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Candle not showing high

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    Candle not showing high

    Trade week: 1/16/17 - 1/20/17

    Attached is an image of a weekly chart showing a high of 53.67 and a 1440 min chart with NYMEX ENERGY ETH session template selected showing a high of 54.32.

    I have reloaded historical data. Why is the weekly chart not showing the same high as my 1440 min chart.

    IQFeed uses the ETH hours as their daily parameters.
    Attached Files

    #2
    Originally posted by nepenthean View Post
    Trade week: 1/16/17 - 1/20/17

    Attached is an image of a weekly chart showing a high of 53.67 and a 1440 min chart with NYMEX ENERGY ETH session template selected showing a high of 54.32.

    I have reloaded historical data. Why is the weekly chart not showing the same high as my 1440 min chart.

    IQFeed uses the ETH hours as their daily parameters.
    Hello nepenthean

    I just did some tests with Ninja Continuum data to see if the above could be replicated with a different data service. I have duplicated your chart setups and used the same ETH session template for both charts.

    If I go to tools>options>market data> global merge policy and select "Merge non back adjusted" I get the following:

    Weekly Chart - high at 54.32
    1440 Min Chart - high of 54.32 on the 17th (same as you)

    If I go to tools>options>market data> global merge policy and select "Merge back adjusted" I now get the following:

    Weekly Chart - high at 53.67 (same as you)
    1440 Chart - high of 53.67 on the 20th!!

    It would appear that your results are a mix of the two results above. Within each merge setting the weekly & 1440 min highs agree but differ between the two merge settings.

    The listed rollover date for the CL 03-17 contract was the 18th January which falls in the middle of the week in question. I assume the back adjustment process has affected the prices of the previous contract and made the high that was on the 17th "disappear".

    I suspect that the way your IQFeed is setup to handle merging might have something to do with the results you are getting.

    Maybe NinjaTrader might like to comment?

    Comment


      #3
      Hello nepenthean,

      If you create a daily chart instead of a weekly chart, do you not see the High of 54.32 as well? As FMtrader reports, it seems related to the way IQFeed merged data. I suggest to check with IQFeed why daily data does not include the same High as minute data.
      JasonNinjaTrader Customer Service

      Comment


        #4
        Not trying hijack anything but I'm having similar issues. No matter if I use global settings or back adjusted it changes nothing on my chart. I was told that pro-real time charts are correctly back adjusted if you want to compare, mine certainly don't line up no matter what I do for futures.

        Comment


          #5
          When I switched data feeds and then returned to the original one, the proper H/L were in place.

          Comment

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