Historical quotes and empty Daily bars. Is it normal?

[sergey_z]

Hello

For testing my strategy with Historical quotes I`m downloaded quotes from IQFeed (minutes) like in picture below



After this I can see chart with minutes TimeFrame


But I don`t see Daily bars. Why they don`t created automatically from minute quotes? Do I need download Daily quotes too?


Quotes are downloaded


Regards,
Sergey

[NinjaTrader_PaulH]

Hello sergey_z,

Thanks for your post.

Yes, that is normal. It would be expected that if you only download minute bars that you would not be able to display daily bars.

NinjaTrader works with three data types, tick, Minute and Daily. All other bars are based up these types. For example, 30-second bars would require tick data, 15-minute bars require minute data, weekly bars require daily bars.

You can create a pseudo daily bar based on minute bars by creating a 1440 minute bar (24 hours times 60 minutes = 1440 minutes/day), however, this bar would not reflect the settlement price (assuming you are using futures data).

For reference on bar building, please review the section, "Understanding the underlying base data type required for constructing various chart bars" here: https://ninjatrader.com/support/help..._are_built.htm

[sergey_z]

ok, and if in Strategy I use Daily price like Open/Close I have to download and Daily quotes too? It will better that create pseudo Daily Bars?

[NinjaTrader_PaulH]

Hello sergey_z,

Thanks for your reply.

It depends on what you need to do and what values are required. Here are the facts of each choice:

Using daily bars from daily data. If using futures data, the daily bars would be fixed to use ETH hours and are not changeable. Depending on the data feed, the settlement price is used as the daily bars close price. This will mean that indicators, such as pivots, would be created based on the settlement price instead of the close price. Using daily bars for daily bars and higher time frames would require less data processing because each bar would only be 6 data points (high, low, close, open, volume and timestamp) whereas using minute bars to make daily bars would require more processing based on 1440 x 6 data points per daily bar.

Using minute bars to make up daily bars allows you to select any trading hours you wish to apply and the bars will adjust as specified. The daily bar made with minutes will use the last price of the session of the applied trading hours as the close price of the bar.