MergeBackadjusted still not working

[Harry]

NinjaTrader 7.0.0.20 with Kinetick Daily Data.

Is there still hope that MergeBackAdjusted is going to work correctly?

Today found false pivots on my charts. Reason MergeBackAdjusted not working properly. These are my instrument settings for BC (Brent Crude). Kinetick symbol EB, Rollover Date for BC 10-10 is 13/08/2010 with an offset of 0.38.

Please compare High and Low on Rollover Day

BC 09-10 High 76.43 Low 74.67
BC 10-10 High 76.79 Low 75.08
Merged High 77.17 Low 75.46

The merged values for rollover day were calculated by adding the offset to the high and low for the new contract. This is obviously nonsense.

NinjaTrader mixes up the dates, because it cannot handle different time zones of the system clock. See false dates displayed on the chart, which is another symptom of the same problem.

I am really curious, whether you ever will be capable of solving this problem.

[NinjaTrader_Jason]

Hello Harry,

I tested it on my end, however the BC 10-10 daily chart displayed a High of 76.79 and Low of 75.08 for the 8/13/2010 candle.

I set the BC instrument to MergeBackAdjusted, set the rollover date to 8/13/2010 for the 10-10 expiry and an offset of 0.38.

Subsequently I created a daily chart for the BC 10-10 and it listed High and Low values of 76.79 and 75.08 respectively.

My PC clock is set the US Mountain time.

I closed NinjaTrader and set my PC clock to GMT +1. Subsequenty I displayed different High and Low values for the 8/13/2010 candle.

I will report your findings to Development.

[Harry]

Hi Jason,

thank you for your reply. It was clear to me that the issue is linked to the settings of the system clock. The session used IPE Futures Europe closes at 6:00 PM Eastern Time, which is midnight CET. For a middnight close, NinjaTrader already affects the candle to the following day - which is another bug. The natural close of today would be midnight, would n't it?

Somehow NinjaTrader then uses the false date for determining, which days are to be backadjusted and which are not. This also would apply to all instruments closing after midnight.

For example, a customer sitting in GMT +3 would also get false candles for ES.

[trader65]

I am located at GMT +2 and never had the right daily bars for FOREX pairs....

[NinjaTrader_Bertrand]

trader65, which datafeed / broker are you using?

Thanks

[Harry]

My guess is Interactive Brokers, need to change the system time. This is not linked to the MergeBackAdjusted problem, which would occur with all data feeds including Kinetick.

trader65, which datafeed / broker are you using?

Thanks

[NinjaTrader_Jason]

Unfortunately this is a limitation of the timestamp approach NinjaTrader uses. Data is timestamped as per the local PC clock, which could be different than the exchange time zone. If you switch your PC clock to the exchange time zone it will align your charts.

[trader65]

Jason,
changing my pc's clock is not possible...i have other programs running which need the corect time,
so you say development will never confront this NT's limitation of the timestamp approach ??

[NinjaTrader_Jason]

trader65, I will forward your inquiry to our Development team and ask them if they can add this to the list of future considerations of the software.

Harry, Development will look into the issue you reported. We will inform you when there is news regarding the matter.

[Harry]

Harry, Development will look into the issue you reported. We will inform you when there is news regarding the matter.

Thank you for your feedback.