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.