Market Analyzer - Last Close and other price data documentation

[zacharydw00]

Is there a documentation page for the various M/A Columns that display fundamental price data (i.e. Last Close, Opening, Settlement) ?
Thx.

[NinjaTrader_PatrickG]

Can you clarify what kind of documentation you're looking for regarding these columns? Just how they work in general, or did you have specific questions?

[zacharydw00]

this kind... https://ninjatrader.com/support/help...t_analyzer.htm

I'd like to understand the technical information on how those prices are derived. Other that just saying its from the data feed provider. I've seen a couple posts where users are pointing out that those prices don't match chart data. So, I'd like to review any documentation that explains how those fundamental prices are:
1) Derived (eg. what time of day the price was captured).
2) How they differ from chart data (eg. Daily charts, intra-day charts)
3) What Trading Hour session would approximate the same price on an intra day chart.
Information like that to help technical users and coders to have a full understanding between the various sources those prices can be found.
Thx

[NinjaTrader_PatrickG]

No, there is no additional documentation in the help guide about these specific columns. Please go into further detail about the specific questions you have and I will be able to answer them.

[zacharydw00]

Technical correction to my previous references, I'm asking about MarketData prices not fundamental price data. In other posts I've seen this referred to as fundamental data.

In reference to this page... https://ninjatrader.com/support/help...marketdata.htm
and these prices from that page for US markets/exchanges,
- LastClose
- Opening
- Settlement

1) At what time of day are these prices taken? e.g. On a 1 minute chart, which bar would those prices match up with?
2) Which Trading Hours session would generate the same prices on a daily bar dataseries?
3) Is Sunday included in generating this data, or only Mon-Fri?
3a) If Sunday is included, how can Sunday be removed, because in practice traders don't use Sunday for this type of data?

[NinjaTrader_Jim]

Hello zacharydw00,

When the prices are received will vary between different data providers, however Settlement/LastClose would typically be updated after the close of a daily bar.

Trading Hours session templates will filter data series so they contain data comprised within that period of time, but you may not see a settlement adjusted value when building a 1440minute chart filtered for trading hours when you would see a settlement adjusted close with a daily bar. You can see our Data By provider grid for a breakdown of data providers who offer settlement adjusted closes.

Data By Provider - https://ninjatrader.com/support/help...y_provider.htm

When testing on Kinetick and NinjaTrader Continuum, Sunday is not included and Settlement/LastClose is matching the 9/6/2019 daily bar.

To observe exactly when you see these values from your data provider, I recommend testing the following:

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    if (marketDataUpdate.MarketDataType == MarketDataType.LastClose)
        Print("LastClose: " + marketDataUpdate.Price + " Time: " + DateTime.Now);
    if (marketDataUpdate.MarketDataType == MarketDataType.Settlement)
        Print("Settlement: " + marketDataUpdate.Price + " Time: " + DateTime.Now);
    if (marketDataUpdate.MarketDataType == MarketDataType.Opening)
        Print("Openning: " + marketDataUpdate.Price + " Time: " + DateTime.Now);
}

Please let us know if we can be of further assistance.