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Compare Daily and 1440 min chart
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Created: by decs0057 Attachments:5

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Compare Daily and 1440 min chart

  #1 (permalink)
Elite Member
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Compare Daily and 1440 min chart

Why are daily chart and 1440 minute (= 1 day) bar chart different ?
For ES, I use default session template "CME US Index Futures ETH"
Does daily chart depend on timezone ?
I am on GMT+1 timezone
Is free EOD data from Kinetick for ES correct ?

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Compare Daily and 1440 min chart-daily_1440min_chart.png  
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  #2 (permalink)
Market Wizard
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1440m bar was used because Ninja didn't built current daily bar. But they do now so you don't have to use 1440m bar any more.

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  #3 (permalink)
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Daily charts and 1440 min charts are nearly always different.


Daily charts:

The daily chart can be built in different ways. For example

-> DTN/IQ & Kinetick show the ETH open, ETH high, ETH low and settlement price (these are the values published by CME on the website)
-> CQG/Rithmic use the RTH open, RTH high, RTH low and last traded price of the RTH session
-> Continuum / Interactive Brokers supply ETH open, ETH high, ETH low and last traded price of the ETH session

where RTH refers to the regular trading hours and ETH to the extended (electronic) trading hours. Data can be single contract data or perpetual data depending on the data feed. Daily charts do not depend on the session template, but are displayed as data is supplied from the data provider.


Intraday charts:

Intraday charts are built from intraday data (minute data or tick data) by using the session template. Usually an intraday chart minute charts do not depend on the data provider, but only on the session tempalte. Intraday tick charts can slightly deviate, as some of the data providers supply filtered or condensed tick data. A 1440 min ETH chart will always be built from

- the ETH open
- the ETH high
- the ETH low
- the last traded price of the ETH session


Back to your example:

Your daily chart shows

-> regular open (8:30 AM CT) = 2044.00
-> reguar high = 2058.75
-> regular low = 2043.00
-> regular close (3:15 PM CT) = 2055.25

This means that your data supplier could be CQG or Rithmic.

Your 1440 min chart shows

-> full session open (6:00 PM CT) = 2025.00
-> full session high = 2058.75
-> full session low = 2020.75
-> full session close (4:15 PM CT) = 2056.00

This is as expected with any data supplier.

Everything is good and there are no bugs. But you need to understand the features of your data feed.

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  #4 (permalink)
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my data supplier is CQG

For strategy using daily data it is very important to know how daily bars are calcualted.
Using 1440 min bars and selected session template makes daily strategy independent from data vendor, correct ?

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  #5 (permalink)
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decs0057 View Post
my data supplier is CQG

For strategy using daily data it is very important to know how daily bars are calcualted.
Using 1440 min bars and selected session template makes daily strategy independent from data vendor, correct ?

Yes, it should.

In the end the question is what strategy you use with which instruments. For example, if you look at a gap close for US index futures, it might be better to use the settlement price (official closing price calculated as average of all trades between 3:14:30 and 3:15:00 PM CT) and not the last traded price at 4:15 PM.

CME does not even publish that last traded price, the price which is published is the settlement price. You cannot retrieve the settlement price from 1440 min data.

If your strategy is based on moving average or other momentum indicators, then it may not be important to catch the settlement price, but live with the last traded price, which will be shown on your 1440 min chart. Also for FOREX instruments, there is no settlement price and 1440 min bars should be fine.

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  #6 (permalink)
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Fat Tails View Post
Daily charts and 1440 min charts are nearly always different.


Daily charts:

The daily chart can be built in different ways. For example

-> DTN/IQ & Kinetick show the ETH open, ETH high, ETH low and settlement price (these are the values published by CME on the website)
-> CQG/Rithmic use the RTH open, RTH high, RTH low and last traded price of the RTH session
-> Continuum / Interactive Brokers supply ETH open, ETH high, ETH low and last traded price of the ETH session

where RTH refers to the regular trading hours and ETH to the extended (electronic) trading hours. Data can be single contract data or perpetual data depending on the data feed. Daily charts do not depend on the session template, but are displayed as data is supplied from the data provider.


update for NinjaTrader 8

daily bars are built differently with nt 8. when your data provider is cqg/continuum or rithmic, then daily bars are using eth data.

that means:

- NinjaTrader 7 = rth data

- NinjaTrader 8 = eth data

here's an example for daily and 1440 minute charts, using NinjaTrader 8 and CQG:

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and here's the market data from CME:

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the only difference between daily and 1440 Min is the "last".

- daily = settlement price
- 1440 min = last traded price of eth session


maybe @Fat Tails can add a few things I forgot


Last edited by Silvester17; March 5th, 2017 at 09:32 AM.
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  #7 (permalink)
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this is interesting

like mentioned in my prior post, when using daily bars you'll get the settlement price as "close" (data feed cqg). taking the same day for an example like above:

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so far so good.


but now we use the exact same chart, but in tick replay mode:

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and now we get the last traded price of eth session as "close"


would like to ask @NinjaTrader if this behavior is expected...


Last edited by Silvester17; March 6th, 2017 at 11:52 AM.
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  #8 (permalink)
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Silvester17 View Post
this is interesting

like mentioned in my prior post, when using daily bars you'll get the settlement price as "close" (data feed cqg). taking the same day for an example like above:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


so far so good.


but now we use the exact same chart, but in tick replay mode:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


and now we get the last traded price of eth session as "close"


would like to ask @NinjaTrader if this behavior is expected...

Yes this is expected since you are building the Daily Bar from tick data, much like a 1440 bar. Daily bars retrieved from our servers use the close price until we receive a settlement price at which time the close is amended.

Disclosure: This communication is sent to you by NinjaTrader, LLC, a software development company which owns and supports all proprietary technology relating to and including the NinjaTrader trading platform.
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  #9 (permalink)
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NinjaTrader View Post
Yes this is expected since you are building the Daily Bar from tick data, much like a 1440 bar. Daily bars retrieved from our servers use the close price until we receive a settlement price at which time the close is amended.

Does this mean the daily bars must be re-downloaded to get the settlement price?

If so, is there any way to check (programatically) whether a chart has the updated bars?

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  #10 (permalink)
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futuretrader View Post
Does this mean the daily bars must be re-downloaded to get the settlement price?

If so, is there any way to check (programatically) whether a chart has the updated bars?

Any daily bar that is historical bars will be retrieved from our servers which are marked to settlement prices. Market Replay is re-creating the current bar from recorded real-time data thus its not historical. You could base some programming logic on that.

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