Futures Charts different than Forex and CFD's? Why?

[Veritasig]

Hi there,

My background is mostly forex and CFD's. Upon switching to futures, I noticed that the candle close price and open price of the next candle are often a different price. Even for time bars! With Forex and CFD's, it's always the opposite - the close price of one candle is the exact same as the open price of the next candle. This makes sense to me. Why is this the case for futures? And does a third party charting application for IB exist, that will correct this? Or a data feed?

The first picture is YM CFD, 30 second candle chart. The closes and next candle opens are the exact same price for every candle.

http://i46.tinypic.com/28jlcb8.jpg

The second picture is YM future via IB TWS, 30 second chart. Same time period. The closes and next candle opens are often a different price....

http://i45.tinypic.com/b533w1.jpg

[NinjaTrader_Matthew]

As these are not NinjaTrader charts, I wouldn't be able to comment on how to correct them.

However, this could be due to comparing filtered vs unfiltered data. With IB, the data is sent in snap shots (every 250ms) which can cause cause a gap in prices.

Since NinjaTrader will work as a radio receiver and display data as it come from the connection you're using, you would also see this in NinjaTrader charts.

However, with NinjaTrader you can take advantage of NinjaTrader’s ability to make a secondary connection to bring in data from another provider such as www.kinetick.com which offers unfiltered data for Futures, Forex and Stocks.

[Veritasig]

Thanks for the reply, Matthew.

I think the issue comes down to time bars, versus tick bars.

Does Ninja Trader offer *true* time bars?

What I mean by that, in NinjaTrader charts, does the close price of one candle correspond exactly to the opening price of the next candle, with time bars?

I think the issue here is not the datafeed, but the bar type. TWS says they use time bars, but they are not true time bars (that close and open at the exact same time). They are tick bars (the first new trade or tick of the new bar/candle determines the open price of that new candle). Know what I mean?

[NinjaTrader_Matthew]

The bars close and next bar open price will be depending on that data feed you're using.

Please take a look at our Help Guide article on How Bars are Built for clarification:

http://www.ninjatrader.com/support/helpGuides/nt7/how_bars_are_built.htm

[Veritasig]

Matthew,

Could I use an example? I think this will help clarify things.

Say for a NT minute chart, the bar opens at 10:21 am and closes at 10:21:59 am. Say the close price is 13555. The next tick at 10:22:02 am is 13557. What price does the new candle open at? 13555? Or 13557?

[NinjaTrader_Matthew]

This depends when the tick comes in and at what price. In your example, the open price of the next candle would be 13557.

This is completely dependent on your data feed. We will not create an open price if that tick did not come in at that time.

[Veritasig]

Okay, that's what I wanted to know. So NT uses tick charts. These aren't true time charts.

Is there an option to use true time charts? Cause that's what I'm looking for?

[koganam]

Okay, that's what I wanted to know. So NT uses tick charts. These aren't true time charts.

Is there an option to use true time charts? Cause that's what I'm looking for?

You mean to completely ignore the first tick of the bar, and open a bar even if no activity exists, so that the chart shows some artificial projection of price action, instead of reality?

[Veritasig]

You mean to completely ignore the first tick of the bar, and open a bar even if no activity exists, so that the chart shows some artificial projection of price action, instead of reality?

Yes. That's what a *time* bar is. They open and close based on time. Not price...

[koganam]

Yes. That's what a *time* bar is. They open and close based on time. Not price...

Looks like you will have to write a custom Plot then, to override the price bar display,
à la the Heiken-Ashi indicator.