Help me understand Daily Chart gappiness....

[Crassius]

I have used NT7 for FX and EOD for some time, and understand the slight differences one sees in different data feeds.

I just opened a NinjaTrader Brokerage account, and do not understand the large gaps between daily open and close on the continuum futures charts.

Below are two screen shots.... one from Kenetick and the other from the Continuum feed.

Nothing at all existed in the database at first. I requested 6E, 365 days, MergeBackAdjusted selected from Continuum, and got the a very gap filled chart. 12/16 close to 12/17 open are particularly wild, and well past the roll over date.

I then deleted all the Continuum data, and with nothing in the database at all, connected to Kenetick EOD and requested 6E, 365 days, MergeBackAdjusted selected. I received the below chart, which is much smoother, with fewer gaps.

The closes on 12/16 are within 1 tick between the datafeeds, but the opens on 12/17 are wildly different. Continuum has the 12/17 open at 1.0863, while Kenetick has it at 1.0922.... a 59 pip difference, which is about 50% of the ATR for this market.

What's going on?

Other daily charts opened from continuum seem to be overly gappy as well.

[NinjaTrader_ChelseaB]

Hi Crassius,

The differences in data are caused by the session template that is applied to the daily data on the historical data server with each data provider.

Daily data is received by NinjaTrader fully formed with an open high low and close and is not calculated on NinjaTrader's end. Because of this NinjaTrader is not able to modify the data when the session template is changed on NinjaTrader's side.

With Kinetick, all daily data is recorded with ETH as the session template, with CQG all daily data is recorded with RTH as the session template.

Try using a 1440 minute chart (there are 1440 minutes in a day). Minute and tick data can be adjusted with a session template on NinjaTrader's side.