Historical price discrepancy in different time frames

[:::grimReaper:::]

I was analyzing 6A's historical data from 2.5 months ago. It hits a high on 5/2/2011, but I get difference of 128 pips depending on whether I look at the daily charts or the intraday charts. Please see attached.

Thanks.

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

Can you please tell me what data provider you are connected to within NinjaTrader so I may further assist you.

[:::grimReaper:::]

Zenfire.

Instrument: 6A 09-11

[NinjaTrader_ChristopherJ]

The Zen-Fire connection does not provide historical Dailly data therefore NinjaTrader will conver Minute data to Daily bars.

Please connect to the Kinetick End of Day (Free) connection first and Zen-Fire second.

Next right mouse click within your Daily chart and select Reload all historical data.

[:::grimReaper:::]

Thank you for your response,

I connected to Kinetic then Zenfire as suggested. When I load 52 days or less and hit "Reload historical data," the daily chart is corrected instantly, but when I load 53 days or more and hit reload, the chart says "Loading data" but fails to correct the chart (I left the computer for 30 minutes and it was still "loading").

[NinjaTrader_ChristopherJ]

Does this occurr with all instruments or a specific instrument?

[:::grimReaper:::]

I did this for a high on 4/28/2011 on 6B 09-11, and had the exact problem, though this time the difference was only 22 pips and it only corrected when I loaded 48 days and lower.

Btw, when I load bars instead of days on the daily chart on 6A, I get the same problem except it corrects 33 bars or less.

[NinjaTrader_ChristopherJ]

This may be due to Daily bars only displaying data during Exchange hours as apposed to all data outside Exchange hours.

Instead of loading a Daily bar please load a 1440 Minute chart with the same Session Template applied as used within your other Minute chart and let me know if the values then match.

[:::grimReaper:::]

No luck. It still instantly and correctly loads data if the number of day is 52 or less, and says "Loading data" for a every long time for 53 days or more when I hit reload historical data. Same if I load by # of bars or custom range.

Same if I load 720min candles. I see roughly twice as many of bars as expected, but the # days determines whether the chart loads correctly or not.

=====

Here's an interesting find:
The maximum number of days I'm able to load correctly is a function of the end date:

End date || Max num days:
5/2 || 52 --> dates back to 3/11
5/3 || 53 --> dates back to 3/11
5/4 || 54 --> dates back to 3/11
....
6/8 || 89 --> dates back to 3/11
6/9 || 90 --> dates back to 3/11
6/10 || Pattern breaks! Cannot see data corrected regardless how many days. Tried 41 days (the lowest possible before the 5/2 high disappears) still incorrect.

=====

Another interesting find:
Please see screenshots. While the candles look almost identical when the data is correct and when it's incorrect, the data seems to be restreched or shifted. Also, the very last price isn't the same in both screenshots (1.0618 vs 1.0487: 131 pip difference, while the difference in the highs is a 128 pip difference). A bug in scaling?

[NinjaTrader_ChristopherJ]

I have tested this on my end and receive the same values. This appears to be due to the offset and our development team is looking into the issue.

In the mean time to receive the correct values please change the Merge Policy by going to Tools-->Instrument Manager-->Select 6A within the Available master instrument list-->Edit-->Merge Policy-->Set to "MergeNonBackAdjusted"-->Click Ok.

Next please right mouse click within your chart and select "Reload all historical data".

I will reply to this thread as soon as I hear back from development.

Thank you for your patience.