SPI Data Confusion

[kid hustlr]

Hi guys,

I'm having some issues with my data for the SPI (ASX 200 Futures contract - APH3)

I am using interactive brokers as my data provider

Firstly, the SPI trades in two sessions 9.50am - 430pm Mon to Friday and a night session 5.10pm to 8am the next day. (It is closed from 8.01am Saturday until Monday morning 9.49am)

See below for my session manager.

The dates are incorrect when i pull this into a chart. As seen below it shows the 08/01/13 2 days in a row. Looking back across the chart it shows Every Monday as Tuesday's date. Effectively listings Tuesday's date twice. Can you assist?

As well as this, the volume data I have seems to all wrong. When I compare the volume data with the daily trading report:

http://www.asx.com.au/sfe/daily_monthly_reports.htm

The data is all wrong, My volume numbers are far too low. Can you assist?

[NinjaTrader_Kyle]

Hello,


Thank you for your post.


Please provide an expanded view of your custom session template settings so that I can see all days which are included as this doubling of dates looks to relate to your settings here.

[kid hustlr]

Hi Kyle,

I adjusted the custom session as seen below. With this setting if I switch the data to 1440min bars the dates are correct, yet if the charts are set to 'daily' the incorrect dates for Mondays still occur (it gives Tuesday's dates twice).

Effectively with this session the chart's are exactly the same with the exception of the dates. Going forward I can deal with this, however it would be good to know why the daily data is incorrect.

[NinjaTrader_Jason]

Hello kid hustlr,

Can you please select the 'Default 24/7' session template in the daily chart and check if the issue remains. Please note that session templates do not affect daily data itself - daily data is loaded as per the OHLC values provided by the data feed. However it likely does affect the date stamps.

[kid hustlr]

When I select the default 24/7 session the dates are one day ahead.

[NinjaTrader_Kyle]

Hello,

1.) Which timezone does your PC use?

2.) Which interval of chart are you using?

[kid hustlr]

timezone is (UTC+10:00) Canberra, Melbourne, Sydney

interval is daily as outlined below

[NinjaTrader_Jason]

Can you please use the 'Snfe RTH' session template that is present by default. Check if days are timestamped as expected.

[kid hustlr]

Can you please use the 'Snfe RTH' session template that is present by default. Check if days are timestamped as expected.

Days are time stamped as expected but it doesnt show the fri night/sat morning session. That bar is essentially missing

[NinjaTrader_Kyle]

Hi,

Please add those hours to the template through the Session Manager: by editing the SNFE RTH template: http://www.ninjatrader.com/support/h...on_manager.htm

[kid hustlr]

Hi,

Please add those hours to the template through the Session Manager: by editing the SNFE RTH template: http://www.ninjatrader.com/support/h...on_manager.htm

This works, but I don't understand why. Could you explain?

Firstly, 'SNFE RTH' template is only for the hours of 9.50-430 mon-fri yet it appears to show trading for the entire day (ie. it includes the night session)

Secondly why does this template that I created cause the dates to be wrong every Monday?

[NinjaTrader_Jason]

Session templates do not affect how daily data is loaded. Daily data is loaded as per the OHLC values provided by the connected data feed.

Unfortunately some combinations of session templates and PC clock time zone can cause unexpected timestamps as per daily data.