ES/NQ Daily OHLC 12/12-12/14 not matching official values 03-23 Contract Rollover

[justinb-NQ]

Hi There,

I am running NT8 Version 8.0.27.1 64-Bit with Lifetime License
I've restarted NT and my PC, re-loaded historical data, started fresh charts and new workspaces, and none of this impacted the issue below.


In the past I've had issues with historical price levels not matching when a new contract begins, and the solution I found for my situation was to change Control Center / Tools / Options / Market Data/ Global Merge Policy to "Merge Non-Back Adjusted". Using this setting, historical price levels have stayed the same after switching to a new contract.

However when comparing my Daily chart to another trader's using Trading View, mine did not match. So I started investigating and found that no setting change (I'm aware of) gives me the correct Daily Open/High/Low/Close candles for 12/12 and 12/13 on ES and 12/12, 12/13 and 12/14 for NQ.

Using "Merge Non Back Adjusted" setting, every date before 12/12 matches the exact official OHLC prices found at:
ES - https://www.nasdaq.com/market-activi.../es/historical
NQ - https://www.nasdaq.com/market-activi...Aus/historical

For ES, 12/12 and 12/13 OHLC on the daily candlestick chart do not match, but everything before and starting on 12/14 going forward, everything matches perfectly.
For NQ, 12/12, 12/13 and 12/14 OHLC do not match, but everything before these dates and after also match perfectly.

Using merge back adjusted and do not merge options give me the exact same values for these dates that don't match historical records, but also don't match (I believe by design) other dates before 12/12.

Is it possible just these dates right at and just after the contract rollover on 12/12 are just incorrect for some reason?
Or is there another setting I'm missing?


Below are the values I get from each of the 3 settings in NT8 compared to the values in the links above. Again, using Merge Non-Back Adjusted setting, every date before 12/12 matches these records perfectly in NT8, and every date after matches exactly as well. Only 2 days for ES and 3 days for NQ do not.


Here are the discrepancies - I get the same values using Do Not Merge (DNM), Non-Adjusted and Adjusted for these dates...

NQ OHLC
12/12
NT8 11671.5 / 11834.5 / 11635.75 / 11829.75
Official. 11553.0 / 11716.0 / 11522.75 / 11711.75

12/13
NT8. 11816.75 / 12339.0 / 11797.25 / 11958.75
Official. 11691.25 / 12229.5 / 11680.5 / 11839.75

12/14
NT8. 11955.0 / 12069.5 / 11729.0 / 11869.0
Official. 11839.0 / 11948.5 / 11613.75 / 11750.75


ES OHLC
12/12
NT8. 3965.75 / 4026.0 / 3956.0 / 4025.0
Official. 3933.0 / 3992.75 / 3924.5 / 3991.75

12/13
NT8. 4022.25 / 4180.0 / 4017.5 / 4055.25
Official. 3989.25 / 4145.0 / 3985.0 / 4022.25




Thanks so much,


Justin

[NinjaTrader_Jason]

Hello Justin,

Can you please tell me to what broker/data feed you connect in the NinjaTrader platform.

Could it be Trading View only shows a different Close price or do the Open, High, Low and Close all differ from the daily chart in NinjaTrader?

The NQ and ES both use a rollover date of December 12th in NinjaTrader. This means the 03-23 expiry month is loaded for December 12th and later. Could it be the links you refer use a different rollover date? If you check the prices for the 12-22 expiry month for the dates in question in NinjaTrader, do they show the same values as the links?

[justinb-NQ]

Thank you for the quick reply Jason,

I'm using Ninja Continuum live data.

Trading View was showing all 4 - OHLC - differently.

I checked the 12/22 contract and you're right, the OHLC for that contract matches the nasdaq.com numbers I was going off of.

I thought switching between non-adjusted and adjusted / do not merge for the market data merge policy setting in NT8 would change my chart data to show candles based on the old contract for the days when both contracts are trading simultaneously (12/22 and 3/23) - but I was getting the same values regardless of which of the 3 options I chose. Does that setting only change how data prior to the official rollover date (12/12 in this case) is handled? I thought one of these options (adjusted or do not merge) showed all prices for the 12/22 contract until it was no longer trading and then switched to the new one.

Sorry - I have a hard time understanding how to handle these small windows of time when there are 2 contracts for the same instrument trading at the same time and knowing which data to go off of once the switchover occurs...the old contract prices or the new - and I thought switching the merge policy setting allowed me to see what the market looked like either way.

Thanks again!

Justin

[NinjaTrader_Jason]

The 'Merge policy' setting uses the rollover date in NinjaTrader to determine on what date historical data from previous expiry months is merged.

The difference between 'merge non adjusted' and 'merge adjusted' is whether historical data from previous expiry months is adjusted by the offset value (the price difference at rollover to avoid a gap). You can find more information on the the merge policy settings at the link below.

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?merge_policy.htm