Doubts about exporting historical data

[J2512]

Hi All

I am developing a strategy and I have found several mismatching about data. After investigating I have found that when I export only 1 day from historical data (minute), as example I have choosen 21-06-2021, the data contain time stamps from 20210620 220100 to 20210621 210000, including data during maintenance time of ES CME Market. You can find export attached, As market is open from 6pm to 5pm (ET or UTC-5) and in my time zone (UTC+1) that is 00:00 to 23:00 but the export no follow this schedule.



According to CME web from 5pm to 6pm in ET no market is available due to maintenance then, Why the historical data show activity?

https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.html

And the anohter question is, Why if I have choseen only one day (21/06/2021) data start from 10pm of 20/06/2021 and end at 9pm of 21/06/2021?





My time zone is UTC+1 and I have never changed this. Could you help me to understand this?


Regards.

[NinjaTrader_ChrisL]

Hello, thanks for writing in. When you request recorded data it will give you the data for the entire time range without. It keeps recording even during holiday and session break times. The Session Template is what will control the data display in the platform in terms of holidays and session breaks, begin and end times. You can find all the session templates under Tools>Trading Hours. All charts/data series will have a session template setting and thus all strategies will follow the selected template.

For the second question, I am not getting the same results. I downloaded ES 03-23 March 6th and the data starts at March 6th 12:01AM and ends at March 7th 12AM. Can you test this same day? Please make sure you are connected to your data provider while doing this.

Kind regards,

-ChrisL

[J2512]

Hi

I have tried but this is the message I get.




any idea about this?

Regards.

[backtester831]

Hi

I have tried but this is the message I get.




any idea about this?

Regards.

Are you really looking for ES 03-23 contract data for 6/3/22? Or do you mean to change the instrument to ES 03-22?

[J2512]

Hi

I reset ninjatrader and now I have got ES 03-23 06/03/2023 starting from 23:00 to 22:00. For mi that data is wrong due to ES instrument use as trading hours CME US index ETH as you can see below




and that trading template use UTC-6 starting from 17:00 to 16:00 end time, and this time span under my time zone (UTC+1) should be 7 hours in advance, I mean the data should start from 00:00 and ending at 23:00 but the result is starting at 23:00 previous day and ending at 22:00. Do you know what is the reason for this behaviour? And how can i solve it?





My time zone, UTC+1



Also I have exported again 21-06-2021 and data continue strating from 22:00 and ending at 21:00, the gap is 2 hours. Attached you can find both files. At least no export data from maintenance time span, but in each file the maintenance window is in diferents times.



Regards.

[J2512]

Hi

In summary, the data is not exported according to my time zone, even data from 2021 use diferent time zone that 2023 data.


Any help wil be welcommed!!!

Regards.

[NinjaTrader_ChrisL]

Hi, I must apologize but my first post was not correct, I edited the response. The help guide page on Exporting says the data is always exported in the UTC time zone, it will not be in the time zone you have selected under Tools>Options:

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

I am getting an expected break time at 22UTC (4PM CST) in my exported data:

[J2512]

Hi Chris

thank you for your response, but this only answer what is happening with file 03-23 but no about 09-21, Let me remind you this point.


Also I have exported again 21-06-2021 and data continue strating from 22:00 and ending at 21:00, this span time no match with UTC time, Could help with this?

In case it helps, my platform version is 8.0.25.0 64-bit.



Regards.

[J2512]

Hi Again

Just know I thought that maybe the reason of this behaviour is ninja platform is exporting that data to UTC from summer time UTC-5 and now is exporting from UTC-6. This would explain this behaviour. Could you confirm to me this?



Regards

[NinjaTrader_ChrisL]

Hi, I just tested the same date and I appear to be getting the same issue. The data for June 21st 2021 starts at 20210620 230100 and ends at 20210621 230000.

I will need to take some time to determine what the issue is here. Thanks in advance.

[NinjaTrader_ChrisL]

You are correct about the daylight savings time, I did not think about this but the data would be offset by 1 hour due to this.

[J2512]

Hi Chris

Could you share your file exported taht you comment at #10. And please scalate this issue to tour workmates to confirm clearly that

Regards,

[NinjaTrader_ChrisL]

Hi, I checked these results over with colleagues and it is an expected shift in time. UTC does not have daylight savings time applied to it, so when we export data it will shift the price action based on if DST is on or off. E.g. In the mountain time zone (MST), something that happens at 00:00 during DST (before Nov 6th, 2022) would be happening at 06:00 UTC. Something that happens at 00:00 not during DSI (after Nov 6th, 2022) would be happening at 7:00 UTC.