Align eSignal EOD Volume data

[GlennL]

I have been informed by eSignal that for their US futures the volume data is out by a day. Price data is correct however. So the volume shown for 30Jun is actually volume for 29Jun. Apparently this is common practice????
So my question is, is there a way to align volume data from a data provider like eSignal such that volume data is moved over a day and price data is not.
There are no issues with Intraday volume.
I think I also read somewhere where you can build daily data from Intraday data so this may also be a solution but where do you set this up?

[NinjaTrader_Jason]

Hello GlennL,

This should not be common practice. What instrument do you have loaded in the daily chart and what time zone is used by your PC clock?

You could set Displacement to -1 for the VOL indicator in the Indicator menu. It will displace indicator values one bar back.

In addition, you can use a 1440 minute chart as a workaround for a daily chart.

[GlennL]

For your information here is a link from eSignal explaining they "still display the traditional method of volume being late by one day"
http://kb.esignal.com/display/2/kb/article.aspx?aid=1413&n=1&docid=17450
Thanks for the displacement indicator. I will just have to be careful not to use it for the hourly charts as they are supposed to be correct,

[GlennL]

Jason,
I did not respond to your question about which markets are incorrect.
I have doubled checked and can confirm that the eSignal daily volume for S&P500 mini ES 09-15 , Sugar SB 10-15 and the Australian Dollar future 6A 09-15 are all out by a day. I have looked at the displacement option on the Volume chart and though it does fix the display, the underlying data is still incorrect. As a result any indicators I use that utilise volume are incorrect. This is especially an issue for me as I use the TradeGuider Volume Spread Analysis indicators which need to know what the volume is on a certain day. There must be other people utilising daily eSignal volume in NT. How do they get around this SIGNIFICANT issue?

[NinjaTrader_Jason]

I am not aware of reports from other customers regarding daily volume from eSignal.

Do you load volume data as expected if you use a 1440 minute chart as a workaround?

What time zone does your PC clock use?

[GlennL]

Jason,
No I have not tested using 1440 minutes as I have not subscribed to intraday data for US futures with eSignal. My clock is set to Australia time and the NT Session Manager is using your standard sessions for US futures. Please test this issue yourself and tell me I am wrong as then I can find a solution.
Would 1440 minutes work for futures that trade for less than 24hrs? Also what about the special/settlement transactions that occur and are not a part of regular trading. The EOD close price is also not usually the same as the close price of the last bar of the day for this reason. I have discovered that some platforms e.g., eSignal and TWS, incorporate an adjustment to eSignal EOD data to account for this anomaly.
I think this issue is significant and is something that NinjaTrader needs to investigate. If I am correct then a workaround needs to be incorporated into NinjaTrader.

[NinjaTrader_Jason]

Thank you for clarifying.

Unfortunately you will experience this issue when the PC clock is set to Australian time zone. I am able to reproduce it on my end. I tested a daily ES 09-15 with my PC clock set to Australian time zone and US time zone.

Please set your PC clock to US time zone if you like daily data to load for the correct date. Make sure NinjaTrader is shut down when switching your PC clock. Before you start NinjaTrader again, please also delete the following folder.

Documents-->NinjaTrader 7-->db-->cache folder

[GlennL]

Jason,
I did as you suggested and changed my PC clock to US EST but nothing changed.....a mystery.
I tried deleting the NinjaTrader/cache folder as well as the NinjaTrader/db/cache folder as well.
I also checked the 6A 09-15 (Aussie dollar) future and it also did not change as a result of this change. In both cases I started from new charts and reloaded all historical data. I also checked my session manager which was set to use Instrument manager which for ES is set to CME US Index Futures ETH.
So I do not know what setting you have that is different to mine but none of my volume bars moved.

[NinjaTrader_Jason]

Can you please try the following. Shut down NinjaTrader and navigate to the folder below.

Documents-->NinjaTrader 7-->db

Transfer the tick, minute, day and cache folders to your desktop. These folders contain all historical data.

Start NinjaTrader and check if data is loaded as expected now that all data is loaded anew.

[GlennL]

Thanks again for the response.
I tried as you suggested but the eSignal volume is still on the wrong day.
I have had too many issues with eSignal data and for the price it is just not worth it.
Lets close this issue as unresolvable.
Thanks