Rollover Now have Giant Candlesticks

[alnkal00]

Did rollover today for MES 12-20 and now I have giant
candlesticks also the days hours are not shown
exp sep10, 11:03, 18:29, sep11
I run a 950 tick

I tried merge,do not merge

Thank you

[NinjaTrader_Zachary]

Hello alnkal00,

Thank you for writing in.

Who do you connect to for data?

Are you reporting that there is something inaccurate about the data?

[alnkal00]

CGQ

Look at how big the candlesticks are after the Sep10
look at the times displayed and size of candlesticks leading up to the Sep 10 mark
After that mark the sticks become much much larger and again note the times displayed after the Sep10 mark
Those sticks after the 10th is the problem
Also note how short the cells are.

switching back to MES 09-20 the chart and sticks are normal

[NinjaTrader_Zachary]

Hello alnkal00,

Thank you for your reply.

This is due to the volume of the new contract and the size of the your tick interval. Since less ticks are coming into the 12-20 contract, it will take longer to build each of your 950 tick bars and those bars will contain more price movement. When I open a chart of a lower interval, my candlesticks no longer contain as many data points. A 100 tick chart for MES 12-20 does not have the same lengthy candlesticks as the 950 tick chart.

[alnkal00]

I did that
it shouldn’t change
950 ticks is still 950 ticks regardless of volume
only difference is that it would take a longer time for
the bar to form and complete.

why would going back to 09-20 correct the problem?
still the same data feed.

Try the MES 09-20 then go to 12-20.

Also with the 12-20 (950 tick) there is only 24 candlesticks since midnight.
That in itself shows there is a problem.

[NinjaTrader_Zachary]

Hello alnkal00,

Thank for your response.

Correct, there are still 950 ticks in each bar which is the precise reason for what you are seeing on the MES 12-20 contract. There is lower volume, thus it takes longer to build the bar and the price action contained within the bar is more varied (since there are fewer orders resting at each respective price level) resulting in a longer candlestick. This will normalize as volume shifts from 09-20 to 12-20. The reason that you do not see this on your MES 09-20 chart is because most of the volume is still trading that front month. They are 2 separate contract months, trading with different levels of volume at different price levels.

[alnkal00]

Oh ok
with that explanation I get it now.
how long till everyone switches over to 12-20

so if I wanted I could trade 09-20 till the volume falls
off? Or is there a date that everyone needs to switch over to 12-20?

thank you I do appreciate your time
AL

[NinjaTrader_Zachary]

Hello alnkal00,

You may continue to trade the 09-20 contract until 9:30 AM EST on the settlement date, which is September 18th.