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Daily Chart on Ninja and TradeStation


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Daily Chart on Ninja and TradeStation

  #1 (permalink)
 eone 
Toronto, ON
 
Experience: Beginner
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How do I get my daily charts to show the same OHLC on NinjaTrader and TradeStation? I am not too familiar with TradeStation just got it recently but I am noticing that the daily bars have different reading on both platforms. I think I did get some settings incorrectly. Grateful if I can get some help.

Thank you.

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  #3 (permalink)
 
rpm123's Avatar
 rpm123 
Green Bay WI
 
Experience: Intermediate
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eone View Post
How do I get my daily charts to show the same OHLC on NinjaTrader and TradeStation? I am not too familiar with TradeStation just got it recently but I am noticing that the daily bars have different reading on both platforms. I think I did get some settings incorrectly. Grateful if I can get some help.

Thank you.

I believe to get an accurate daily bar in Ninja you have to use 1440 minute bars (60 minutes x 24 hours). They should match your Tradestation daily bars.

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  #4 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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rpm123 View Post
I believe to get an accurate daily bar in Ninja you have to use 1440 minute bars (60 minutes x 24 hours). They should match your Tradestation daily bars.

@ rpm123: This is certainly not true.

The question is what daily data you want to see. Daily data depends on

-> the definition of the trading day
-> the definition of the session (regular trading hours or electronic trading hours)
-> the decision to show either the close (last traded price) or the settlement price (VWAP of the settlement period)

If you have a quality data feed, it is likely that this data feed shows the same data as is published by the exchange.

Let us have a look at ES for CME:



The current front month is ES 03-12 and the CME website shows: Open 1250.25 / High 1254.50 / Low 1220.00 / Settlement 1229.25

These are basically the values that I want to see on a daily chart. If I use NinjaTrader daily charts and connect to Kinetick EOD, this is exactly what I get.

However, if I use a 1440 min chart, the result depends on the session template which I selected. Let us assume that I selected a template that reflects the trading day of ES as per contract specifications. In this case the 1440 min chart will display the correct high and low, but not the settlement price. It would show the market close, which comes at 1229.75.

I do not use tradestation, but the user manual should tell you how to retrieve ETH or RTH data and display it.

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 Big Mike 
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rpm123 View Post
I believe to get an accurate daily bar in Ninja you have to use 1440 minute bars (60 minutes x 24 hours). They should match your Tradestation daily bars.

This was only true with NT 6.5 when using Zen Fire, because ZF does not support daily bars.

As of NT7, it was solved.

Mike

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  #6 (permalink)
 eone 
Toronto, ON
 
Experience: Beginner
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Fat Tails View Post
@ rpm123: This is certainly not true.

The question is what daily data you want to see. Daily data depends on

-> the definition of the trading day
-> the definition of the session (regular trading hours or electronic trading hours)
-> the decision to show either the close (last traded price) or the settlement price (VWAP of the settlement period)

If you have a quality data feed, it is likely that this data feed shows the same data as is published by the exchange.

Let us have a look at ES for CME:



The current front month is ES 03-12 and the CME website shows: Open 1250.25 / High 1254.50 / Low 1220.00 / Settlement 1229.25

These are basically the values that I want to see on a daily chart. If I use NinjaTrader daily charts and connect to Kinetick EOD, this is exactly what I get.

However, if I use a 1440 min chart, the result depends on the session template which I selected. Let us assume that I selected a template that reflects the trading day of ES as per contract specifications. In this case the 1440 min chart will display the correct high and low, but not the settlement price. It would show the market close, which comes at 1229.75.

I do not use tradestation, but the user manual should tell you how to retrieve ETH or RTH data and display it.

Thank you Fat Tail.
The price on Trade Station and the Exchange are exactly the same. For instance, TF03-12 show as 731.10 (O), 739.70 (H), 710.20 (L) and 714.50 (C), which is same as Exchange. However, NinjaTrader shows as 730.20 (O), 730.70 (H), 719.80 (L) and 729.70 (C). I am using CGQ feed and using a regular daily chart.
What do I need to do to get this correct on NinjaTrader?

Thank you,
eOne

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  #7 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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eone View Post
Thank you Fat Tail.
The price on Trade Station and the Exchange are exactly the same. For instance, TF03-12 show as 731.10 (O), 739.70 (H), 710.20 (L) and 714.50 (C), which is same as Exchange. However, NinjaTrader shows as 730.20 (O), 730.70 (H), 719.80 (L) and 729.70 (C). I am using CGQ feed and using a regular daily chart.
What do I need to do to get this correct on NinjaTrader?

Thank you,
eOne

@ eone:

NinjaTrader is not a data feed, but a software package. The daily data displayed by NinjaTrader depends on the data feed, to which you connect NinjaTrader.

NinjaTrader comes with free Kinetick EOD data feed. I always first-connect to Kinetick and then second-connect to my broker feed. That way I get correct daily data.

On the chart below you will note that the daily chart for TF 03-12 shows the exact values from the exchange as supplied by Kinetick (which is identical to DTN/IQ feed).

I do not know to which datafeed you connected NinjaTrader, but it is obvious that your datafeed does not have quality historical EOD data.

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  #8 (permalink)
 eone 
Toronto, ON
 
Experience: Beginner
Platform: NinjaTrader
Posts: 108 since Sep 2009
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Fat Tails View Post
@ eone:

NinjaTrader is not a data feed, but a software package. The daily data displayed by NinjaTrader depends on the data feed, to which you connect NinjaTrader.

NinjaTrader comes with free Kinetick EOD data feed. I always first-connect to Kinetick and then second-connect to my broker feed. That way I get correct daily data.

On the chart below you will note that the daily chart for TF 03-12 shows the exact values from the exchange as supplied by Kinetick (which is identical to DTN/IQ feed).

I do not know to which datafeed you connected NinjaTrader, but it is obvious that your datafeed does not have quality historical EOD data.


Thanks for your reply again FatTail. I understand. I am using CQG datafeed that is provided by AMP. I was obviously not clear in my question that is - is there a session template configuration that would impact the OHLC price display? I called CQG and they confirmed that the end of day price was the same as the Exchange. My view then was that the historicals are handled differently on NinjaTrader (my guess) so I was curious to find out what is it that I need to do to get this right. Any help is appreciated.

Thanks again,

eOne

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  #9 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
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eone View Post
Thanks for your reply again FatTail. I understand. I am using CQG datafeed that is provided by AMP. I was obviously not clear in my question that is - is there a session template configuration that would impact the OHLC price display? I called CQG and they confirmed that the end of day price was the same as the Exchange. My view then was that the historicals are handled differently on NinjaTrader (my guess) so I was curious to find out what is it that I need to do to get this right. Any help is appreciated.

Thanks again,

eOne

The session template has no impact on daily data. Daily data is displayed as downloaded by NinjaTrader from AMP/CQG servers. What type of data is downloaded may depend on the instrument settings as set in the instrument manager of NinjaTrader.

I have personally no experience with AMP/CQG and cannot help you with the settings.

Why don't you simply connect to Kinetick and download the free EOD data, which is correct?

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  #10 (permalink)
 eone 
Toronto, ON
 
Experience: Beginner
Platform: NinjaTrader
Posts: 108 since Sep 2009
Thanks Given: 32
Thanks Received: 28



Fat Tails View Post
The session template has no impact on daily data. Daily data is displayed as downloaded by NinjaTrader from AMP/CQG servers. What type of data is downloaded may depend on the instrument settings as set in the instrument manager of NinjaTrader.

I have personally no experience with AMP/CQG and cannot help you with the settings.

Why don't you simply connect to Kinetick and download the free EOD data, which is correct?

Hi FatTail,

I tried the EOD from Kinetick. The last daily bar was dated 14 Dec but the data was for Dec 13. Also, the previous days data was not a match to the Exhange data.

Thank you,

eOne

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Last Updated on December 14, 2011


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