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Adjusting futures data for liquid hours


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Adjusting futures data for liquid hours

  #1 (permalink)
kottgolf
Montreal
 
Posts: 8 since Feb 2012
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24h futures really screws up technical indicators.
What do traders do to adjust for this?
I was testing with stock market hours on some futures and got some good results, but I got bad results on products like the Yen or Aussie dollar since our market hours aren't necessarily the most traded hours for the yen.
Do they adjust yen by their heavy trading period?

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  #3 (permalink)
 
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 Big Mike 
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Don't use indicators

But seriously, just plot RTH hours if you want to skip the overnight ETH session... ?

Mike

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  #4 (permalink)
kottgolf
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When you say RHT for futures, you mean Open Outcry hours?
eg. Gold Futures :08:20-13:30 ET ?
But this is not very realistic of trading volume.

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  #5 (permalink)
 
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kottgolf View Post
When you say RHT for futures, you mean Open Outcry hours?
eg. Gold Futures :08:20-13:30 ET ?
But this is not very realistic of trading volume.

Yes, RTH aka "the day session" or "the cash session". I don't trade Gold so would have to check CME's site for exact hours.

When you say it is not realistic of trading volume, you'll have to explain why.

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  #6 (permalink)
kottgolf
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Realistic in trading volume since most of the volume for gold or most futures is not done through open out cry aka the floor anymore.

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  #7 (permalink)
 
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kottgolf View Post
Realistic in trading volume since most of the volume for gold or most futures is not done through open out cry aka the floor anymore.

I am talking about time sessions, not data feeds. RTH "cash" as in the time of day, not as in what data feed to select (electronic vs pit)

Mike

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  #8 (permalink)
kottgolf
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Yes I understand but electronic is 24h while open outcry times are limited.
Basically I do not want to use electronic because 24h has too many slow periods, so I am looking to figure out which periods of time to use. Should I base myself on open outcry (which seems too short) or electronic (which 24h is too long)..I am sure many traders much adjust for this.

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  #9 (permalink)
 
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 Big Mike 
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kottgolf View Post
Yes I understand but electronic is 24h while open outcry times are limited.
Basically I do not want to use electronic because 24h has too many slow periods, so I am looking to figure out which periods of time to use. Should I base myself on open outcry (which seems too short) or electronic (which 24h is too long)..I am sure many traders much adjust for this.

I would say 99% of traders do not use a custom session.

Use ETH or RTH.

If you believe RTH is wrong, I would be interested in seeing a chart with volume on it marking the RTH hours, and why you think RTH is not capturing the bulk of the volume. I don't trade gold, but it would seem odd that Gold is somehow a special market compared to all other futures.

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  #10 (permalink)
 
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 mikky182 
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@kottgolf

try this and then just trade the high range/volume areas.. im pretty sure there is an indie to highlight specified hours somewhere in download section..


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