Incorrect "daily" bar every Sunday

[astrolobe]

I have a 1440 minute E-Mini S&P 500 (ES 06-09) chart that is my "daily" ES chart, as Zen Fire does not provide daily data.

Every Sunday there is a bar that should not exist, and is messing up my indicators (see attachment).
The session begin and end times of the chart are 3:30 p.m. and 3:15 p.m. respectively (I have tried other times with no success). These spurious bars tend to have a volume of 1 or 10 and are always on a Sunday when the markets are closed.
For some reason this does not happen on a Saturday when the markets are also closed.

I have an IB feed that does not do this with proper daily bars and 1440 minute bars.
Lastly, it does this on all instruments on Zen Fire that use the 1440 minute timeframe.

I would greatly appreciate any help. Thanks.

[NinjaTrader_Jason]

Hello astrolobe,

Does the Sunday bars persists when 'Exclude weekend' is set to True in the chart properties menu (double click chart)?

What time zone setting is used on your PC?

[astrolobe]

Hi Jason,
The Sunday bars disappear, but some of the bars now look slightly different, e.g., a small change in some OHLC values.
I am using central time (Chicago) for CME, eCBOT instruments.
Will this exclude Sunday evening (Chicago time) data when ES opens?

Thanks.

[NinjaTrader_Jason]

Hello astrolobe,

The price bar for Monday will contain data starting after Sunday midnight when using 12:00 AM and 12:00 AM as session begin and end times.

[astrolobe]

Hi Jason, I get the same phantom bar appearing on a Sunday with my hourly charts. If I exclude weekends, I lose all the ES bars from 5 PM on Sunday to 12 PM on Sunday...this is not good!

On closer inspection with a 1 minute bar, it always happens at 3 PM on a Sunday. On a 1 minute chart the extra bar is not a problem, but on a daily chart it is a problem, because it creates a daily bar on the weekend that should not exist. As I mentioned previously, this does not happen with IB, only with Zen Fire.
Thanks.

[NinjaTrader_Jason]

Hello astrolobe,

Data received during 5 PM to 12 PM on Sunday, will cause data to be displayed for Sunday when 'Exclude weekends' is set to False.

IB supports historical daily data, while Zen-Fire not. Since you use the 1440 minute interval workaround the outcome is different than using historical daily data with IB.

[astrolobe]

Thanks Jason,
I understand about the "exclude weekends", but why is there a phantom bar at 3pm on a Sunday from Zen Fire, for 1 contract? This is not historical data, and the bar should not exist. On an IB intraday chart, this does not happen. Basically, ZF is sending through a tick on a Sunday afternoon when the market is closed.

[TAJTrades]

Thanks Jason,
I understand about the "exclude weekends", but why is there a phantom bar at 3pm on a Sunday from Zen Fire, for 1 contract? This is not historical data, and the bar should not exist. On an IB intraday chart, this does not happen. Basically, ZF is sending through a tick on a Sunday afternoon when the market is closed.

I think this is a Zenfire issue. I have also noticed that when Zenfire is doing some maintenance work on the weekends they will spit out data for Saturday. I usually notice this after I can not log on to Zen early Saturday morning (I usually write code on Sat Morning so if I screw it up I have all weekend to fix it). For me this is a very small inconvienence when compared to the performance of the Zen Feed.

[astrolobe]

As this only happens once a week, and I know what time it happens, is there a way to remove it out the database each week?

[astrolobe]

I must say that I do like the performance of the Zen feed. There might still be a way to work around this.

[NinjaTrader_Jason]

Hello astrolobe,

You can delete historical data per date via Tools-->Historical Data-->Delete.

[astrolobe]

Hi Jason,
I only want to delete one bar. Is that possible by editing the Access database?

[NinjaTrader_Ray]

You would need to export, remove the record from the file, then import the file back in.

Via Tools > Historical Data > Export

[CBpasQ]

Astro -- have you tried using 1425 min bars instead of 1440 since your "day" is only 23 hours, 45 minutes long? I am also trying to come up with some daily charts that I like. Let me know if it works.

[astrolobe]

CBpasQ, Thanks for the suggestion. The extra bar disappeared, but because the day is now set to 1425, the close of the "daily" bar changes by 15 minutes each day. After a couple of bars, the close time discrepancy becomes quite large.