Extremely huge candles and wicks on ES Chart

[bshiggins86]

Hello,

This morning I rolled my ES contract from September to December. However, when I loaded the data for the December contract, the candles and wicks are extremely huge compared to the previous days on the ES December contract. This actually also happens when I load previous days using the "replay" function as well.

Does anyone know what is causing my candles and wicks to be extremely huge? It seems pretty odd.

Attached is a screenshot with a highlighted section showing the issue.

Please help - thanks!

[bshiggins86]

The candles on previous days only range from 5 ticks to 17 ticks. The average bar size on the December chart today, since I loaded it, are between 17 and 88 ticks, which seems extremely huge. I've attached a screenshot that shows one of the bars actually 88 ticks long. I put 2 red boxes around the readout that shows the bar length in ticks.

Any help would be great - thanks!

[NinjaTrader_Spencer]

Hello,

Thank you for your post.

This is due to the platform merging past contracts into the ES 12-20.

If you do not wish to merge past contracts you may change the global merge policy by going to the Control Center > Tools > Options > Market Data > Merge Policy.

You may change this to 'Do Not Merge' then click 'OK' to save the changes.

Next, you will need to reload your historical data by right-clicking on the chart and selecting 'Reload all Historical Data'.

[Lancer]

Volume normally doesn't shift from Sept to Dec until Friday morning, usually by 10 am CT. Sometimes volume does not shift until Sunday. As of right now, 11:00 am CT, ES Sept volume is 1,132,000, and Dec is 239,000. So you might want to check volume on both contracts before rolling to Dec.

[bshiggins86]

Volume normally doesn't shift from Sept to Dec until Friday morning, usually by 10 am CT. Sometimes volume does not shift until Sunday. As of right now, 11:00 am CT, ES Sept volume is 1,132,000, and Dec is 239,000. So you might want to check volume on both contracts before rolling to Dec.

Hey Lancer,

I don't think that is the issue here. I'm having bars that are over 90 ticks in length which doesn't make any sense. I understand the volume taking time to pick up - that would just mean the candles would take longer to form (2,000 ticks for me). That wouldn't explain the extremely large candle sizes.

[bshiggins86]

Hello,

Thank you for your post.

This is due to the platform merging past contracts into the ES 12-20.

If you do not wish to merge past contracts you may change the global merge policy by going to the Control Center > Tools > Options > Market Data > Merge Policy.

You may change this to 'Do Not Merge' then click 'OK' to save the changes.

Next, you will need to reload your historical data by right-clicking on the chart and selecting 'Reload all Historical Data'.

Hey Spencer,

I did as you said and the bars are actually much worse now. These bars that are forming are 100 - 150 ticks large, making my chart virtually unusable. I've attached a screenshot

[bshiggins86]

Hello,

Thank you for your post.

This is due to the platform merging past contracts into the ES 12-20.

If you do not wish to merge past contracts you may change the global merge policy by going to the Control Center > Tools > Options > Market Data > Merge Policy.

You may change this to 'Do Not Merge' then click 'OK' to save the changes.

Next, you will need to reload your historical data by right-clicking on the chart and selecting 'Reload all Historical Data'.

I have candles that are engulfing over $10. I'm looking at one of my bars and it goes from $3,394.50 down to $3,379.00, a bar engulfing a delta of $15.50, which isn't normal. I've attached a screenshot and highlighted the Open dollar value and Close dollar value of a single bar, showing the difference of $15.50.

[NinjaTrader_Spencer]

Hello bshiggins86,

Thank you for your post.

The 12-20 is still less volume with less ticks which will take a 2000 tick bar longer to complete which is possible to see more price movement within the bar.

On a 5 minute chart you are able to see a downward trend at that time which results in similar bars shown below:

• https://www.screencast.com/t/YyztGGWJFA

[bshiggins86]

Hello bshiggins86,

Thank you for your post.

The 12-20 is still less volume with less ticks which will take a 2000 tick bar longer to complete which is possible to see more price movement within the bar.

On a 5 minute chart you are able to see a downward trend at that time which results in similar bars shown below:

• https://www.screencast.com/t/YyztGGWJFA

Ah okay, thank you Spencer! I also just realized, since you had me try turning off the merged data, that the days showing on the December contract before today were actually from the September contract and that's why they looked normal to me.

When I tried unmerged data, days prior to today weren't showing on the December contract, so it finally clicked for me that data prior to today was merged over and thus looked normal to me.

Thanks for your help!
Brian Higgins