Differences in Open price

[marketmasher]

I am using IB data and wrote a simple marker to display open (9:30 EST) price on ES (5min and 30min). I get different numbers depending on the chart timeframe I use. It is the same calc using ToTime(Time[0]) == 93000 and both charts set for CalculateOnBarClose = false;

Is there a way to reconcile the numbers some way?

[NinjaTrader_JoshP]

marketmasher,

Consider this. When you do your Time[0] check you are simply checking for the timestamp of a particular bar. NinjaTrader timestamps bars with their closing time stamp so on a 30minute chart the 9:30 bar is actually from 9:00-9:30. This means the open price of that bar is really the price at 9:00. Now if you go over to the 5min chart, the 9:30 bar is from 9:25-9:30. The open is the price at 9:25. I believe that would be the discrepancy you are seeing.

[marketmasher]

marketmasher,

Consider this. When you do your Time[0] check you are simply checking for the timestamp of a particular bar. NinjaTrader timestamps bars with their closing time stamp so on a 30minute chart the 9:30 bar is actually from 9:00-9:30. This means the open price of that bar is really the price at 9:00. Now if you go over to the 5min chart, the 9:30 bar is from 9:25-9:30. The open is the price at 9:25. I believe that would be the discrepancy you are seeing.

Sorry, but I'm confused - when I have the DataBox up and put the crosshair over the 9:30 EST bar on my 5min and 30min chart in turn, I was expecting the Open price to be the same since I am hovering the cursor over the 9:30 time period when both the 5min and 30min bar should start forming (Open). This is a bit non-intuitive.

[NinjaTrader_JoshP]

marketmasher,

That is not how NinjaTrader builds bars. You are thinking of timestamping a bar with the beginning time of the bar time. NinjaTrader timestamps with the close of the bar time. You can very easily see this on a real-time chart. As a new bar begins to build the timestamp of that bar will be in the future representing the expected close time of that bar.