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1. Looking at CL 02-17 for the past year and can see a lot of gapping. Is this common in futures markets?
2. There is this big daily event in the US where a bell goes ding and the markets are open. Are these traders in America only allowed to trade certain hours, but the exchanges still stay open for the rest of the world to trade overnight?
News gaps aside, most about your impression results from incorrectly not choosing the respective front months for your check.
E.g.: Looking at CL 02-17 from a perspective when it wasn't the front month is relatively pointless (unless you are a producer
or an intermediary) since the front month has the volume - and continuous pricing with it.
You could be looking at the effects of contango ( Contango Definition | Investopedia) or backwardation ( Backwardation Definition | Investopedia). However, these will only be present whenever a contract rolls into a new contract. Continuous contracts will remove the effect of both, but it will mean that past prices are adjusted to current levels. In extreme cases that can mean that past prices are shown as negative.
I suspect however that you are referring to the gaps on the daily open. You probably are only looking at the RTH (regular trading hours) data. The more popular futures contracts can also be traded during ETH (extended trading hours). If you ignore the ETH data, then your graph will look like it has gaps. With Interactive Brokers I needed to enable ETH data in order to remove the gaps from my graphs.
Thanks to both choke35 and grausch for this. I guess the question is, how do we get NT to show a continuous contract view that takes into account of ETH as well, so that the daily bars look like this?
Even by following Fat Tail's instructions a continuous contract daily view on NT still looks like this
I understand that the reasons behind it are because NT 7 daily bars look just at RTH. Thread here
On a NT7 time-based chart such as daily, I want to see the total volume traded for a given day.
If I select a day by middle-clicking it, I get the volume for the RTH session. Example for CL yesterday: volume showed is 199,705 which was total RTH/Pit …
But even if I look at a bar of 1440 mins I get the gaps. What gives?
I am busy looking at backtesting certain strategies in NinjaTrader and I could not find any reference to how historical prices are handled within Ninja.
I am using DTN IQ data, and based on the historical data manager, it looks like the data …
If a continuous contract still shows so many gaps (holidays and weekends aside),
this looks more like a problem with your Session Templates. Before creating the ##-##
try to make sure that the individual contracts are based on the ETH.
P.S.: In order to avoid any DST issues, I'm using local time settings for each asset in the meantime,
e.g. CST for the ES, CET for the FGBL, or ET when I'm watching the CL.
On a NT7 time-based chart such as daily, I want to see the total volume traded for a given day.
If I select a day by middle-clicking it, I get the volume for the RTH session. Example for CL yesterday: volume showed is 199,705 which was total RTH/Pit …
In there I asked this very question. Official answer from NinjaTrader is that simply when looking for a daily bar chart ETH are not used, instead they use RTH.