Misunderstanding. The EOD price is the last trade of the session however, at some time later in the day, the exchange will send out the final settlement price at which time the Kinetick feed will update its daily close to reflect the settlement price.
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I use the Kinetick prices every day for calculating my floor pivots. I appreciate very much that all the prices are settlement prices. I have frequently checked them against exchange data for CME, NYMEX, IPE and EUREX futures, and usually there are no problems. For further information on settlement prices for CME please have a look here
For index futures there is an exception for the last trading day of a month, when the settlement price is not taken directly from the index futures between 3:14:30 and 3:15:00 PM Central Time. Instead there is a fair value procedure and the settlement price for index futures is calculated from the cash index (the underlying) at 3:00 PM Central Time by adding finance charges and expected dividends until expiry.
So don't be astonished, if for ES, YM, NQ and EMD, there is a larger difference between closing and settlement price as usual. I am writing this, because today is April 1, and you will notice this for yesterday's settlement prices.
Kinetick still has problems handling this month end data. Today there was no daily data available for YM. The reason is quite funny. The cash index dropped during the last hour and made a low at the monthly close. The futures only partly followed this move and went up again after 3:00 PM. The result:
Yesterday's settlement price - established on the fair value procedure which means calculated from the cash index - is lower than yesterday's low.
Now this kills the logic of NinjaTrader. A close cannot be lower than the low of the day, or could it be? So there is no data.
In this case the only thing to do: Edit the data base and decide, whether you want to replace the settlement price with the low, or the low with the settlement price. Now enter the values manually as shown below. I opted to use the lower settlement price.
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I need to point out an issue regarding fast markets: I switch my feed to IB when markets get heavy (big news events, mini-crashes, etc..), mainly because I believe it is more reliable than 3rd party brokers in such times (and I always enter a trade directly through my TWS in those conditions as well). The only caveat is that you must also switch to time based charts ( seconds, minutes etc..).
Furthermore, a common misconception is that the IB feed will not work as well on time based charts. If you are using tick charts, yes, IB is not the way to go as it does not provide true tick data. But if you trade anywhere from 1 mn to 10 mn, it is perfectly okay since the data is consolidated every few milliseconds. Not noticeable on a 1 minute chart, and not noticeable even with cumulative delta on a 1minute bar if looking for divergences.
Some of this is empirical, so I would like to see someone else give us a video of an IB DOM reads vs an NT DOM with DTN/Kinetick during a heavy volume news event.
Last edited by crosscreek; August 14th, 2011 at 04:04 PM.
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it alldepends where you are.
I am sitting in europe and i had always problems with DTN feed, could be also MY ISP but esignal worked better for me.
I am using IB also as datafeed and i am using only Constant Volume bars. since IB trasmitts the Volume i have quite accurate charts. But the important point: IB has realy no problem when it comes to heavy market moves, feed is running ok. (because of aggregation )
If you use constant volume charts based on IB volume, good luck. IB real-time volume is false all the time, as it is only a bad approximation of real volume. If you replace real-time volume with historical volume, you will notice a huge difference.
It is true that the IB feed is aggregated (condensed ticks). Under heavy market conditions this is an advantage, as NinjaTrader is less likely to freeze on badly coded indicators.
I have personally tested Kinetick feed over several months, and the quality was excellent. As you notice, I am also located in Europe.
Volume from IB is not 100% accurate, but on 2M Volume you will miss maby about 20k f it is a bad day. i tested SIDE by SIDE IB-esignal-Zen-CQG as data with a 5k Constant Volume chart on ES, and they are pretty much the same. but you are right, IB is not perfect :-)