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Historical Data - Default vs Kinetick
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Historical Data - Default vs Kinetick

  #1 (permalink)
Trading for Fun
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Historical Data - Default vs Kinetick

When I do a standard connection, the log indicates that I connect to my brokers primary connection and price feed, as well as the Ninja Trader Data Server.

I have then downloaded historical EOD data and found significant differences with the CME data. When I disconnect and then connect to Kinetick EOD, available free with NT, I get a different set of numbers. The Kinetick numbers match the CME numbers.

Below for CL 05-12

Default (?) O H L C
29-03-12 105.07 105.44 102.13 102.80
30-03-12 103.26 104.15 102.78 103.04
02-04-12 102.52 105.49 102.06 105.24
03-04-12 104.82 105.18 103.59 104.02

Kinetick EOD O H L C
29-03-12 105.58 105.70 102.13 102.78
30-03-12 103.29 104.15 102.78 103.02
02-04-12 103.27 105.49 102.06 105.23
03-04-12 105.04 105.18 103.59 104.01

Not sure why there should be these differences, but I am about to start working with these numbers and will rely on Kinetick EOD.

This does beg the question how reliable downloaded historical minute data would be. I see it is accurate if charted, eg set the chart period to an earlier month, but I'm guessing that comes from my brokers price feed and is separate from downloaded historical data.

If anyone has any insights, I would be pleased to know.

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  #3 (permalink)
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Settlement vs Close would be first guess.

Who is your broker?

Mike

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  #4 (permalink)
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Big Mike View Post
Settlement vs Close would be first guess.

Who is your broker?

Mike

Vision Financial Markets, so I have the Rithmic data feed.

CME Last price is not available for every day, but Apr 2 was 105.28 and Apr 3 was 104.55. Kinetick shows the settlement, Default does not seem to show either. Default also has significant differences in Open especially, and High.


Last edited by justrading; April 4th, 2012 at 03:06 PM. Reason: Added comment
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  #5 (permalink)
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justrading View Post
Vision Financial Markets, so I have the Rithmic data feed.

CME Last price is not available for every day, but Apr 2 was 105.28 and Apr 3 was 104.55. Kinetick shows the settlement, Default does not seem to show either. Default also has significant differences in Open especially, and High.

When you keep saying "Default", I believe you are referring to the NinjaTrader historical servers. Rithmic and Zen has no backfill directly, the backfill comes from NT.

Mike

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  #6 (permalink)
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Big Mike View Post
When you keep saying "Default", I believe you are referring to the NinjaTrader historical servers. Rithmic and Zen has no backfill directly, the backfill comes from NT.

Mike

Thanks for clarifying this Mike. I was not 100% sure and thus did not want to fault NT.

This is disappointing, paying for a platform that has dodgy historical data. If no one from NT comes along to clarify, I will sign up and post on the NT forum.

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justrading View Post
Thanks for clarifying this Mike. I was not 100% sure and thus did not want to fault NT.

This is disappointing, paying for a platform that has dodgy historical data. If no one from NT comes along to clarify, I will sign up and post on the NT forum.

Well, some users think it is the job of the platform to provide data. But really, I would recommend you go to a data provider for data, such as IQFeed (or if you exclusively use NT, then Kinetick since it is the same and cheaper).

If you are serious about data, then get serious about it. Don't use free data from your broker or platform.

Mike

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  #8 (permalink)
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I would add that with this problem, when there are differences in HLC values the pivots that are charted are also wrong.

None of the workarounds I found on the NT forum help, apart from manually entering the values which is a nuisance (if not impractical) when you need multiple instruments / timeframes.

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  #9 (permalink)
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justrading View Post
Thanks for clarifying this Mike. I was not 100% sure and thus did not want to fault NT.

This is disappointing, paying for a platform that has dodgy historical data. If no one from NT comes along to clarify, I will sign up and post on the NT forum.

First of all NinjaTrader is an independent platform, which works with a variety of brokers and data feeds. So if you have NinjaTrader, you may select both your broker and your data feed to match your needs.

NinjaTrader also comes with first class EOD data (Kinetick, which is identical to DTN/IQ). You can connect to Kinetick and download that EOD data into your historical data base.

There is no dodgy data, you just did not fully understand it.

Kinetick data is ETH data from the exchange. The data shows the open of the electronic session at 6:00 PM EST, the high and the low of the electronic session and the settlement price at 2:30 PM EST (for details on calculation of settlement prices please go to the CME Group website):

Your brokerfeed also shows correct daily data, but for the regular session. It shows the open of the regular session at 9:00 AM, then the high and low of the regular session and the last traded price at 2:30 PM EST.

Between the settlement price and the last traded price of the regular session there are minor differences, which are due to the definition of those prices. The high and low of the regular session is mostly identical with the high and low of the electronic session. Sometimes high or low are made during the European morning. In this case there will be a difference as was the case on March 29.

So nothing is wrong, you just have one datafeed with ETH and one datafeed with RTH data, one datafeed showing the settlement price, the other datafeed showing the last traded price. It is your choice.

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justrading View Post
Thanks for clarifying this Mike. I was not 100% sure and thus did not want to fault NT.

This is disappointing, paying for a platform that has dodgy historical data. If no one from NT comes along to clarify, I will sign up and post on the NT forum.

I replied to your question in full in our forum. The short answer is NinjaTrader servers build daily bars using RTH while Kinetick delivers you ETH.

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