Where can i find this data ?

[tangerine]

ok thanks for the info. i dont write script so am at a dead end for now. am i the only one thinking this info would be greatly helpful?

[mate41]

to AdamP and Austin,
here is a snapshot as you can see :
above is the print on the output window; bid and ask prices are right, the change_net and change_per are wrong.
Below the same ouput on the chart
In the middle the real quotation.

Ticker: ES 03-12

[NinjaTrader_AdamP]

mate01,

How is it off? You have your calculation set to do : Close[0] - sess_Open, with sess_Open set to :

sess_Open = PriorDayOHLC().PriorClose[0];

You could try changing this to CurrentDayOHL().CurrentOpen[0];

Please let me know if I may assist further.

[mate41]

AdamP,
i tried some tickers and the sess_open is wrong for both currentDay and priorDay.
In this case ES (future) and RIG (stock).
So the retrieved data from the data provider seems to be wrong.

[NinjaTrader_AdamP]

mate41,

You could try modifying your session template to be 24/7 to see if it gives you more data. This is done by right click > data series > set session template to "Default 24/7". What data source are you comparing to for your session open that you see a difference?

[mate41]

AdamP,
i think we can't solve the problem because the data isn't retrieved correctly.
The data provider is IB and i tried the 'default 24/7'.
I also created and tried a 'startup' section to avoid retrieving the sess_open on every tick. Nothing works as it has to do.
I need the the differences from the quotes and 'previous session close' to trade CFD's but this may not be the reason for having the correct data.

[NinjaTrader_AdamP]

Mate,

What data source are you comparing to to get the opening for the day? In other words, what data are you looking at that pinpoints the NT data from IB as wrong?

Please make sure your PC clock is synced to a standardized source like NIST. Please find instructions below.

http://www.nist.gov/pml/div688/grp40/its.cfm

[mate41]

Adam,
look at the screenshot i attached below.
The line at the middle indicate:
close previous session, price at the open of the market, current price, etc.... At the most right you have the differences net and percent between the current price and the previous session close.
The line above indicate the sess_Open = taken by NT from IB and see also the calculated differences.
In this shot you have all what you need to compare.

[NinjaTrader_AdamP]

mate,

Please see the attached screenshot. I added daily bars to the chart, checked the opening of the day price, then compared to some of your code modified to print session open. I put some ellipses around the prices so you can see.

I would recommend using CurrentDayOHL.CurrentOpen[0] to get session open.

Please let me know if I may assist further.

[mate41]

Adam,
the variable-name was a bad name. I had to name it sess_previous_close or sess_start_new_market or whatever...
So this session open on the market to start trading is 1253.00 and not 1250.25 !
The 1250.25 quote is the first traded price when the market opened a new session.
That way there is already a negative started price and the chg_net schould be -2.75 at that moment.

And yes, i used on my first code sess_Open = CurrentDayOHL().CurrentOpen[0] but that isn't what it must be.

[NinjaTrader_AdamP]

mate,

So you actually want the previous day's close?

You could add a second data series Add(PeriodType.Day,1); in Initialize(), then every OnBarUpdate(), check if(BarsInProgress==1 && FirstTickOfBar), if it is, set prev_Day_Close = Closes[1][1]; The FirstTickOfBar is to ensure you aren't resetting the variable every tick.

I.e.

protected override void Initialize()
{
Add(PeriodType.Day,1);

//other code here
}

protected override void OnBarUpdate()
{

if ( BarsInProgress == 1 && FirstTickOfBar)
{
     previous_Day_Close = Closes[1][1];
}

//other code here

}

Please let me know if I may assist further.

[mate41]

Hi Adam,
thanks for your hints. I am back to the first (hint) code, others don't work.

if ( BarsInProgress == 0 && FirstTickOfBar) 
    sess_Open = PriorDayOHLC().PriorClose[0];  // ok, right one and taken only once
// here are the problems: the calculation is wrong; 
// [B]difference of 0.25[/B] compared with the real quote (on ES 03-12)
change_Net = CurrentPriceValue[0] - sess_Open;  
// and of course the calculated percent also
change_Per = (change_Net * 100) / sess_Open;

Conclusion: what is really wrong? The displayed (% and Net) quotes on the TWS or the NT calculation? Or a ROUND of the calculation ?

[NinjaTrader_RyanM1]

Hi mate41,

The only way to track this down is to Print() all values used in your calculation, in order to identify which exact value isn't working as you expected. Verify that every element in your calculation matches expectations. You could also consider contacting IB support to see if they can offer details on their provided net change value. They may use a settlement value, or a different session close definition.

[mate41]

Ryan,
of course i compared the data with a Print(....).
The data from a future like ES can't be better.
But data from for ex. RIG is completely wrong.
This is the answer from IB:
"The shown closing price is the official closing price of the exchanges. Currently we show for RIG@NYSE a closing price of 41.84 which is the official close of yesterday's trading. I double checked with Bloomberg and this one is correct"

[NinjaTrader_RyanM1]

Hi mate41,

Can you please clarify if what you're seeing is specific to your custom script, or is a data comparison issue, NT charts compared to TWS?