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OHLC discrepancies - CQG vs. Continuum

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    OHLC discrepancies - CQG vs. Continuum

    Hi there

    On CL, I am comparing daily OHLC values between CQG and Ninjatrader with a Continuum connection. Going back the differences become significant, for instance 31st July on CQG, High is 50.60 and Low is 49.48, on NT the High is 51.04 and the Low is 49.81.

    This view is for the Nov. contract for both platforms (the codes are CLEX7 for CQG and CL 11-17 for NT)

    There appear to be no differences between the present day and the first rollover day (18th Sept), then the differences start to appear.

    It looks like the more one deviates from present day and the more significant the differences.

    Given Continuum's underlying data is CQG I expected no differences in data.

    I went to CQG support and they confirmed the CQG values as correct, suggesting I get in touch with you.


    Can you help me understand the issue please?

    Thank you

    #2
    Hello ntuser2017, thank you for writing in.

    Please answer the following questions so that I may assist further.

    What version of NinjaTrader are you using? This can be found under Help -> About (Example: 7.0.1000.X or 8.0.X.0)

    Who are you connected to? This is displayed in green on lower left corner of the Control Center window.

    Could you please provide me with a screenshot of the charts in questions?

    I look forward to being of further assistance.
    Riley S.NinjaTrader Customer Service

    Comment


      #3
      Hi there Riley, thanks for picking this up

      Originally posted by NinjaTrader_RileyS View Post
      What version of NinjaTrader are you using? This can be found under Help -> About (Example: 7.0.1000.X or 8.0.X.0)
      NinjaTrader 8.0.6.1

      Who are you connected to? This is displayed in green on lower left corner of the Control Center window.
      As I mentioned, I am connected to Continuum.

      Could you please provide me with a screenshot of the charts in questions?
      Yes I have attached the screenshot for both CQG and NT charts, thank you.
      Attached Files

      Comment


        #4
        Hello ntuser2017, thank you for your post.

        It appears that CQG may merge back the data from other contracts, but it looks like it's the historical data is adjusted; I'm not certain of their method of how they merge back the historical, however, I was able to set the merge policy in NinjaTrader to not merge the historical data and the day for the bar you reference match identically. In NinjaTrader, the merge policy affects how the historical data from prior contracts is merged and by default, the global merge policy is set to merge the historical data and to adjust it. The other two options are do not merge which doesn't merge the contracts, and merge back adjusted which merges the data but doesn't back adjust the historical data. When setting the merge policy to merge back adjusted, I could see that a bar is different because of the differences of how the data is merged between different programs especially near or around a rollover date.

        To get the bar you reference to match the screenshot you provided from a CQG chart, change the global merge policy to do not merge which you may do by navigating to the Control Center > Tools > Options > Market data category > Global merge policy > Do not merge. Next, reload the historical data from your charts by right-clicking on your chart and selecting "Reload All Historical Data". More about the merge policy can be found at the following link:


        Please let me know if further questions come up.
        Riley S.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_RileyS View Post
          Please let me know if further questions come up.
          Ok Riley, thank you for the time being.

          Comment

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