CME futures daily candlestick

[Chris001]

I am comparing a seconds chart with a daily chart for 6J and have some questions. I cannot identify the OHLC shown from the daily candlestick on the seconds chart, could this be a timestamp issue? I recently had a timestamp issue resolved, is there a way to recalculate charts?

Although I cannot find these highs and lows even on preceding days, so I doubt it is a timestamp issue and more likely the smaller time frame chart not capturing this. What reasons can cause this? is it normal?

Also is the daily candlestick constructed from my timezone (MT), CT or ET? what I want is the OHLC to be based off the daily close of the contract (14:59 MT). If it is not already like this by default is there a setting to toggle this or would setting my PC time to a time zone 9 or 15 hours off of MT work?

Thanks

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Please contact me at Support AT NinjaTrader DOT com with a link to this forum thread and images outlining the differences which you are seeing.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
For detailed instructions please visit the following link

• http://take-a-screenshot.org/

Additonally, please include a copy of today's trace file.
The file is located in the Documents > NinjaTrader 7 > Trace folder. I would need the 'trace.20140709.txt' file.

[Harry]

The OHLC on a daily candle do not depend on NinjaTrader, but depend on the data provider. The daily candle can be either ETH (full session) or RTH (regular session) data.

The OHLC that you will get from a minute or second chart depends on the session template that you use to open the chart.


Example 6J 09-14, daily data for July 9, 2014:


CME Website:

The values published on the website for the full session (ETH) are:

open = 0.009851
high = 0.009862
low = 0.009819
close = 0.009851 (settlement)


Daily chart (Kinetick):

open = 0.009851
high = 0.009862
low = 0.009819
close = 0.009851 (settlement)


Intraday Chart (my data provider):

Now if open an intraday chart with the corresponding ETH session template "CME FX Futures ETH", you will get

open = 0.009851
high = 0.009862
low = 0.009819
close = 0.009852 (regular close)


Conclusions:

The OHLC from the three different data sources (CME website, Kinetick EOD, intraday data) is identical with the exception of the close.

CME website and Kinetick supply the settlement price, which is a volume weighted average price calculated over the settlement period (1:59:30 PM to 2:00 PM CT). The settlement price is not available with intraday data. As a proxy for the settelement price you can take the regular close (at 2:00 PM CT).

For Wednesday, July 9, there was 1 tick difference between the regular close and the settlement price.