Tick data issue - ES 09-21 vs ES 12-20 on Oct 19 2020

[lmfao]

Dear support,

I am seeing some inconsistent data on ES Futures between two contracts (ES 12-20 and ES 09-21) on Oct 19, 20, 21 of 2020

First date in question is Oct 19, 2020 at 6am. There appeared to be two opening prices 3443 (from ES 09-21) and 3470 (ES 09-21) ...

Please see screens attached for ref. I'm using Rithmic for NinjaTrader 8


The divergence is throwing my backtest in a tailspin (screen shot 3). It appears the price action is not matching with the vertical scale.

Could you let me know how to rectify this? If removing/refreshing cache is the way to go please instruct how I can do this safely.


Thanks

[NinjaTrader_Marco]

Hello,

Thanks for your post.

Two contract expirations would have two sperate values, with the further expiring contract typically being more valuable as it expires at a later time, and is usual for futures contracts.

Having said that, if you go to the Control Center> Tools> Options> Market Data> change the "Global Merge Policy" to Do Not Merge, you will see the specified contract values only with no previous contract merging applied.

You can also change instrument specific merge policies from the Control Center> Tools> Instruments> Search the instrument> edit> change the merge policy to "Do Not Merge" and then reload the historical data on your charts. This will show only the active contract data and no back adjusting will take place on this instrument.

More information can be found below in our Help Guide article regarding this topic:

https://ninjatrader.com/support/help...marketdata.htm



Please let me know if I may be of any further assistance.

[Tremblinghandtrader]

NinjaTrader_Marco you have missed the point of the problem please see the last picture and note that the trades are executed on the wrong prices. Please address the problem. Of that last picture

[Tremblinghandtrader]

To add some further details the last picture is is from a backtest done over a year period on the ES

The primary data series are 5 min bars.
But using a secondary time series for OrderFillResolution

OrderFillResolution = OrderFillResolution.High;
OrderFillResolutionType = BarsPeriodType.Second;
OrderFillResolutionValue = 1;

As you can see in the last picture posted by the OP the time series are not synced.

Why would that be?

[NinjaTrader_PaulH]

Hello lmfao,

Thanks for your post.

Please run the strategy Sample MA Crossover and advise if you see the same following the same steps you used.

[lmfao]

Hi Paul - I ran the Sample MA crossover strategy and attached is what I see. first screen is Sample MA crossover.

Also, I reran my custom strategy and saw something different this time. still abnormal (see red circles), wondering if you could help clarify.

Hello lmfao,

Thanks for your post.

Please run the strategy Sample MA Crossover and advise if you see the same following the same steps you used.

[NinjaTrader_PaulH]

Hello lmfao,

Thanks for your reply.

Please run the same MA Crossover on the same dates/times data and set the high order fill resolution as you did for your strategy.

Please create a chart of 5-minute data and 1-second data over the period in question (Oct 19, 20, 21 of 2020) and move the 1-second data on top of the 5-minute data, do you see the 1-second data exceeding the 5-minute bars?

[lmfao]

Hi Paul,

I am not sure how to complete the second half of your ask. but by changing the high order resolution to 1 sec as I did in my strategy the data sync seems to appear again.

see attached.

Hello lmfao,

Thanks for your reply.

Please run the same MA Crossover on the same dates/times data and set the high order fill resolution as you did for your strategy.

Please create a chart of 5-minute data and 1-second data over the period in question (Oct 19, 20, 21 of 2020) and move the 1-second data on top of the 5-minute data, do you see the 1-second data exceeding the 5-minute bars?

[NinjaTrader_PaulH]

Hello lmfao,

Thanks for your reply.

Please check the 1-second data in the 5-minute chart using 365 days to load in each data series
Here is an example (only using 5 days): https://Paul-ninjaTrader.tinytake.co...NF8xNzMxNTc0NQ

Check the dates in question, if the 1-second data is not within the 5-minute bar range then you will need to remove the 1 tick data (1-second bars are made up of 1 tick bars) from your historical data and then redownload the 1 tick data. Please note that there are data limitations so you may not be able to get all of the 1-second data needed, typically 1 year available to download.

To remove the data:

1) Shut down NinjaTrader8
2) Using windows files, navigate to Documents>NinjaTrader8>db>Tick> Delete each ES folder.
3) Next go to Diocuments>NinjaTrader8>db>Cache> and delete the entire contents of the cache folder
4) Restart Ninjatrader and connect to your data feed
5) Recreate the 5 minute, 1 second chart, this should pull in the historical data needed again.
6) retest your strategy in the strategy analyzer.

[lmfao]

Paul - my current 1 sec data is already within 5 minute bar range on Oct 19 2020.　Do I still need to remove cache?

Curious, is the data source for backtest the same as the chart data I loaded? I wonder how it is possible that the sec data is out of range for one and not the other.

Also should I change my global merge policy to "do not merge"? it is currently still set to "merge back adjusted"

[NinjaTrader_PaulH]

Hello lmfao,

Thanks for your reply.

Yes, the data is the same for both charts and strategy analyzer.

Do not change the merge policy as you would then only be able to backtest within the contract period.

Yes, I would remove/delete the cached data in Documents> NinjaTrader8>db>Cache>

At your convenience, please shut down NinjaTrader8. Using windows, navigate to Documents>Ninjatrader8>db>Tick and move the ES folders to your desktop.
Next Download NinjaTrader install NinjaTrader. If the same version then it will ask if you want to repair, select that option, otherwise update to the latest version.
Start Ninjatrader and re-run the tests (will take longer as it will need to redownload all the tick data again).

Please advise your results.