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CME Currencies Futures Ticks Out of Electronic Trading Hours
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CME Currencies Futures Ticks Out of Electronic Trading Hours

  #1 (permalink)
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CME Currencies Futures Ticks Out of Electronic Trading Hours

Hi there,
I have a new doubt and maybe someone here could help me.

The question is simple, but I dont know if the answer is as well.
I have been studing ticks of Currencies Futures in CME from its Historical. These Products Are:
Australian Dollar
British Pound
Canadian Dollar
E-Mini Euro FX
Euro FX
Japanese Yen
E-Mini Japanese Yen
Mexican Peso
Swiss Franc


All of them must be trading between 17h and 16 h of next day, according to CME Electronic Trading Hours, except on saturdays, when its closed.

Well, the fact is, between march 2007 and feb 2009, there are several ticks appearing out the theorical ETH. That means I have found ticks which have been created in saturdays and/or out the ETH.

Was there any reason for these products in this 2 years period to allow them having an special ETH? What is the reason of the arrival of these ticks?

It occurs something similar with these products:

NY Heating Oil #2
NY Natural Gas
E-Mini Natural Gas
NY Light Sweet Crude Oil
E-Mini Light Sweet Crude Oil
Unleaded Gasoline (RBOB)


Any ideas?
Why did it occur?

Thank you so much.
D.

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  #2 (permalink)
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Rather than asking a general question, you should post one recent example.

The instrument you named do not trade outside their electronic trading hours, so your problem is likely caused

- by false data
- by not knowing the daylight saving time rules

In particular there are certainly no ticks on Saturday. The only exchanges that are open during the week-end can be found in Arab countries, as they close on Friday, instead.

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  #3 (permalink)
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Well, I think it cant be because of the daylight saving time rules, just because the problem is not all Historical longer. As I said, it starts on 2007 and stops on 2009.

Here are several examples, which are common in every currency future on the list:

2007-03-25 Sunday:
-11 Ticks from 16:26 to 16:59 on AUD (Australian Dollar)
-26 Ticks from 15:11 to 16:57 on GBP (British Pound)
-32 Ticks from 15:01 to 16:59 on EUR (Euro FX)


2008-08-31 Sunday
-31 Ticks from 14:47 to 16:59 on NG (NY Natural Gas)
-28 Ticks from 14:41 to 16:58 on RB (Unleaded Gasoline RBOB)


Market should be closed until 17:00 pm on Sunday, but as you can see there are ticks out of ETH

Thank you for your help!
D.

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  #4 (permalink)
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tapid View Post
Well, I think it cant be because of the daylight saving time rules, just because the problem is not all Historical longer. As I said, it starts on 2007 and stops on 2009.

Here are several examples, which are common in every currency future on the list:

2007-03-25 Sunday:
-11 Ticks from 16:26 to 16:59 on AUD (Australian Dollar)
-26 Ticks from 15:11 to 16:57 on GBP (British Pound)
-32 Ticks from 15:01 to 16:59 on EUR (Euro FX)


2008-08-31 Sunday
-31 Ticks from 14:47 to 16:59 on NG (NY Natural Gas)
-28 Ticks from 14:41 to 16:58 on RB (Unleaded Gasoline RBOB)


Market should be closed until 17:00 pm on Sunday, but as you can see there are ticks out of ETH

Thank you for your help!
D.

You really need to give more information.

Who is your data supplier? What times are you referring to? What software do you use? Could you post a chart or a screenshot from the Historical Data Manager? Which contract of the instrument do you refer to?

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  #5 (permalink)
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The data suppliers Ive used are TickData and Kinetick (on NT). Also note that Tickdata check the ticks from several data suppliers. So its quite clear that false data its impossible.

software? time? Man, Im just checking with Matlab ticks which are out of the ETH, thats all! I run over all Historical Data, and find those ticks from those Products...

The question is simple. Is there any reason for ticks that appear out of the ETH?

Ty.
Regards,
D.

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  #6 (permalink)
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I downloaded some futures data from TickData, and could not find any ticks that had off-session time stamps.

I think your ticks are either

- false ticks
- ticks that were generated following trade cancellation or modification

But really, I do not know.

You would have to look at quantities and prices as well, whether the off-session ticks match the prior session.

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  #7 (permalink)
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Well, thanks anyway Fat Tails.
Ive written to CME about this, I hope they will answer this questions.
Ill post here their email, for sure.
Regards,
D.

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