Continuous charts showing different prices?

[TradeQueen]

Hi

I am using a daily and 240 minute continuous chart with normal monthly charts (that is not continuous)for cl and have found the Daily shows a different price point so does the 240 min to the monthly charts
for example
Daily - 49.87
240min - 49.31
Non continuous charts - 49.44

I have set the continuous charts to merge back adjusted but not sure why the price levels are different?

[NinjaTrader_Jason]

Hello TradeQueen,

Please note that continuous contracts (##-##) load continuous data from the connected data feed/broker connection. The 'Merge policy' in NinjaTrader does not affect continuous data as it has been merged already. When you create charts for individual expiry months and enough historical data is requested, it will merge historical data from prior expiry months.

Can you please tell me to what data feed/broker you connect in NinjaTrader.

What price point are you using in the chart?

NinjaTrader stores historical data in three different categories - tick, minute and daily. Monthly bars are build by daily data. Daily data is loaded as per the OHLC values provided by the connected data feed/broker connection. Some provide daily data in RTH (regular trading hours) and others in ETH (electronic trading hours).

[TradeQueen]

Hi Jason

Rithmic is my data providor

When you create charts for individual expiry months and enough historical data is requested, it will merge historical data from prior expiry months.
I have found when I load a daily chart and request say 750 days of daily data I only get a couple of months of data - which is why I thought I'd give continuous charts for larger time frames

I am using the non continuous charts price points - but for obvious reasons would prefer them all to line up (if that is what you are asking)

All my other charts are minute based charts

I use Default 24/7 - would that make a difference to the RTH or ETH?

[NinjaTrader_Jason]

Thank you for clarifying. Historical daily data is loaded in RTH when connected to Rithmic. This means daily charts (and monthly charts) exclude data outside the regular trading hours. I assume the minute based charts load the electronic session. The CL futures has the 'Nymex Metals/Energy ETH' session template selected by default. So the minute charts load historical data for electronic hours, while daily chart uses regular trading hours. Could this be causing the difference you see?

Unfortunately session templates do not affect daily data - only minute and tick data. Daily data is loaded as per the OHLC values provided. You could use a 1440 minute chart as a workaround for a daily chart.

[TradeQueen]

Ok great thank you however

The 240min and the 1440 continuous minute charts now match up but they still don't match the 'non continuous' minute charts in pricing? Their price also does not move as the non continuous charts do they stay static

[NinjaTrader_Jason]

Unfortunately realtime data is not supported for continuous contracts when connected to Rithmic, only historical data.

Please note that continuous data is saved separately from historical data from individual expiry months. You can view this in the Historical Data Manager-->Edit-tab.

When I test Rithmic on my end, I see similar data. There is a gap after 10/17 in the continuous chart which is not present in the CL 12-16 chart. Other than that I do not see a difference.