA in the ES 03-13 is at 1506. The Ninjatrader charting tool displays the same EMA with 1504. Why is their a difference and which one is the "right" EMA?

best regards

This is not formula, but data related. Here are some questions that you need to answer if you want to find out.

-> what is the time stamp of the daily bar ?
-> are the EMAs based on the close or on the settlement price (Zenfire has close, I use settlement via Kinetick) ?
-> was the holiday session (Martin-Luther-King Day) included in the calculation ?
-> did you use single month or backadjusted contracts for ES (this is important as the EMA is an IIR filter as koganam has explained)
-> does Bloomberg show single month or merged or continuous data?

Just open an excel sheet, write down the last 21 closes displayed by Bloomberg, then by NinjaTrader/Zenfire and then by NinjaTrader/Kinetick EOD (free data) and compare the values.

Enjoy.