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Historical Data Not Accurate

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    Historical Data Not Accurate

    I am running NT7, on Bangkok timezone.

    When I download historical (daily) data, it differs from CME and Kinetick. For CL 05-12, the comparison is below;

    NT O H L C
    29-03-12 105.07 105.44 102.13 102.80
    30-03-12 103.26 104.15 102.78 103.04
    02-04-12 102.52 105.49 102.06 105.24
    03-04-12 104.82 105.18 103.59 104.02
    04-04-12 102.63 103.12 101.08 101.53

    Kinetick O H L C
    29-03-12 105.58 105.70 102.13 102.78
    30-03-12 103.29 104.15 102.78 103.02
    02-04-12 103.27 105.49 102.06 105.23
    03-04-12 105.04 105.18 103.59 104.01
    04-04-12 104.09 104.12 101.08 101.47**

    **Numbers for 04-04 from CME, assume Kinetick will be the same.

    Kinetick has the same values as CME. With the differences in HLC, needless to say the pivots are completely wrong as these are calculated on the same values that are downloaded. I have seen the sticky on pivots. In NT 7 I cannot find the option to set session times manually.

    When I check the charts, the values for OHL are as per CME, but setting the Pivots to Use Intraday Data does not solve the problem. Also, the downloaded Close price does not match either the CME Last or Settlement price. Setting the values manually for all the charts would be a real nuisance.

    With this issue, I am also concerned that downloaded minute data will be as inaccurate and unusable.

    Would be obliged for any help possible.

    #2
    Hi justrading,

    You raise a good question...

    To clarify for others who read this post, you are referring to the differences between NinjaTrader historical servers used by CQG and Zen-Fire compared to Kinetick.

    NinjaTrader servers tick and minute data are accurate. Daily bars are built off of this data but the difference when compared to Kinetick can be accounted for in that NinjaTrader servers are building daily bars using RTH session where Kinetick default is ETH. In addition, NinjaTrader servers do not ammend daily bars by the settlement price which comes after session close. This is something that is on our improvement list.

    Please let us know if you have any further questions.
    RayNinjaTrader Customer Service

    Comment


      #3
      Thanks Ray, I suppose the only remaining point is whether there is a way for me to get the pivots to calculate on ETH rather than RTH?

      As I mentioned setting to Use Intraday Data does not solve the problem, and entering manually is impractical.

      Comment


        #4
        I think the way around is to set it to use daily bars and load Kinetick data the night before. This will then use the ETH daily bars from Kinetick for calculations.
        RayNinjaTrader Customer Service

        Comment


          #5
          No after hours charting on AAPL

          Hi there,

          For some reason I can't seem to get any after hours charting on AAPL. I have no problem with any of my other charts. Any ideas?

          Thank you so much.

          Comment


            #6
            To see overnight data for Equities with Kinetick please create a 1440 Minute chart to simulate Daily bars and apply the "Default 24/7" Session Template.
            Christopher J.NinjaTrader Customer Service

            Comment


              #7
              Aapl afterhours charting

              Hi Again,

              Thank you for the reply. I am actually connected thru Interactive Brokers. I have no issues with any other Nasdaq charts except AAPL.

              I can't find anything different in the settings.

              Deb

              Comment


                #8
                Hello Debbie,

                Historical daily data with Interactive Brokers is provided as per RTH session. So if you use a daily interval, the daily bars will contain data for the RTH session only.

                You can use the workaround that ChristopherJ posted. So if you create 1440 minute bars using the 'Default 24/7' session template, it will plot the entire day and not exclude any data.
                JasonNinjaTrader Customer Service

                Comment


                  #9
                  Thank you all so much. It worked For some reason my charts are set up for a session template called (Use instrument settings). All my other charts have no issues with after hours trades... just APPL. By switching that instrument (APPL) to 24/7 I now have pre and after hours trades.

                  So thank you once again!

                  Debbie

                  Comment

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