Different chart on daily and intraday

[Thomas79]

Hi

i use an intraday script using Add (PeriodType.Day, 1); , i use the daily close of yesterday Closes [1][0] but i can see on my back testing a difference with the historical daily data and the intraday data

example, on the FGBM 03-14 the daily data the 20/01/2011 is o: 108.97, h: 109.01, l: 107.57 and c: 107.75. with a difference between the High and the Low of 1.44 bp

when i launch my back testing on a intraday basis, o: 110.14, h: 110.16, l: 109.44 and c: 109.53. with a difference between the high and the low of 0.72 bp, this 2 times less.

So, on my strategy i use the daily ATR and the Closes [1][0] on daily basis... of course i have wrong signal.... due the wrong difference between the high and the low (wrong atr) and the different yesterday's close...

do you know why i have this difference between the price and also a difference between the High and the Low ?

see the picture enclosed.

Thx
Thomas

[NinjaTrader_PatrickH]

Hello Thomas79,

Thank you for your post.

This can be the difference between the session used to package the Daily bars and the Session Template used on the intra-bar data. So I may investigate this matter further please advise who you connect to for data.

I look forward to your response.

[Thomas79]

My connection data is CQG

[NinjaTrader_PatrickH]

Hello Thomas79,

Thank you for your response.

I am seeing the same discrepancies in data when connected to CQG and downloading the historical data from the NinjaTrader historical servers. This is not related to the Session Template or the Merge Policy. We aware of this item and will be correcting this item this weekend.

Please let me know if I may be of further assistance.

[Harry]

Hello Thomas79,

Thank you for your response.

I am seeing the same discrepancies in data when connected to CQG and downloading the historical data from the NinjaTrader historical servers. This is not related to the Session Template or the Merge Policy. We aware of this item and will be correcting this item this weekend.

Please let me know if I may be of further assistance.

I am afraid that not all of this can be corrected.

When working with daily data for FGBM, you will basically find three different definitions.

(1) full session high, full session low, settlement price
(2) full session high, full session low, full session close
(3) regular session high, regular session low, regular close

where

- full session high is the high between 8:00 AM and 10:00 PM CET
- full session low is the low between 8:00 AM and 10:00 PM CET
- the settlement price is the volume-weighted average price of all transactions between 5:14 PM and 5:15 PM CET
- the full session close is the price of the last trade before 10:00 PM CET
- the regular session close is the transaction price of the last trade prior to 5:15 PM CET

Different data providers supply different data.

For example:

- Kinetick will supply you with full session high, full session low, settlement price (case 1)
- CQG will supply you with regular session high, regular session low, regular close (case 3)
- while case 2 reflects the data that you will obtain when using intraday data


Enjoy the different options and take advantage of them!


That said, there seems to be a larger difference that cannot be explained by the three cases. I think that the two charts or the data stored does not use the same method of backadjustment.

[Thomas79]

Thanks Harry & Patrick.

Harry, it is very interesting what you say but

why i do not have this problem with FGBL ?(the 10y future on Eurex)

and why i have a so big difference between the High and Low on the intraday and daily data on FGBM ? (5y future on Eurex)

there are both trade on the same market, with the same rule etc... just a difference of maturity.

I know the FGBM since a while, i'm not sure that the different spread between the High and Low on daily data and intraday data (2 times) is a problem of hour data.

Patrick, keep me updated when you fixed the problem.

Thx

[NinjaTrader_Lowell]

Hi Thomas,

Thank you for your information and details on this. We are looking to try and resolve this coming weekend.