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Hi there. Hope I am in the correct thread. I am new to this forum and I'm new to using Ninja Trader as well.
I am curious as I have found out some daily chart gaps when pulling out CL 06-14 charts. See attached [NT_IQ_CL_06-14.png]. Now, I am using IQ Feed by the way and the free license of Ninja Trader.
You can build daily charts from futures in different ways. It depends on the data input and the way you merge futures contracts with different expiry.
Data input
CME/NYMEX publishes full session data, which means
-> the open is taken at 6:00 PM EST
-> the high is the high over the full electronic session from 6:00 PM to 5:15 PM EST
-> the low is the low over the full electronic sesison from 6:00 PM to 5:15 PM EST
-> the close is the settlement price taken as the volume weighted average of all trades between 2:28 and 2:30 PM EST
This is what you see on the CME chart.
The NinjaTrader chart is populated with regular session data, that is
-> the open is the regular open at 9:00 AM EST
-> the high is the regular high between 9:00 AM and 2:30 PM EST
-> the low is the regular low between 9:00 AM and 2:30 PM EST
-> the close is the settlement price (see above)
Therefore the NinjaTrader chart makes appear the gaps resulting from the price action during the evening and the night session.
DTN/IQ also provides for full session data, you just need to select the correct symbol under instrument settings.
Contracts used
For the last days the charts should approximately match, but if you move back further in time it is important which method has been used to merge contracts. The current contract CL 06-14 has only been liquid for a few weeks, therefore the data shown on the chart for early April and earlier is probably taken from other contracts. If you wish that the data matches, both chart should use the exact same settings for merging contracts, that is
-> single month contract (not merged, will show holes in data when going back further)
-> merged non-adjusted contract (you need to select the rollover dates)
-> merged back-ajdusted contracts (you need to select the rollover dates and appropriate offsets)
-> perpetual continuous future contract (you need to enquire about the method used by the data provider)
I personally use mergebackadjusted contracts and roll on volume crossover. Those contracts can be built with NinjaTrader from single month contracts. The first three options above can be selected via the NinjaTrader Control Center -> Options -> Data -> Merge policy. The last option depends on the way the data provider builds continuous data. You can access that data by select CL ##-## instead of CL 06-14.
You'll find that market providers can often massage the way prices are published on their webpages/published, due to the specific smoothing algorithms they use to combine contracts, or average out prices to cover price discontinuities to make the data presentable. You'd be surprised that at an institutional level the data I receive from Bloomberg and Reuters on a daily basis is often different than we see out of our unfiltered live feeds.
As an end of day consumer this is often why prices take some time to be published.
Note: this is a wider comment base don my experiences using market data for many asset classes and not solely futures.
Why don't you show us a some daily charts from Reuters and Bloomberg. I would like to know how they are different from daily data which is supplied by DTN/IQ or eSignal.
I'm talking from a more published end of day perspective rather than R/T, that the prices wont always reflect what you see on your charts when the market closes.
I think comparing BBG/Reuters/DTN etc, you'll tend to see very similar charts intra-day on the whole, as with any provider you'll see some differences. Apologies if that wasn't clear :-)
In an intra-day format clearly the points you mention contract merging etc, and the session specified will alter the end format of the data as illustrated.
Thanks Fat Tails. I actually emailed Ninja Trader support. What the support guy suggested was for me to Right-click on the chart and click Reload All Historical Data. Then BOOM! It was fixed. Nevertheless, what you posted has also given me new information. Thank you for that.
