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 ?
Daily charts and 1440 min charts are nearly always different.
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 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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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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