Daily bars

[linuxguru]

I'm trying to figure out how daily bars are created (I assume based on the intraday price). For example, Ninjatrader reports that yesterday's daily bar (2020-04-16) on ES 06-20 had a open of 2767.75 and a close of 2775.00. On a 15 minute chart I see the 17:15 (CST) bar opens at 2767.75. The last bar of the day (16:00 CST) opens at 2827.00 and closes at 2829.75.

The only bar I can find that closes on 2775.00 is at 14:17 CST.

Please help me understand how this works.

Thanks,
John

[NinjaTrader_PatrickG]

There are three fundamental types of data - tick, minute and day. Daily bars in NinjaTrader are built from day data received from your data provider.

17:15 US CT would actually be 15 minutes into the next day's session. A daily session runs from 1700 US CT the prior day until 1600 US CT the next day. So Thursday April 17th's daily session would have begun on Wednesday afternoon at 5PM US CT and ended on Thursday at 4PM US CT. Here is a link with more information about sessions from the CMEGroup:

• https://www.cmegroup.com/trading/equ...fications.html

The other thing to consider is that daily data typically would receive what is called a 'settlement price' while minute data would not.