part of downloaded daily data is showing globex instead of RTH data

[wayne0h]

Hi:

Thanks to anyone who can help.

I've downloaded daily data for 1/1/2009-present from NT 7 (primary connection CQG, backup Kinetick) and most of the data shows OHLC for the RTH session. However, I have found that a small time period, from 2/21/2011-4/29/2011, reflects OHL prices of the globex sesion (4:30 PM previous day), rather than RTH.

What causes this behavior?

[NinjaTrader_Brett]

Hello,

Thanks for the note.

Did you download this data with CQG connected first and then kinetick.

Can you disconnect from CQG and connect to Kinetick only and relaod the data does this change the result?

-Brett

[wayne0h]

yes, originally was cqg first then kinetick. I tried what you asked, I disconnected cqg completely and only connected to kinetik and then pulled the data...same result: 2/21/2011-4/29/2011 period is showing OHL corresponding to globex session, not RTH.

on a side note, I notice that when I pulled data through kinetick, the 2/21/2011 date was not included. I guess kinetick doesn't keep track of early close holidays...

[NinjaTrader_Brett]

Hello,

In this case the test most likely invalid since Kinetick data doesn't go back that far it most likely did not overwrite the existing data you already downloaded.

I did a quick cross check I think this is just a period where there was not a lot of gaps overnight being made. What are you using to compare this data or just odd that there isn't any any gaps during this time?

-Brett

[wayne0h]

I went further back and downloaded data from 1/1/2009 - present. And it appears all the data from 1/1/2009-4/29/2011 are all globex ohl values.

I'm cross-checking with values I get off a chart using ThinkorSwim. It is pretty obvious to me where the data is using the globex session, and where it is using the rth session.

I guess my basic question is: What determines which one (globex or rth) is being used when I download data?

[NinjaTrader_Brett]

Hello,

Thanks for the clarification.

Thanks for that, I had to go back through my records from back then and when we started the CQG service there was a switch to RTH bars instead of ETH do to popular demand. Therefor we switched to this bar style for daily bars for CQG at this time. This is why you see ETH going back and RTH and that point moving forward.

What you can do is switch over to the ES ##-## contract and connect to Kinetick. for data. This will pull in continuous data for the whole time period but on CQG there was that time where we switched from ETH to RTH bars on CQG that you will see in our data.


-Brett