A few questions about historical data.

[zhidhng]

Hi,

I am using Ninjatrader 7 version 18 with Zenfire.

Before the current connection problems with Zenfire I loaded a ES minute chart going back approximately 5000 days using the ESH4 contract listed under "Default" in instruments. I noticed that this data goes all the way back to 2006 which I reason to be the old expired ES contracts.

My question in regards to this is how are the contracts are spliced together in the chart. Is Ninjatrader splicing them together at the rollover dates for each contract? For example, the chart displays data for ESZ3 until the rollover date and then it switches to ESH4? Does Ninjatrader chart the data "as is" or is there any adjustment in the prices of the old contracts? Any elaboration on how this process is accomplished is welcome.

My second question is, when I loaded this chart, I have ES minute contract "last" data dating back to 2006 downloaded into my historical data manager. What does the "last" denote? Does it denote the last, i.e., closing price, or is this OHLC data as in the charts? I exported this data and noticed several price fields which looks like OHLC data but I am not sure whether this is it. Finally, in regards to the "time" field, I get something like this:

20060310 022300

I have reasoned that 20060310 stands for 2006, March 10th but I am not sure how the intraday times work. Can someone elaborate on this? What does 022300 denote?

Thanks for your help!

[NinjaTrader_Matthew]

My question in regards to this is how are the contracts are spliced together in the chart. Is Ninjatrader splicing them together at the rollover dates for each contract?

Yes, we have a merge policy enable by default that will merge the current contract into previous contracts.

Does Ninjatrader chart the data "as is" or is there any adjustment in the prices of the old contracts?

This depends on your merge policy settings under Tools--> Options--> Data tab.

In short, the "MergeBackAdjusted" will apply an offset between the two contracts, calculating the difference between the last and first trade of the two contracts.

Using "MergeNonBackAdjusted" will merge the charts as is without any sort of offset.

More information on how this works can be found below under 'Understanding the Misc tab":

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

What does the "last" denote?

Last is the last traded price. This is a value reported from market data providers. You'll have a last open, last high, last low, and last close. When setting up your charts you'll see an option to change it from "last" to "ask" or "bid" and at that point all of your OHLC values will be based either on the ask, or the bid, etc.

I have reasoned that 20060310 stands for 2006, March 10th but I am not sure how the intraday times work. Can someone elaborate on this? What does 022300 denote?

20060310 is the date, and 02 23 00 is the time. (i.e., 02:23:00 AM)

More information on data formats can be found from our import page:http://www.ninjatrader.com/support/h.../importing.htm

Please let me know if you have any questions.

[zhidhng]

Thanks a lot NinjaTrader_Matthew.

I have one additional question that I forgot to ask. When I save charts with indicators, drawings and annotations added onto them as a workspace for use later in NinjaTrader, I have noticed that they appear to be stored locally in the directory:

C:\Users\Admin\Documents\NinjaTrader 7\workspaces

I am wondering if the data is stored locally exclusively or if any information is uploaded to NinjaTrader servers or anywhere else.

Thanks again.

[NinjaTrader_Matthew]

All of your charts, etc are saved locally on your hard drive and are not saved to an external server.

All of your historical data is saved on disk in Documents\NinjaTrader 7\db

There are folders for Daily, Minute, and Tick data.

The "Data" folder is reserved for Market Replay data.