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HeikenAshi Chart Discrepancies

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    HeikenAshi Chart Discrepancies

    Hi guys,

    I noticed something on a new chart I loaded that I'm actually having a tough time believing.

    There was a difference in the candles though both charts loaded from a Live connection are 5-min HeikenAshi charts.

    Please see the attached image.

    The only difference with the two charts Data Series is one of them has 'Load data based' on 1440 Bars and the other has it at 1 Day. Otherwise they are both on ES 12-18, Price based on Last, Base period type Min, Period Value of 5.

    What's really going on here? Is this normal?

    Click image for larger version

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ID:	1041305

    #2
    Hello Bluebeep,

    Thanks for your post.

    On the chart with 1440 minute bars, what is the trading hours template as shown in the chart data series? (Right mouse click on the chart and select "Data series..." then find the row "Trading Hours" and advise the current selection).
    Paul H.NinjaTrader Customer Service

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      #3
      Hello Bluebeep,,

      Re-reading your post, I am a bit confused, how does "The only difference with the two charts Data Series is one of them has 'Load data based' on 1440 Bars and the other has it at 1 Day." relate to 5 minute bars? Can you post a screenshot of your data series window for each chart to help clarify?

      Paul H.NinjaTrader Customer Service

      Comment


        #4
        Hello Bluebeep,

        I see my error in reading your post. I was thinking you were comparing 1440 minute bars to daily bars.

        Can you clarify the specific time of the bar in question and your time zone so I can recreate?

        Also, advise what data feed you are using.

        Sorry for the misunderstandings.
        Paul H.NinjaTrader Customer Service

        Comment


          #5
          Hi Paul,

          Getting these results from the the 12:45pm Bar.

          Here are the Images for each Data Series for the charts. I am in EST and I haven't messed with any defaults with Timezone within NT options.

          Click image for larger version

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ID:	1041316Click image for larger version

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ID:	1041317

          Comment


            #6
            Hello Bluebeep.

            Thanks for your reply.

            Please, right mouse click on the chart and select reload all historical data. Does the issue persist?

            What data feed are you connected to?
            Paul H.NinjaTrader Customer Service

            Comment


              #7
              Hi Paul,

              I didn't know which chart had the problem so I tried it on both. It looks like that solved the problem on the chart that has been connected for 3 days. The chart that I just recently opened was correct (as far as I could tel)

              I'm using the Continuum connection.

              Since the error was on the chart that's been connected for some days, should I be reloading historical data every so often?

              Comment


                #8
                Hello Bluebeep,

                Thank you for your response.

                There is no specific recommendation here for the Heiken Ashi charts.

                As the bars build in real-time they are using the incoming ticks which have the same Open, High, Low and Close as they are a singular tick. This differs in historical processing where you call up the full bar and it's Open, High, Low and Close differ (in most cases). So you can get differing averages as the historical bars do not know exactly how the incoming ticks were received that built the bar.

                Please let me know if you have any questions.
                Patrick H.NinjaTrader Customer Service

                Comment


                  #9
                  Hi Partick,

                  Thanks for that. I understand and I'm not too concerned now.

                  Sounds like this might be a disaster for backtesting coz your backtesting tool already only uses OHLC (mostly) and now there seems to be a difference in Heiken Ashi candles because of OHLC which can double skew the backtest results.

                  Not important for myself honestly coz my backtest is done by loading strategies on the chart and pressing play and watching the thing run for 4-5 years. Not really the same for other folx who maybe use the backtest tool.

                  Just thought I'd leave that as a note for anyone searching in the future.

                  Thanks!

                  Comment

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