FDAX daily OHLC values

[Sparkyboy]

I have a problem charting daily FDAX.

Using 'use instrument settings' it charts:

High and Low of Day = High and Low of 0700 to 2100 (GMT) -correct
Close of Day = 1630 (GMT) close, not 2100 close

If I adjust the session to 0800 to 1630 (GMT) (the DAX cash session)

High and Low of Day =High and Low of 0700 to 2100 (GMT) -incorrect
Close of Day = 1630 (GMT) close -correct

What gives? Am I missing something basic here?

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Daily bars within the NinjaTrader 7 platform will always be based on the default Session Template setting. Changing a Session Template will not have an impact on the open or closing time of a daily bar.

If you apply your other Session Template to a new 1440 minute chart (to create a daily bar using intraday data) do the OHLC values match up with the OHLC values you expected to see?

[Harry]

There is no problem.

For futures contracts the settlement price - which is also used for margin calculations- is more important than the last traded price in the late evening. For the FDAX the underlying XETRA market closes at 5:30 PM CET. The settlement price for the futures market is roughly taken at the same time. After 5:30 PM CET the trading volume of the FDAX futures drops and the future just follows US markets. The last traded price at 10:00 PM CET has little significance.

Quality data feeds offer you the settlement price as the daily bar close. This is what you observed. The settlement price is a valuable information, as it tells you where the market was heading when the main stock exchange closed. You can further use it to calculate floor pivots. Other data feeds offer you the regular close and only the cheapest of the cheapest data feeds will supply aggregated daily data that shows the last traded price of the day.

NinjaTrader session templates are only used for intraday charts. The daily data is not affected by session templates, as it is directly supplied from your data provider. Therefore, as Kyle has explained, you need to open a 1440 min chart and then apply your session template to obtain daily bars that do not use the settlement price. The close that is now shown will be the last traded price of the selected session.

[Sparkyboy]

Many thanks Harry.