Data Box data

[Dolfan]

OK, Jessica, I am as confused as ever at this point. I added to your spreadsheet my lines for comparison and other than the fact that my data has 06/16 data before the 13th, the data is very close to the same. I did note however that when loading the 09/16 chart and reviewing your data, that your numbers varied from the chart from .25-1.0 points. A very small variance but different just the same. I do not know how to attach the spreadsheet for you to see so if you can help me with that I will send it back to you.

What I do have is this pic file of me grabbing data for the Sunday night open. You will note my spreadsheet on the right with the OHLC numbers for the 17th on the bottom row. I entered these numbers Saturday while reviewing your spreadsheet. Now, here it is Sunday evening and I am putting in my opening price for the 20th (which generates all the data I need for my lines) and you can see by the data box on the left that the numbers are indeed different from what they were Saturday. A close of 2059.75 now becomes a close pf 2072.00, a change of 49 ticks or $612.5 per contract. Some of the 1-3 tick changes are nominal but 49 ticks can be game changing,

http://screencast.com/t/4ECkiUoL7

Also, take a look at that volume. I recorded 1.7mil contracts traded for Friday and the data box now shows 40k contracts traded.

Your thoughts?

Best regards,

Dolfan

[NinjaTrader_JessicaP]

Hello Dolfan,

I do not know how to attach the spreadsheet for you to see so if you can help me with that I will send it back to you.

I would be happy to help with this.

There are two steps. The first will produce a CSV or "comma separated value" file. You can open a CSV file both as an excel spreadsheet, and in a text editor. The second will attach it here.

To export to CSV in Excel 2016

• File
• Save As
• Browse to a location in your filesystem, such as your desktop, to save to
• Change the Save as type to CSV (MS-DOS) (*.csv)
• Click Save
• Yes to the dialog asking if you want to keep the format

To attach a file here when making a reply,

• If an option to "go advanced" appears, click it
• On the top, next to the smiley face, there should now be a paperclip icon. Click it.
• Select Browse...
• Select the file in your filesystem you saved earlier, and click open
• Press Upload on the right
• Scroll down to the bottom and press Close this window

Thanks for providing this information. I believe with a copy of the spreadsheet I will be able to determine exactly what is occurring.

[Dolfan]

There is no option for "Go Advanced" on my reply screen.

Dolfan

Oh wait! There is if I edit my response, like here.

[NinjaTrader_JessicaP]

Thank you for providing that Dolfan.

I will return momentarily with my findings.

[NinjaTrader_JessicaP]

Hello Dolfan,
I am glad you were able to send this information to me. To make a True Range column - which if you'll recall, is the greatest of

• The difference between the current high and previous close, or
• The difference between the current low and previous close, or
• The difference between the current high and current low, or

And which, if you will recall, is what the Average True Range is averaging, you can on your spreadsheet add this formula to cell U3 :


=MAX(ABS(N4-P3), N3-O3, ABS(O4-P3))


You can then extend this down by clicking on the square in the lower left corner of U3 and dragging it down to cell U13 .


Once you have done this, you can find the highest and lowest True Range values. You will then notice that your Average True Range values will all be higher than your lowest True Range value, and lower than your highest True Range value.


I would like to clarify on your other question, are you saying Friday's data is different on both Saturday and Sunday, or are you saying Saturday's data is different depending on whether you review it Saturday or Sunday?

[Dolfan]

Actually I don't recall but thank you for that direction. I will use this to better prepare my charts.

The data box that I viewed Saturday provided me with different data than the data box I viewed last night to set up my trading day. Most glaring as you can see in the picture is the lack of volume. This should be a red flag for 'something'! For an instrument that normally has a daily volume of 1.5mil+, 40K is a serious variance.

I would like to note that I only see this on the ES.

Best regards,

Dolfan

[NinjaTrader_JessicaP]

To clarify further, since the E-Mini S&P trades from Sunday to Friday 5:00pm - 4:00pm Chicago Time, I would like to know if the following has ever occurred :

• A difference in the price 2 days ago between yesterday and today,
• On a Tuesday through a Friday,
• Between 4 PM and 5 PM

If the situation is other than described above, prices will be in flux until the trading day is closed. If the situation described above has occurred, we will likely need to request the contents of your log and trace folders from under (My) Documents\NinjaTrader 7 .


Please let me know if the reasons I am asking for the above are unclear or if there are any other questions I could answer.

[Dolfan]

I haven't tracked the times that I have actually noticed variances but I plan to input data in the evening after 10pm or in the morning after 5am. I never do this in the afternoon. Let me know if you want me to track this data variance more closely.

Patrick H has my trace and log files from today. Perhaps you can check with him. I am using Ninja ver. 8.0.0.11.

Best regards,

Dolfan

[NinjaTrader_JessicaP]

Thank you, I was able to retrieve this information from NinjaTrader_PatrickH . I believe if you can export one more file for me, I will have all the information I need without you needing to monitor anything daily.

• NT8 Control Center -> Tools -> Export -> Historical Data
• Instrument : ES 09-16
• Start date : January 1 2015
• End date : June 20 2016
• Interval : Minute
• Data type : Last
• Export
• OK
• Close this window

If you could then attach the file this produces to this thread, in a post where you describe the session template you are using, it would be appreciated.

[Dolfan]

What do you mean by session template? Do you mean the charts I use....or what exactly?

Dolfan

[NinjaTrader_JessicaP]

Hello Dolfan,

I discussed Session Templates briefly in the third post in this thread. You can view a chart's session template by selecting the chart and pressing Ctrl + F . I am looking for the Session Template property on the right. Sometimes it will say "<Use instrument settings>" . If this is the case, I will just need the name of the instrument you have a data feed for.

Thanks again.

[Dolfan]

The template I use from the data box comes from a 1440 minute OHLC chart as you advised in post #3. Here is the historical data as requested.

Best regards,

Dolfan

[NinjaTrader_JessicaP]

Hello Dolfan,
So we can further diagnose your system, please start NinjaTrader in Safe Mode. Safe Mode will prevent NinjaTrader from:

• Loading workspaces.
• Connecting on start-up.
• Loading custom assemblies.
• Getting instrument updates from the server.

To enable safe mode, please use the following steps:

• Exit NinjaTrader.
• Hold the CONTROL key and double click the NinjaTrader icon.
• Keep the CONTROL key held down until you see the Control Center.
• You can verify you are in safe mode by going to Help -> About.

Once your computer is started in safe mode, please create a new chart trading the same instruments you have been trading. Please then record the open price for the day, close Ninja, and reopen as usual.
Please repeat this process two days in a row, and let us know if your open prices differ between days.

[Dolfan]

Will do Jessica.

I will also look at your earlier input and decide how best to enhance my spreadsheets and charts going forward. At this time I gather data daily and from my spreadsheet calculations, I draw lines on my charts to identify trade zones. I would like to make an indicator that will automate this process for me. For this I will need to be able to take a read of the open price on the 1440 min bar as you have recommended, (or any bar as I may deem necessary), and from there using math calculations, it would draw the lines on the chart. I would also like to have them end at the session end line daily so that the new lines for the next day begin as soon as the new 1440 min bar opens. Please tell me there is a place in the forum/tutorials that can help me get started with this. So far my lines have been respected by the market so I think I am onto something worth pursuing.

Being a novice at best and only in strategies so far, I do not see how this is possible when selecting New - Indicator - and coming upon this part of the initial process http://screencast.com/t/jFS8owXktD . Any help at all to get me started would be greatly appreciated. Thanks in advance!

Best regards,

Dolfan

[Dolfan]

Just so I'm clear here, when you say "please create a new chart trading the same instruments you have been trading.", do you mean ALL of the charts that I have open or just the chart that I get my data from? If you mean ALL of my charts, will they need to have all of the indicators and lines as I draw them too? Thanks!

Dolfan