Daily Chart and Hour Chart difference

[CRM5096]

I have a question for the Ninja masters. I'm having trouble seeing the Thursday overnight high at 10628 on my Ninja charts. I got it to show up on the hourlies and other intraday charts by setting the session to 24/7. However when I switch to the daily chart even w/ session set to 24/7 it shows a lower high on the daily chart reflecting what the high would be w/ only the day session. Any ideas?

[NinjaTrader_Chip]

Hello CRM5096,

Thank you for your post.

What data provider are you connecting to?

Alternatively you could try plotting a 1440 minute chart which would simulate the daily bar & perhaps allow you to capture the overnight price action.

[CRM5096]

Zenfire is data provider , Thank you for your reply

[NinjaTrader_Chip]

Hello CRM5096

Zen-Fire does not provide historical Daily data (see following reference link). Please let me know if you are able to configure the 1440 minute chart to simulate the Daily session.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData

[CRM5096]

thank you for your response Chip, we are working are way around this issue but as far a Zen-Fire I think that's poor. If they can't construct a proper daily bar for the prior day, with intraday data that already exists then they shouldn't even try to put up a daily chart. Instead, when someone selects daily should say that you can't do it w/out historical data.

[bobcat70]

More on this. The 1440 Minute chart does show the high from last Thursday, but the daily chart does not. My understanding is that ZenFire does not provide historical data, so that means the data is coming from the NinjaTrader servers. Is this correct and if so, why is the daily high not correct?

[NinjaTrader_Kyle]

CRM5096,

Thanks for your feedback - I'll pass this on to my development team for further consideration.

bobcat70,

Are you using NinjaTrader 7? If so, keep in mind that daily data is recorded using the 'CME Index Futures RTH' session template - excluding all after hours trading from the daily bar.

[bobcat70]

Here is the daily chart of YM with a 24/7 session template: http://screencast.com/t/MjZkMGUy
Here is the daily chart of YM with the CME US Index Futures RTH: http://screencast.com/t/YjFhYmE2OW
Here is the screen shot of the Data Series for US Index Futures: http://screencast.com/t/NjFkMzg1Y
Here is the screen shot of the 1440min series chart with the Data Series set to CME US Index Futures: http://screencast.com/t/N2U3OTRhOTgt
Here is the screen shot of the 1440min series chart using the 24/7 session template: http://screencast.com/t/YmE3Y2VjYmI

Summary, the 24/7 template on the 1440min chart sees the 10628 high, but the daily chart does not.

Seems odd since the daily bar data should only need: High, Low, Open, Close. Again, unless I'm mistaken, that data comes from your servers. Yes, No?

Thanks

[NinjaTrader_Kyle]

bobcat70,

The data does come from our servers, yes.

What I'm trying to say is that the DAILY data is recorded with a template which would exclude data from 3:15 PM CDT - 8:30 AM CDT. Due to this, if a high or low occurred outside of the hours that this template uses, the high or low would not exist on the daily chart.

[bobcat70]

Now that just seems odd.
1) Why can't you get the high if I select 24/7
2) Why, on a futures instrument, would you exclude data from the overnight high UNLESS I don't want to see that - which in that case, I could select that session data.

Basically, I can't rely on the Daily bars for any futures index then correct? I develop indicators that look at daily bars for the day's high/low values and this one got completely missed.

Seems like you should have different values for each session used.

Because, if I try to build a year's worth of 1440Min data, its quite a drag on performance.

[NinjaTrader_Kyle]

bobcat70,

1.) You would be able to see the high, but it's simply not possible to select another session template when using daily bars.

2.) This is just the way that daily data is set to record on our servers currently. I will, however, forward your feedback on to my development team.

3.) You can rely on the daily bars, but you do need to understand that when using NinjaTrader historical data servers, daily bars are regular trading hours only.

[Captain Future]

I have also been bumping my head against this issue while using Zen.

In my case I am using a session template showing all the trading activity (RTH and overnight) in the ES for my intraday charts. I am calculating highs and lows of higher time frames by adding a PeriodType with a given length based on parameters in the indicator and accessing the data via BarsInProgress. Implementing the functionality this way required very little code.

This obviously works great for all time frames lower than daily and renders the approach useless for the longer time frames. So as far as I understand it seems that I have to handcode this logic.

Looking at daily and weekly bars which are not consistent with my lower time frame charts containing all the price action is a bit confusing.

Tradestation has solved this problem by providing two different symbols - @ES (full) and @ES.D (RTH).

Any additional thoughts?

[NinjaTrader_Kyle]

Hi Captain Future,

Thank you for your post and welcome to the NinjaTrader support forum!

I know of no plans to split the daily data in to two symbols, but I will forward the suggestion on to my development team for further consideration.

Thank you for your feedback!