data inconsistency in ES 1 Minute - Open is not the Close of previous

[Shai Samuel]

Hi,

This is a plain chart with ES 1 minute bars, starting at 9/15/23. As you can see my markups, but many more examples where the bar opens not at the close of the previous bar.

Any idea?

[NinjaTrader_RyanS]

Hello,

This can occur as the next tick of a minute bar may occur 1 (or more rarely >1) ticks from the close of the previous bar. This will be intermittent and dependent on market conditions at the time. NinjaTrader builds minute bars based on the time stamp of your local PC and the live bid/ask data received from your data provider.

[Shai Samuel]

Thank you Ryan. If you take a close look at the chart you will notice, it's not a bar here and there, but it is 30-50% of the bars that show gaps. This is disturbing.
By the way, my computer is very high end server, located very close to the market in Chicago, and has a very high speed connection, so it's not a poor connection based delay...

[NinjaTrader_RyanS]

Hello,

As mentioned this would be expected and it is possible that half the bars would open 1 tick away from the close of the prior bar. Charts plot on the last traded price information by default, and it is not uncommon for executed prices to oscillate 1 tick higher/lower every second or sooner.