Closes[0][0] vs PriorDayOHLC().PriorClose[0] with muliple time frames

[NinjaTrader_Joydeep]

Hello infin8loop,
I followed the below steps and could get the correct values.

• I deleted all Daily data from the Historical Data Manager.
• Restarted NinjaTrader.
• Open a 3 minute chart for ZC 12-12 (days to load set at 50).
• Apply an indicator with an Daily secondary data series.
• Open the Historical Data manager and get a sceenshot of the daily data download
• Open a daily chart and reload the historical data.

Now if I compare the daily bars with the data as captured with the screenshot I can get the correct chart.

Can you confirm the same. If you are viewing any discrepancy can you let me know the exact steps.

[infin8loop]

Steps to reproduce

The steps are:

1. Connect to provider that uses settlement prices for the daily bar closing values (i.e. Kinetick).
2. Open a 1 minute chart of ZC 12-12 using the ETH template (shows the problem more quickly and clearly – also check the times of the CBOT agricultural templates as the session times have changed recently – should be 9:30-14:00 CST continuous – if the template is a split session, that should create even more interesting results ).
3. Add the indicator plotting the secondary daily data series closing values
4. Take note of the date and value of the last daily historical bar in the historical data manager
5. Do not reconnect any data connection; do not reload historical data, do not refresh the chart and,
6. Leave it running after the close of the daily session today and into the start of the extended session
7. After the start of the extended session, check the following:
   • (a) The daily bar close for today
   • (b) The minute bar close for the last minute of today's session
   • (c) The CME settlement price for ZC 12-12 for today
     
8. If a and b are the same, try again on another day when they do not match.

[NinjaTrader_Joydeep]

Hello infin8loop,
If you are referring to the current days bar only, then unfortunately it is expected as the daily bar for the current day is synthetically calculated and is updated tick by tick depending on the session template you apply.

[infin8loop]

Adding daily bars to intraday indicator will not give settlement price in real-time

Yes, I guess I'm looking for two things:

1. Confirmation that, not just the current daily bar, buy any daily bar that was constructed by real-time data (i.e. after the time the indicator was placed on the chart) is 'synthentic' and does not necessarily match the value from the data provider. This means a manual step is required for indicators/strategies working with daily settlement data in real-time.
2. Are you able to reproduce the problem that I had: under these conditions, refreshing the chart or reloading historical data from the chart did not cause the chart to pick up the daily historical data (i.e. with settlement prices) - it required a reload from the historical data manager or a reconnect?

This second point is important to me because I have developed an indicator to automatically use the reload historical data hot key on the chart, but I'm concerned it will not work.

I appreciate you taking time to look into this. I suspect many people who want to work with settlement data assume that adding the secondary daily series (and using a DoNotMerge policy) is all they need to do (thinking that the indicator/strategy will automatically use daily data like it does for historical daily bars), not realizing that there are manual steps they must perform each day.

[NinjaTrader_Joydeep]

Hello infin8loop,
1. As long the bars are synthetically built you will not have the settlement price. Also please note, the settlement price are not calculated just after the regular trading hours. But are calculated after certain period based on the exchange.

2. Unfortunately an added secondary series wont auto reload the data on just refreshing. You have to open a chart, or import the data.

[infin8loop]

LastClose OnMarketData

Thanks Joydeep,

Yes, I notice that the ZC settlement price isn't available until just after 16:45 CST. It's worth mentioning also that the settlement price is available in real-time only through the OnMarketData method using the LastClose property.

[NinjaTrader_Joydeep]

Hello infin8loop,
Yes, the availability of the settlement price varies from instrument to instrument/exchange to exchange.

OnMarketData is the raw stream and you will get all the datatypes as transmitted by your data feed provider via it.