Tick Data Continuity On Rollover

[rt-trader]

Hi,

This is a strange one.... hopefully I explain it well enough to assist tracking it down.

The attached image shows an apparent problem with tick data on ES contract rollover.

It occurs at 00:00 am (Aust time template for ES - which would be 09:00 US CT).

Viewing the data via Historical Data Manager shows that all data is present, correct and contiguous for both the incoming and outgoing contracts, both before 00:00 and after.

Yet for some reason at 00:00 the Dec contract chart reverts to Sept data (just for contract roll day only).

This occurs for both Tick and Volume charts (havent checked other chart types that are built from ticks but I assume they would be the same).

Note also the spike down - there are is one each hour (on the hour for the remainder of the session). The low of the spike in each case is the opening price of the Dec contract at that time (while all other charted data is Sept data).

I have reloaded historical data several times without change (the data is present and correct).

The problem is not evident at all on minute data - charts are correct.

The rollover settings are standard as per incorporated within package - Policy is MergeBackAdjusted.

I first noticed this on b19, then upgraded to b21 - same result.

Data is from eSignal.

The applied Session Template has been in use for many months and at least 2 prior rollovers - however this is the first rollover where I have noticed this behavior.

Cheers

[NinjaTrader_Austin]

rt-trader, please try again on Monday - sometimes it takes two days of a new contract's data for the merging to work correctly.

[rt-trader]

Austin,

Not sure why it should take 2 days for a new contracts data to merge properly but I waited and tried again as you suggested - and - the problem still persists as reported.

Added later..

A separate but probably related issue..

In a chart of an incoming Dec contract that has a merge date set for Sept 15 (which is tomorrow local time)
the Historical data being plotted is from the Sept contract until the first live tick. From that point on, Dec data is displayed. This occurs on both Tick and Time based charts.

Given the contract hasnt yet reached the merge date, only data from the Dec contract should display.

The merge policy is set to MergeBackAdjust.

As mentioned below, the last couple of merges have gone through fine, so something somewhere must have changed to be causing these issues.

[NinjaTrader_JoshP]

rt-trader,

What is the exact session template you happen to have selected? I did not see you list this. Also, what timezone is your PC in?

[rt-trader]

Hi Josh,

Image of Session Template for ES attached. Note this is a RTH template but the problem is also present on a 24 hour template.

Timezone is (GMT +10:00) Canberra, Melbourne, Sydney.

Note re second issue mentioned. I will re-check this later today as the date is now Sept 15 here (the specified roll date) and post results.

Thanks

[NinjaTrader_JoshP]

rt-trader,

I am slightly confused. The rollover date for ES was 9/9. Did you manually select 9/15?

[rt-trader]

Josh,

Correct, ES was 9/9 as per the first post.

My comment re 9/15 applied to the "added later" part of post 3.

Sorry for the confusion.

[NinjaTrader_JoshP]

rt-trader,

I saw what you saw in post 1 once today, but then all of a sudden I don't see it anymore. Do you still see it?

[rt-trader]

Josh,

Yes that happened to me also - once. The issue was there - then on reload it wasnt - however, that only happened once (which I cant explain or reproduce).

Now, whenever I load enough data to cover the roll day on either a Tick or Volume chart the issue is consistently present (on either a RTH or 24 hour Session Template)

[NinjaTrader_JoshP]

Can you please zip up your entire db directory and upload it to sendspace.com for us?

Documents\NinjaTrader 7\db is the directory we are looking for. Since your data set for some reason still has the issue it would be important to try and get your set to analyze. Thank you.

[rt-trader]

OK,

Do you have an email address I can use to send to?

Thks

[NinjaTrader_JoshP]

support [at] ninjatrader [dot] com with Attn: Josh in the subject line and a link to this forum thread will do. Thank you.