Wrong Daily Charts?

[NinjaTurtle]

I just double-checked the daily charts in NT7 with the official sources. In NT7 I get huge gaps today, while the CME Charts show no gaps.

For ES NT7 shows:
Open High Low
1153,25 1161,75 1148

CME shows currently: 1125,25 1162 1121,5

For YM NT7 shows: 10704 10794 10676

CME show currently: 10465 10794 10451

I just checked and it doesn't seem to make any difference which session template I use.

Here are the links so you can check the charts:

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-dow.html

Same thing for NQ and the FX Futures. The Eurex charts seem to be correct.

Could you please check your data and see what's wrong? There's a very big difference in the message if one sees an almost 400 point gap or a chart without a gap.

[NinjaTrader_Jason]

Hello NinjaTurtle,

Can you please confirm you connect to Zen-Fire in NinjaTrader.

Historical daily bars start at 9:30 AM EST. When I create ES and YM 06-10 minute charts, the price of 1153.25 and 10704 are reflected at the 9:30 minute bar as Open price.

I am not sure how OHL data is calculated as reflected on the CME website, however it seems to use different starting time than historical daily bars in NinjaTrader. I suspect they start at Sunday around 8 PM. I checked the minute chart and prices of 1125.25 and 10465 occur at 8 PM on Sunday for the first time when scrolling back in time.

[NinjaTurtle]

Hi Jason,

yes, I connect to Zen-Fire (Broker Mirus).

And I also just checked quickly for YM and ES. The lower timeframes like 1, 5, 30, 60 Minute are correct, just as you confirmed. They show the CME data. This is also reflected in the Historical Data Manager.

Unfortunately I can't check sundays minute data, since I simply don't have it in the data manager. There's just 05/07 followed by 05/10. I don't know how you did.

But regardless of that, when I check the few sources, that are available to me, todays daily candles all start at the prices mentioned. And they all don't show a gap. Most important, the official source CME doesn't either. Maybe some of the other forum members can check too and tell their findings.

Therefore I state that the daily charts in NT 7 are wrong right now for the CME instruments.

I hope I misunderstood, that you are trying to tell me, that CME displays wrong data in their charts! Or that they use a wrong calculation for that matter! If we agree, that CME is the official source and that all other sources I checked show the same bars, then we should see the official values too.

It is an interesting side note, that some price was traded on a sunday too. But the relevant question is, was it traded on a specific day and was it one of the OHL values. If so, this has to be reflected in the daily bars in NT7.

[NinjaTrader_JoshP]

NinjaTurtle,

The gap is due to the session being used to build daily bars on Zen-Fire. The daily bars are built with RTH session templates. If you don't want a gap you would need to use ETH session templates. The courtesy daily data does not use this template for daily bars and to get it you will have to export your intraday data and just reimport it and tell it to build daily charts when you reimport.

[NinjaTurtle]

Hi Josh,

First off, I honestly respect you and your work. But this is what I was afraid of. You're really trying to tell me, that you have the right charts and that it's just a matter of displaying them in a certain way. So the exchange shows their own data in the "wrong" way, while NT has it just in another way and if the customer wants to see it the right way, he's got to work on that data. Is this really what you're trying to tell me?

First off, I use the ETH Templates and still get the charts with gaps. And I just tried, what you told me to do. No effect on the chart. I exported through the Historical Data Manger, I imported again, reloaded the historical data, even loaded a new chart, nothing changed.
And this is definitely not about me wanting the charts in a certain way. All I want - and I guess everybody else too - is to have them in the one and only right way. If a trader chooses ETH, than the charts have to show the whole session including the night session, if he wants to only see RTH, then only this session. Plain and simple. What would you expect, when you choose an ETH session template?

Come on, put yourself in the customers position. Do I expect too much when I ask for right charts? Courtesy or not, you either do it the right way or you just let it be. It is definitely not as easy as "This is a courtesy, handle the data the way you want" or even "Take it or leave it". No offense, that's just the way I see it.

Now please have a look at NT's daily chart and CME's. Please don't get me wrong, when I ask: Do you trade?

As you may know, trading is a lot about pattern recognition. Now your chart tells me, that there is a huge gap, which might have to be closed, while CME's chart shows an inside day at the upper end (at the time of writing, between 3:30 - 4:00a.m CT, including the night session). This is a totally different message!

So as you may be right from a programmer’s point of view, you're definitely not from a trader’s point of view. I sincerely hope you'll find a solution for this discrepancy.

PS: I’m not even sure, if you’re right. When I checked the CME Daily Charts on NT7, they all showed the current values (night session). As I understood you, they shouldn’t show any data until the RTH Session begins, right?

Now, a couple of hours later, after the RTH start, they show values, but the Open and Low values are wrong (YM 10663 instead of 10736, Low 10647 instead of 10622). This may again affect ones trading. I mean, there are either right values or not. There's nothing in between.

[NinjaTrader_JoshP]

NinjaTurtle,

What I am saying is that Zen-Fire does not provide daily historical data. When you connect to Zen-Fire and pull daily data you are instead getting data from NT servers. This is simply a complementary service for your convenience and the way this service works is it provides daily bars as generated by RTH sessions. Even if you change to ETH session template it doesn't matter because the data is simply RTH.

Should you want it displayed differently I suggest you either try generating your own daily bars or try a different data provider for your historical bars.

[warlog]

NT7, Zen Fire, daily data

Hello,

at first sorry for my bad english if I write somthing wrong...

I have a question. When I compare wheat contract for example:
ZW 7-10 and ZW 7-11 the prices in chart are the same.
but ZW 7-11 had diferent prices regarding CME charts.

Can be misstake in zen fire data? becouse I can not trade next year contract...

thanks for you replay.
sorry if this note was post in wrong section.

Warlog

[NinjaTrader_JoshP]

warlog,

You need to turn your merge policy to DoNotMerge when you are looking at contracts in the future for old dates. When you have it set to MergeBackAdjusted it will merge the correct month's contracts to that specific date requested and because of that you will not see 07-11.

Tools>Options>Data>Merge policy=DoNotMerge.

[warlog]

Hello Josh,

I set up it to ,,donotmerge,, but chart is empty.
can you help, please?

Thank you

[NinjaTrader_Jason]

Hello warlog,

Unfortunately this is as expected. There is only historical data available for the ZW 07-10 and 09-10 expiries at this time.