ES Daily OHLC

[ScottB]

Hi,

I am trying to use the daily (and weekly) OHLC for some analysis. For the ES on 2/16 at 0745 (Eastern) you can see a low of 1334.50 on a 5 minute chart which matches other data feeds I have access to.

However, the daily chart shows the low as 1338.00. I have checked days before and after as well as the weekly chart and this value is consistent.

Even if there were something odd in the instrument template (I am using CME Index futures ETH), that value would have to be accounted for somewhere it would seem.

Can anyone explain why this is the case?

Best Regards,
Scott

[NinjaTrader_Kyle]

Hello Scott,

Thanks for your post.

Which data provider are you loading these values from?

[ScottB]

Kyle, I use the TT data feed for regular data and whatever source is used when you request historical data via Days to Load under time frame on the strategy properties page. But I also tried a chart and got the same information.

Normally this has given me prices consistent with other data feeds. This was an issue last week as well; I thought it was an anomaly.

Best Regards,
Scott

[NinjaTrader_Kyle]

Hi Scott,

Thanks for getting back to me.

Which platform/data source are you comparing against? Do you know whether that platform/data source uses a 24 hour bar for a daily bar or an ETH session bar?

I notice that when I create a 24 hour bar using a 1440 minute chart, the low of the day seems to align with what you'd reported for the 16th.

[ScottB]

Kyle, I am using the CME Index Futues ETH template. I didn't change it from what was set in Instrument Manager other than I cannot remember if I changed it to ETH or it now ships that way (I seem to remember that was changed to ETH at some point by NinjaTrader).

[NinjaTrader_Matthew]

Hi,

I am trying to use the daily (and weekly) OHLC for some analysis. For the ES on 2/16 at 0745 (Eastern) you can see a low of 1334.50 on a 5 minute chart which matches other data feeds I have access to.

If you are using Trading Technologies Daily data (Daily, Weekly, Monthly, Yearly), the data will be RTH hours only.

If the true low of the day on an intraday chart came in at 745 Eastern, you would not see this reflected in a Daily chart.

If you would like ETH data for your Daily charts, you can use the Kinetick End of Day Free connection which should correspond with the highs and lows you see with your intraday chart.

[ScottB]

Matthew, wow, I did not know that. Is there any way to get this automatically? When data is loaded because a strategy uses Days to load (say 20), I need the ETH. I can always save new highs/lows myself and effectively construct the weekly OHLC but what a pain.

Under any circumstances, thanks so much for helping me out with this.

Best Regards,
Scott

[NinjaTrader_Matthew]

Scott,

Note that your intraday data (minute, tick charts) will be ETH as long as your session tempalte is set to use these hours.

If you need Daily data that is ETH, please make sure you are connecting to Kinetick first, and then connect to your TT connection.

[ScottB]

Matthew, perfect, thanks so much.