Daily bars are inconsistent with intraday bars

[alvik48]

Hi.

I am using CQG data provider and I am not sure whether I need to ask you about this issue here or I need to ask them.

Today I found that sometimes historical data is inconsistent in the following meaning: OHLC of daily bar sometimes differs from what can you see in intraday bars (for example, 60-minutes bars). I developed an add-on (as Indicator) that prints an information about days with inconsistent data into output window (you should add this indicator on intraday chart and it will analyze the data and compare it to the daily bars of the same instrument).

So I found that almost all the days have inconsistent Close and Volume values; also sometimes Open/High/Low values are inconsistent too (an example is on the screenshot above, that is ES instrument, 2020-05-20), especially before 2017.



Is it possible to fix that or this is not NT issue and I need to talk to CQG provider?

[NinjaTrader_Spencer]

Hello alvik48,

Thank you for your note.

The reason for the different values is that the OHLC values for daily bars come 'pre-packed' from the data provider and are not affected by the applied Trading Hours Template.

These values then depend on how the data feed reports these values.

Intra-day bars are able to be affected by the Trading Hours Template and the OHLC values will change depending on what template is applied.

I am showing a high of 2947.25 for the Daily chart on my end.

To test, please refresh your charts cache and Daily data using the steps below:

• Shut down NinjaTrader.
• Open the Documents > NinjaTrader 8 > db folder.
• Delete the sub-folder named 'cache' and 'day'
• Restart NinjaTrader and test.

[alvik48]

Thank you for an answer. I did what you suggested, that day now has correct OHLC, but 2020 still contains 9 inconsistent daily bars. The only workaround that I found is to use 1440-minute charts instead of daily ones.

[NinjaTrader_Spencer]

Hello alvik48,

This would be expected as Daily bars are defined by the data feed provider and 1440 minute bars will change based on the Trading Hours Template applied.

If you wish to adjust the OHLC values of the 1440 minute bars you may change the Trading Hours Template by right-click in your chart > Data Series > Trading Hours.

You may also make or edit the existing Trading Hours Temples by going to the Control Center > Tools > Trading Hours.