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ES daily data incorrect, can't use RTH?

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    ES daily data incorrect, can't use RTH?

    Hi - my daily chart has the Open data incorrect for ES contract. I have tried using:
    • use instrument settings
    • CME Global Index Futures RTH
    • CME US Index Futures RTH
    • reload all historical data
    It doesn't appear to match with the 15min chart I have open. What could be causing this?

    In Instrument Manager - my default for ES is CME US Index Futures ETH, and on the 15min chart. However, I want the RTH on my daily chart.
    Last edited by jtrading82; 03-09-2022, 11:56 AM.

    #2
    Hello jtrading82,

    Thank you for your post.

    Trading Hours templates have no impact on Daily data. The data points for Daily bars come fully formed from the provider, rather than being constructed from smaller intervals of data. Whether this is based on RTH or ETH data will depend on the specific provider. Additionally, some providers supply Settlement-adjusted Daily data. If you'd like to replicate Daily bars that you can apply a Trading Hours template to, you can create a 1440 Minute chart instead and then apply the CME US Index Futures RTH Trading Hours template to the chart.

    Please let us know if we may assist you any further.

    Zachary S.NinjaTrader Customer Service

    Comment


      #3
      Thanks, then why is daily chart not matching my 15 min chart for today? Other days seem correct. On continuumm data

      Comment


        #4
        Hello jtrading82,

        Thank you for your reply.

        Daily bars with Continuum are built using extended trading hours. When I compare a 15 Minute chart with the ETH template against a Daily chart using Continuum data, I see a low of 41.38.75 for both on 3/8/2022.

        What is the low that you are currently seeing on your 15 Minute chart and what Trading Hours template is applied?

        I look forward to your response.
        Last edited by NinjaTrader_Zachary; 03-09-2022, 03:50 PM.
        Zachary S.NinjaTrader Customer Service

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          #5
          Hi Zachary - for today 3/9/22 on ES:

          Daily chart: seeing low of 4152.00 (CME US Index Futures RTH)
          15min chart: seeing low of 4230.75 (CME US Index Futures RTH)

          Comment


            #6
            Hello jtrading82,

            Thank you for your reply.

            As I had mentioned previously, Daily charts are unaffected by the trading hours template and come fully formed from the provider. When using NinjaTrader Continuum, they will always be based on the ETH hours so comparing a Daily chart to a 15 Minute chart using the RTH template is not going to be an apples to apple comparison. The low of 4152 is for the ETH hours, which would match your 15 Minute chart if you used the ETH template. If you want to create a Daily chart that can use the RTH template, you need to create a 1440 Minute chart instead and apply the CME US Index Futures RTH template.

            Please let us know if we may assist you any further.
            Zachary S.NinjaTrader Customer Service

            Comment


              #7
              I see what you mean now. So basically Continumm data only has ETH for daily for the ES pre-aggregated. Slightly disappointing as I would expect Daily and trading hour templates to modify the current chart. Is this also true for other aggregations i.e. weekly, monthly, yearly at Continumm?

              Comment


                #8
                Hello jtrading82,

                Thank you for your reply.

                Weekly, Monthly, and Yearly charts are built from Daily data so they would be subject to the same principal. With that said, you can use Minute data to workaround this limitation and replicate a Daily chart by creating a chart with a period of 1440 Minutes. Once you create the 1440 Minute chart, you can then apply either the RTH or ETH template and have control over the trading hours displayed.
                Zachary S.NinjaTrader Customer Service

                Comment

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