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6E 6B etc MP / VP 24 hour start fromwhich time zone?
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6E 6B etc MP / VP 24 hour start fromwhich time zone?

  #1 (permalink)
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6E 6B etc MP / VP 24 hour start fromwhich time zone?

Question in the title basically. I am in the UK so at what hour should my Volume profile or Market profile start recalculating?

Should I use 00:00 GMT or 00:00 ET or US close 21:00 GMT ( 21:15 ? :S ) or US open ( 14:30 GMT )

Bare in mind this is for currency futures. I couldn't really find the information for this. Another thread said they use 23 hours which I don't understand and another said they have MP colour co-prdinated for sessions which I will try however I just want to get to grips with basic VP / MP on the correct start time / end time for a 24 hour calculation unless it is recommended to use RTH for currency futures which I guess it isn't as it is more suited to indices and other markets

cheers

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  #3 (permalink)
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seacat View Post
Question in the title basically. I am in the UK so at what hour should my Volume profile or Market profile start recalculating?

Should I use 00:00 GMT or 00:00 ET or US close 21:00 GMT ( 21:15 ? :S ) or US open ( 14:30 GMT )

Bare in mind this is for currency futures. I couldn't really find the information for this. Another thread said they use 23 hours which I don't understand and another said they have MP colour co-prdinated for sessions which I will try however I just want to get to grips with basic VP / MP on the correct start time / end time for a 24 hour calculation unless it is recommended to use RTH for currency futures which I guess it isn't as it is more suited to indices and other markets

cheers

Hi seacat

In general, the product you trade has a 'specification' page which usually tells you all you need to know about it, including the trading hours. This link should help

Euro FX Futures (EUR/USD) Contract Specs - CME Group

It is not important where you are trading from and where your midnight is local to you, it's when the official 'market close' for that particular product takes place that's relevant.

I too am in the UK and most of the US futures products I trade (including the EUR/USD) 'close' for the day at 4pm "Central time" which is 22:00 UK time. They open again an hour later, which probably accounts for that 23 hours a day you mentioned.

Bear in mind that the trading platform you use may also have a bearing as to when the volumes reset to zero, I believe some of them are configurable to that end.

I hope it helps.


Last edited by xplorer; January 5th, 2016 at 06:37 AM.
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  #4 (permalink)
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xplorer View Post

I too am in the UK and most of the US futures products I trade (including the EUR/USD) 'close' for the day at 4pm "Central time" which is 22:00 UK time. They open again an hour later, which probably accounts for that 23 hours a day you mentioned.

Bear in mind that the trading platform you use may also have a bearing as to when the volumes reset to zero, I believe some of them are configurable to that end.

I hope it helps.

Hi xplorer thanks for the reply,,,,

Ok I understand that. I look up crude, nasdaq and s&p eminis and they also say 5pm-4pm CT

Is there any school of thought behind starting MP or VP at 8.20 am 40 minutes before US open or 9.30am for crude or ES?


My conclusion is this: overnight is 11pm CT - 8.30 CT
RTH is 8.30 CT - 10pm CT ( more easily thought as 9.30 ET - 9PM ET )
and 23 hours is 5pm CT - 4pm CT next day

You use RTH mostly for indices and other similar markets like bonds and you use 23hour for futures currencies

Can anyone just clarify I got this right?



Do DAX, eurostoxx and FTSE follow US RTH?

thanks


Last edited by seacat; January 5th, 2016 at 07:17 AM.
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  #5 (permalink)
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If you want to use full trading hours, it's 23:00 - 22:00 London time for currency futures.

I am using only 07:00 - 21:00 for EU and 08:00 - 21:00 for GU which are their most active trading times and don't want the Assian session to affect VPOC & especially POC. For DAX main activity is 07:00 - 16:00, after this time and up to Xetra close at 21:00 it is driven by YM & ES with much less volume, Eurostoxx kinda follows DAX. For ES also 14:30 - 21:15 which is the most active part (Nyse open). FTSE is mostly active 08:00-16:00 London time.

CT times are 17:00-08:30 > overnight
08:30-15:15 RTH
15:15-15:30 indices break
15:30:16:00 final 30m of day - I include it in Sierra for indices pivot calculations (08:30-16:00).

Add 6 to the above for London times.

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  #6 (permalink)
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seacat View Post
Should I use 00:00 GMT or 00:00 ET or US close 21:00 GMT ( 21:15 ? :S ) or US open ( 14:30 GMT )

I'm in the UK, too. I look at 23.00 GMT as the "start", which is 17.00 in Chicago (apart from for a week or two, twice a year, when the clocks change out of synch in spring and autumn).

I'm sure the "23 hours" refers just to their hour's closure (effectively) before that: it's not talking about a "23-hour cycle", clearly.

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  #7 (permalink)
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I look at the 6E and leave out the Asian price movement. So my profile is 13 hours (1am - 2pm CT), from the European open to the US currency futures settlement. The settlement is 2pm CT, 2 hours before the Globex close at 4pm CT. This requires a bit of tweaking when the clocks change for a week or two as I have a European based open and a US based close but very little volume trades in Asia or after the settlement so I leave them out. That gives me an Initial Balance hour from the Europe stock market open to the UK stock market open and my profile closes at the settlement time.


Last edited by matthew28; January 6th, 2016 at 04:41 PM. Reason: used 'close' instead of 'settlement'
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  #8 (permalink)
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sakisf View Post

CT times are 17:00-08:30 > overnight
08:30-15:15 RTH
15:15-15:30 indices break
15:30:16:00 final 30m of day - I include it in Sierra for indices pivot calculations (08:30-16:00).

Add 6 to the above for London times.

Interesting what people have said. @matthew28 do you profile only to the US futures settlement and then stop trading?

@sakisf do you only profile for currency futures to 21:00 GMT or do you use that extra final 30 minutes up to 22:00 GMT to profile as-well , or that just for pivots on indices and other markets?

@Tymbeline you use 23 hours and profile the asian session, any reasons why you do this?

For indices then does everyone use for US indices chicago RTH and overnight CT and for EU indices generally fit the profile to the RTH of Eurostoxx and FTSE? ( roughly 8 am gmt - 16:00 gmt.)

Does extended hours then for Eurostoxx, Dax, ftse etc cover 16:00 gmt - 08:00 gmt or does it worklike the US 17:00 gmt to 08:00 gmt for the daily maintenance give or taske an hour start for EU GU difference. Taking into consideration Xetra close is 21:00 gmt do you profile RTH to that time aswell for DAX,Eurostoxx? etc

I am getting the jist of this now but for Sierra I am confused as to whether you should actually plot the full 24 hr chart and calculate the profile & pivots for the defined session or just plot the defined session, there doesnt seem to be a way to do that though.


Last edited by seacat; January 7th, 2016 at 05:55 AM.
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  #9 (permalink)
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I use NinjaTrader so can't help you with Sierra charts.
Yes I only profile to the currency futures settlement. I like to be able to easily see the settlement price as the last tick of the previous profiles. As Asian volume is light I am not bothered about the structure so much but like to see if there has been a 'gap' at the European open from the previous day's settlement.
I think with currencies, unlike the US equities, it tends to be more of a personal preference depending on which time zone you live in as the currency futures and forex market are all related and trade throughout the twenty four hour. As you can see from the fact that everybody has given a different answer. I have chosen my hours because almost all the Euro's volume (against the Dollar), happens during the European session, the few hours of the Europe and US overlap, and in to the settlement with rarely much movement after the day's settlement price is fixed. (But if I was say trading the EURJPY forex pair I would then include the Asian session because that pair would be more heavily traded in that session).


Last edited by matthew28; January 7th, 2016 at 06:52 AM.
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  #10 (permalink)
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seacat View Post

@sakisf do you only profile for currency futures to 21:00 GMT or do you use that extra final 30 minutes up to 22:00 GMT to profile as-well , or that just for pivots on indices and other markets?

For both currencies and futures I do up to 22:00 GMT as with Sierra I can't give it exact session times. i.e. in 6E I use start-end time 06:30-22:00 GMT (should be 07:00 start though) and evening session 23:00-06:29, 6B 08:00-22:00 GMT & evening 23:00-07:59, ES 14:30-22:00 GMT & evening 23:00-14:29.

If I use 08:00-20:00 in 6B which is the most traded period in GU, then I have to add evening session to include 20:00-22:00+23:00-07:59 GMT which is possible in Sierra but breaks up everything when it comes to pivots and TPO calculations.

My volume profiles are on the DOM and not on the chart, but I have to use the above session times anyway in order to get accurate pivots for the next day (use day session only under Pivots in Sierra).

The (6E) DOM looks like this:
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Left is whole session profile (23:00-22:00 GMT), right is RTH profile for each instrument.

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