Historical Data Price Variance across Contracts
Dear NinjaTrader staff,
thanks for your excellent product. The work you have put into version 8 has delivered a fantastic product.
Can you please help explain why there is a difference in prices for the same period between different contracts. For example I've attached a chart showing Daily candles for ES 09-16, 12-16 and 03-17 contracts. I've shown the daily candle on 28 Jun 2016 on the chart which indicates the difference between the close prices for each contract. I've also attached a capture of the relevant data box for that candle on that day. It appears volume is the same for the same period for different contracts.
The screen shots used are the current version of NT8 but I have experienced similar issues on NT7 across different computers.
Noting this difference in prices, when back testing, either manually - or automatically using the Strategy Analyzer - how do I adjust or account for these price variations to ensure an accurate backtest result?
Many thanks,
Jason.
thanks for your excellent product. The work you have put into version 8 has delivered a fantastic product.
Can you please help explain why there is a difference in prices for the same period between different contracts. For example I've attached a chart showing Daily candles for ES 09-16, 12-16 and 03-17 contracts. I've shown the daily candle on 28 Jun 2016 on the chart which indicates the difference between the close prices for each contract. I've also attached a capture of the relevant data box for that candle on that day. It appears volume is the same for the same period for different contracts.
The screen shots used are the current version of NT8 but I have experienced similar issues on NT7 across different computers.
Noting this difference in prices, when back testing, either manually - or automatically using the Strategy Analyzer - how do I adjust or account for these price variations to ensure an accurate backtest result?
Many thanks,
Jason.
Attached Files
Comment