Daily bars are not shown accurately

[The_Wiz]

Hi

I have found that there is an issue regarding the daily bars. If you look at the FDAX future on the 24-01-2017, then you will see that the daily bars has an HLOC, 11.645, 11.539, 11.573,5 and 11.587.
If you look at 30 min bars on you will see that the high, low, and open matches fairly close to the daily, but the close doesn't. I have therefore compared to several other days and it seems that the close on the daily is 17:30 the time where the german stock market closes. But the futures market is open to 22:00.
Again if we look at the 24-01-2017 the high is made after 17:30, which the daily bars gets, so it just seems that it takes the close price from at wrong time. I have attached some pictures to show you want I mean.

It seems that others in the forum have had similar problems in other instruments so could you please fix that ASAP as it makes the daily charts useless. Don't know if this also will affect the weekly and monthly charts, but this is pretty important, since if we can't use or daily and possibly weekly and monthly charts, or rely on the charts then of what use is the ninjatrader platform?

Best regards
The_Wiz

[NinjaTrader_ChelseaB]

Hello The_Wiz,

With some data providers, when creating a daily interval chart within NinjaTrader the session template that is set in the data series menu will be ignored as the daily data will be using specific session template from the data provider. This is due to the provider providing 4 points of data for daily session information, the open, high, low, and close fully formed.

To view the chart with a Daily view but allowing for a session template to be applied, in the Data Series window select Minute as the Type and 1440 as the Value to get the raw minute data in day interval format as there are 1440 minutes in a day. Then select the session template of choice.

Please let me know if this 1440 Minute chart does not help to resolve the differences you see between the minute / daily charts.

[Tremblinghandtrader]

Hello The_Wiz,

With some data providers, when creating a daily interval chart within NinjaTrader the session template that is set in the data series menu will be ignored as the daily data will be using specific session template from the data provider..

But haven't you now taken away the historical data from CQG? So its is your data that is incorrect?

[Harry]

Hi

I have found that there is an issue regarding the daily bars. If you look at the FDAX future on the 24-01-2017, then you will see that the daily bars has an HLOC, 11.645, 11.539, 11.573,5 and 11.587.
If you look at 30 min bars on you will see that the high, low, and open matches fairly close to the daily, but the close doesn't. I have therefore compared to several other days and it seems that the close on the daily is 17:30 the time where the german stock market closes. But the futures market is open to 22:00.
Again if we look at the 24-01-2017 the high is made after 17:30, which the daily bars gets, so it just seems that it takes the close price from at wrong time. I have attached some pictures to show you want I mean.

It seems that others in the forum have had similar problems in other instruments so could you please fix that ASAP as it makes the daily charts useless. Don't know if this also will affect the weekly and monthly charts, but this is pretty important, since if we can't use or daily and possibly weekly and monthly charts, or rely on the charts then of what use is the ninjatrader platform?

Best regards
The_Wiz

There is no fix needed. All data providers for futures contracts will either supply the settlement price (for example DTN/IQ or Kinetick) or the regular close as the closing price for futures. This is also what is published by CME or EUREX in the first place, when you look for settlement information. Profits and maintenance margins are based on the settlement price. The regular clsoe usually only differs by a few ticks from the settlement price.

No professional trader uses the close at 10:00 PM for the FDAX.

Let us have a closer look at the FDAX on January 24.

(1) Full session: Open = 11573.5 / High = 11645.0 / Low = 11539.0 / Settlement = 11587.0

(2) Regular session: Open = 11554.5 / High = 11592.5 / Low = 11539.0 / Regular Close = 11587.5

All decent data providers will either use logic (1) or logic (2) to supply daily data. As far as I know DTN/IQ uses logic (1) while NinjaTrader has mostly been using logic (2). Only very cheap data providers such as Interactive Brokers (low cost, false volume, no historical backfill for tick data) will supply the close at 10:00 PM, because they build their daily bars from intraday data.

Now, if I look at your daily chart, it is all correct and uses logic (1).

Your request just shows that you are not familiar with futures. By the way if you wish to get daily bars that show the last traded price as the close, just open a 1440 min chart. But even CME does not publish the last traded price. They do publish the last quote, but it could be a bid or ask as well and will then be show as (B) or (A). Also for calculating floor pivots or GLOBEX pivots, you would never take the close at 10:00 PM but the settlement price or regular close shown on a daily chart.

Please open daily charts of other data providers and compare the close shown to the settlement price, regular close and the last traded price at 10:00 PM. For all professional data providers, you will notice that either the settlement price or the regular close (for the FDAX the close of the XETRA session) is used.

[NinjaTrader_EricB]

Hello Tremblinghandtrader,

Thank you for your reply,

Yes, you're correct that NinjaTrader Continuum / CQG / Continuum data is recorded on our historical data servers, though certain information like the OHLC for Daily bars is sent directly via the provider. To use only the recorded data, a 1440-minute chart can be used.