I just opened a NinjaTrader Brokerage account, and do not understand the large gaps between daily open and close on the continuum futures charts.
Below are two screen shots.... one from Kenetick and the other from the Continuum feed.
Nothing at all existed in the database at first. I requested 6E, 365 days, MergeBackAdjusted selected from Continuum, and got the a very gap filled chart. 12/16 close to 12/17 open are particularly wild, and well past the roll over date.
I then deleted all the Continuum data, and with nothing in the database at all, connected to Kenetick EOD and requested 6E, 365 days, MergeBackAdjusted selected. I received the below chart, which is much smoother, with fewer gaps.
The closes on 12/16 are within 1 tick between the datafeeds, but the opens on 12/17 are wildly different. Continuum has the 12/17 open at 1.0863, while Kenetick has it at 1.0922.... a 59 pip difference, which is about 50% of the ATR for this market.
What's going on?
Other daily charts opened from continuum seem to be overly gappy as well.
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