Tick data missing final second of session

[RichardHK]

Dear all,

Hopefully you will not see this as being too anal! But...

With my ES Session set to end at 4:15PM, for both my main 2000 tick chart, and a 5 minute chart, I get different data for the close of session.

2000 tick final bar of session (before 4:30pm continuation) always shows bar ending time of 16:14:59. The 5 minute bar for 16:15 often shows a different closing price.

Yesterday's closes were: 2108.00 for tick chart, 2108.50 for the 5 minute (and other time charts).

I have tried setting Session to close at 4:16PM but no difference.

I have latest NT7 installed. Using Kinetick/IQFeed data service.

Look forward to any help.
Thanks.

[NinjaTrader_Jason]

Hello RichardHK,

I am not able to reproduce it on my end. The Close price of the last bar of the previous session shows 2110.00 in both charts. Can you please right click in the charts and select 'Reload All Historical Data'. Check if the Close price of the last bar is the same.

[RichardHK]

Hi Jason,

Yes, sorry I forget to say I have certainly reloaded data Ok, many times. Slightly different tick bars but close exactly the same.

And sorry for time confusion, but I am on EST (+12) so 4:15pm means New York time. Your session close is an hour after the Chicago close, and into overnight Globex. Even then, it is random and does not happen every day. Most days yes. I changed my session and got same as you for 5:15PM EST.

But your data box shows the same discrepancy as mine, with xx:14:59 at bar end for 2000tick, and xx:15:00 for the 5 minute close.

Here are my 2 charts from yesterday's CME regular hour close (Globex in blue) with +12 hours timezone difference.

Can you take another look. Better to check a few days back to see this happening frequently.

[NinjaTrader_Jason]

No worries, thank you for clarifying.

My PC clock is set to US Mountain time zone, so 3:15 PM in my chart equals to 4:15 PM Central time zone. This is the closing time for the default session template that is used for the ES - CME US Index Futures ETH.

Tick and Minute data is saved separately in NinjaTrader. The last tick is timestamped as 3:14:59, so it is displayed like that in the Data Box. This does not mean it is missing data. The Minute bars are timestamp at the closing time. So the 4:15 PM minute bar contains data from 4:14:00 to 4:14:59.

I load different data in the Tick chart. Minute data is exactly the same. That price bar is timestamped as 2:14:14 on my end, so 45 seconds earlier than on your end.



Can you please proceed as follows. shut down NinjaTrader and navigate to the folder below.

Documents-->NinjaTrader 7-->db

Transfer the tick, minute, day and cache folders to your desktop. These folders contain all historical data.

Start NinjaTrader and check if the issue remains now that all data is loaded anew.

[RichardHK]

>>My PC clock is set to US Mountain time zone, so 3:15 PM in my chart equals to 4:15 PM Central time zone. This is the closing time for the default session template that is used for the ES - CME US Index Futures ETH.<<

Hi Jason,

That Session does not work right for daylight saving (Summer) time, which explains your 1 hour ahead on earlier chart.

Have done what you said, moved/deleted all data and restarted, but get exactly the same discrepancy between 2000t and 5min session closes.

Not sure why your last chart would be 45 seconds behind. Everything in the computer world should be very precise. Is it the Colorado mountain air going to pot and effecting things?

Looks like I just need to accept this anomaly. Possible that if tick bar closes at 14:59 and 5 min closes at 15:00 the 1 second difference really does mean a second apart. Why wouldn't the tick bar close at 15:00 as per session template I use? I have custom templates for EDT/EST.

Best regards,
Richard

[NinjaTrader_Jason]

Hello Richard,

Please note that the minute bar does not contain data for 15:00:00. The 5 minute bar that is timestamped as 15:00 contains data from 14:55:00 to 14:59:59. See the link below under 'Understanding the variables involved in building chart bars'.

http://ninjatrader.com/support/helpGuides/nt7/how_bars_are_built.htm