problem with historical Data

[noizg]

I had a problem importing historical data properly to nj 6.5 and was told this problem would be resolved with the time stamp feature of nj7. However, using the beta version, it seems like the problem persists.


I have a considerable amount of 5min data of U.S equities.

When I import each file into nj (6.5 or 7) the 5 minute data is presented correctly. However, when I try to switch to a higher time period, ninjatrader's chart misrepresents the data in the file.

Firstly, If i will switch from a 5min chart into a 1-hour chart, the first hour of trading will begin at 9:30 ( as it should), but will end at 10:30. The second hourly candle will be from 10:30 to 11:30 and so on. This is instead of round hour candles.

The second thing that is wrong. Each hour will start with the X:05 line of data, and will end with the Y:00 line of data. That is, an hourly candle that should close at 10:00, is actually showing the market closing price at 10:05. ( this is the opposite of how it should be, starting at X:00, ending at X:55)
I have tried to import the data using all the options available on nj7 Historical Data Manager, with no results. I would greatly appreciate any help in this matter.

Below is an example to the data files I use:

20090813 0935;86.12;86.12;85.20;85.42;30533
20090813 0940;85.37;85.46;84.75;84.78;48334
20090813 0945;84.75;84.91;84.51;84.72;51528
20090813 0950;84.68;84.69;84.10;84.22;46029
20090813 0955;84.19;84.35;84.11;84.26;42703
20090813 100000;84.28;84.58;84.15;84.57;43497
20090813 100500;84.55;84.68;84.36;84.39;50381
20090813 101000;84.44;84.58;84.15;84.50;52650
20090813 101500;84.51;84.61;84.34;84.38;20289
20090813 102000;84.41;84.65;84.38;84.44;68113
20090813 102500;84.54;84.62;84.40;84.41;14944
20090813 103000;84.41;84.67;84.40;84.61;26382
20090813 103500;84.61;85.00;84.42;84.93;40115
20090813 104000;84.93;85.15;84.89;85.12;43031
20090813 104500;85.11;85.17;84.94;85.05;11560
20090813 105000;85.07;85.16;84.95;85.14;11531
20090813 105500;85.15;85.30;84.97;84.98;21195
20090813 110000;85.00;85.21;84.97;85.10;32259
20090813 110500;85.13;85.16;84.81;84.91;10254
20090813 111000;84.97;84.97;84.71;84.76;21419
20090813 111500;84.76;84.77;84.50;84.51;37013
20090813 112000;84.50;84.50;84.33;84.42;50414
20090813 112500;84.38;84.54;84.32;84.52;10665
20090813 113000;84.49;84.59;84.31;84.34;16079
20090813 113500;84.34;84.52;84.33;84.52;13135
20090813 114000;84.55;84.55;84.40;84.46;19061
20090813 114500;84.44;84.50;84.28;84.28;7544
20090813 115000;84.28;84.32;84.24;84.26;11450
20090813 115500;84.25;84.33;84.25;84.32;8276
20090813 120000;84.33;84.43;84.24;84.27;13941
20090813 120500;84.27;84.34;84.20;84.20;14253
20090813 121000;84.23;84.26;84.08;84.09;16191
20090813 121500;84.09;84.26;84.08;84.22;15790
20090813 122000;84.21;84.21;84.07;84.12;19571
20090813 122500;84.11;84.18;84.10;84.12;9408
20090813 123000;84.13;84.30;84.11;84.27;12949
20090813 123500;84.29;84.49;84.29;84.44;27022
20090813 124000;84.44;84.50;84.36;84.42;27779
20090813 124500;84.43;84.61;84.38;84.58;27808
20090813 125000;84.58;84.69;84.52;84.52;25430
20090813 125500;84.54;84.57;84.45;84.52;13261
20090813 130000;84.54;84.78;84.53;84.75;21449

[NinjaTrader_ChristopherJ]

Hello Noizg,

Thank you for your post.

This may be due to the Session template you have applied. If you have US Equities RTH applied to your chart this will have an open of 9:30 AM EST which will then only plot your chart 30 minutes after each hour when plotting a 60 Minute chart.

When Importing your data in order for the bar to be timestamped based off the open of the bar you will be required to select NinjaTrader (timestamps in import file(s) represent start of bar time) from the Format drop down menu.


Please let me know if I may be of further assistance.

[noizg]

thanks for your quick reply. I managed to get round hours by adjusting the session template as you suggested. However, importing the data using the "NinjaTrader (timestamps in import file(s) represent start of bar time)" or any other combination available on the Historical Data manager still did not solve the problem
Every X hour candle bar is starting at X:05 instead of X:00 with regard to the data file.

is there any other possible solution?

[NinjaTrader_ChristopherJ]

Hello noizg,

I have tested with the text you have provided and am able to receive time for 10:00 when importing this data for example for AAPL. Please let me know if you times show as mine do within my attached screen shot when viewing a 60 Minute chart.

If they do not display the same please let me know the steps you are using when importing your data.

[noizg]

I'm afraid that you misunderstood me.

I also see 10:00, 11:00, 12:00 etcetera on my 1 hour chart, but the data used per time stamp though, is the data used from 10:05, to 11:00, instead of 10:00 to 10:55 . Just compare the data file to the chart you have generated. The price closing the first hour on the chart is 84.57, . Which means that the next hour (11:00 on your chart) starts at the price of 84.55, This is actually the opening price of 11:05 not 11:00.
If you look at the data file you can clearly see that the first hour should close at 84.26 and the second hour should open at 84.28 (not 84.55)

[NinjaTrader_JoshP]

noizg,

Perhaps this will shed some light on the situation: http://www.ninjatrader-support.com/H...BuildChartBars

NT bars are timestamped with end of time times.

[noizg]

Yes, I have red this before. Only I assumed that NJ7 will have the option to time stamp also with start of times time.


Thank you both for your help.

[NinjaTrader_JoshP]

I see noizg. In NT7 you have the ability to import data that is beginning of bar timestamped, but once imported that is converted to work with end of bar timestamping for actually building/viewing the bars.