Another session related bug

[Harry]

Observed with NT 7.0.0.10 for YM and Globex session template, mode connected

After the session end for YM daily data is not correctly displayed on daily charts. Also daily data loaded on intraday charts for pivots is false. This is what I observed about 1 hour into the new session after the session close for the February 2 session.

(1) The daily bar for February 2 was correctly displayed by IB's TWS.

(2) By editing the data via the historical data manager I could verify that NT had correctly loaded the session close for February 2, displayed as 10399 (see screenshot below)

(3) The intraday chart also showed the correct close of 10399 for the February 2 session. The last traded price is is displayed as 10402.


The Problem starts here

(4) Between the session close at 15:15 Central Time (Globex) and midnight local time (my PC clock) NT continued to update the daily bar for the prior session, so this bar showed the last traded price of the new session instead of the close.

(5) At midnight local time the current last price of 10402 - 90 minutes into the new session - was locked in and is now displayed as the daily close. So the daily close remains false after midnight.

(6) The new daily bar shows a false open, as this also refers to midnight local time.


Consequences

Daily chart false, pivots for the new session false, because the prior day close is not correct.


Suggestion

Execute "update" of daily bars at session close and not at midnight local time.

[NinjaTrader_JoshP]

Are you still using your globex session template?

[Harry]

Yes, the double session template was not really convincing.....

Are you still using your globex session template?

[Camdo]

Thanks Harry.
I backtest several strategies after the market close and notice that the prior day results are often very different from the results recorded from the prior day backtest. Backtesting while online and then redoing the backtest offline made differences too. NT's database was changing, but I could not pin it down as clearly as you have.
My data is from MB Trading, and I use EST in session manager.

[NinjaTrader_JoshP]

Camdo,

Likely, when you are running during market, you are using your own built daily bars. When you reload you end up with downloaded daily bars from the servers which can be different than what you recorded and built in real-time.

[Camdo]

I am connected for the entire session. My options are checked to "record as historical". I am not manually reloading. NT already has all the data within the backtest range. If the session is closed, why would NT be reloading automatically?

[NinjaTrader_JoshP]

Camdo,

Disregard backtesting results. There are too many variables in there to isolate any potential underlying issue. Please just check your data before and after via the Historical Data Manager.

[Harry]

Hi Josh,

can you confirm my findings? Session is closed by now....

[NinjaTrader_JoshP]

Harry,

What I am seeing is the 3/4 bar being built already. There was no crossing into midnight. Suggesting that it is following session templates.

I was unable to catch what ticks were coming in at 3:30 to match against the close at 3:15 though. But, based on bar creation, it seems accurate.

Edit: Right. It seems if I delete any 3/4 bar that may have been downloaded from IB, the moment a new tick comes in, that forms a new 3/4 daily bar. It does not get added to my 3/4 bar. This was tested in timezones before midnight and timezones after midnight (GMT+1, GMT+2 as of the time of this edit post).

[Harry]

What is a 3/4 bar please?

[NinjaTrader_JoshP]

March 4th. The next daily bar.

[Harry]

Thanks, thought that 3/4 was something like the size of American beer glasses... three quarters, three quarter bar ?? I could not reproduce today, because I only connected after the close. In this case the new daily bar was already available and downloaded from IB. I think the issue might only occur, when daily bar is not yet available upon connection, so to reproduce I need to connect before the session close and stay connected.

In case that I stay connected nothing causes the daily data to load. The close of the daily bar should then be taken from the intraday session close as per session manager and stop once the session is over.

It is the last point, "stop once the session is over" that is not implemented as needed.

March 4th. The next daily bar.

[NinjaTrader_JoshP]

Harry,

Remember that bars are only closed when the next bar begins. The next bar should begin when a tick comes in at the next session's time. What you can do when you are connecting after the fact is go to your Historical Data Manager and exclude the date of March 4th and then wait for the new tick to come in. That is what I did prior to midnight PC clock and it built a new bar daily bar successfully.

[Harry]

I perfectly undestand this. If you look at the screenshot under post #1 of this thread, you will find that

- although the session was closed (Globex, 22:15 local time) and there were plenty of new ticks after the session close, Ninjatrader did not start a new daily bar, but only did so after midnight local time

- the old daily bar was updated well into the new session therefore showing the false close

- updating old daily bar only stopped at midnight local time and the old daily bar then got the last price that traded before midnight local time

- the new daily bar was build around an open that reflected the first price traded after midnight local time

So to summarize: Daily bars ignored the session set under instrument (chart: instrument settings), and behaved as if it were a 24/7 session local time (not to be confused with 24/7 Est as per session template).

I will have a look at this again around session close this evening.

[Harry]

Bug confirmed today

ES closed at 3:15 PM Central Time (22:15 local time). The session close is 1119.50 as can be seen on the intraday chart (right). The daily bar for the old session is still active after the close and displays a false value of 1122.25 at 3:45 PM Central Time (22:45 local time). No new daily bar has been started for the new session of March 5.

To produce this, I need to connect before the close and stay connected.