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CME removal of 16:15-30 trading halt/effect on OHL


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CME removal of 16:15-30 trading halt/effect on OHL

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 brucerobinson 
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Hello,
Those to whom it matters/interests will have seen the recent Announcement.
I wondered if people had anything to contribute......

For the purposes of determining range highs and lows I have a long time used 16:15 as EOD and 16:30 as the beginning of the new Trading Day/Overnight Session, from which to determine the Overnight range High/Low up to the Open.

Since the above change I've now encountered 'issues', some of which I can see the how but not the why

Thurs/Fri this week on ES is a good illustrator.....

CME's website shows OHLC data starting the Trading Day at 18:00 (i.e. taking their values and reversing them into the chart to see where they occur).
I read somewhere that whilst the pit session trading halt is no longer necessary hence doing away with, maintenance is now between 17:00-18:00ET with no trading, which is consistent with CME's ETH open value. And with broker's trading hours for US Equities Indices
But, having looked under the hood, there is volume throughout 17:00-18:00 in the historical data.
On this occasion (Thurs/Fri) using the 'old' trading halt as the end of one ETH trading day and beginning of the next, compared with ignoring 1hr data gives quite different O and H values (Overnight Range High per 18:00/CME start time was 4400.00, whereas previous 16:15 EOD would have been 4407.25.

Oftentimes it won't be so, depending what price does thereafter, and CME's values will be/become definitive presumably at least in due course, if not immediately, a transition.

Any insight/views/opinions appreciated.

Best,

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 matthew28 
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brucerobinson View Post
For the purposes of determining range highs and lows I have a long time used 16:15 as EOD and 16:30 as the beginning of the new Trading Day/Overnight Session, from which to determine the Overnight range High/Low up to the Open.

CME's values will be/become definitive presumably at least in due course, if not immediately, a transition.

Any insight/views/opinions appreciated.

16:30 has never been the beginning of the session. It has just been half an hour after the trading break when the market has actually been open prior to the EOD close at 17:00. Most days nothing happens but if it does, there will be a small gap open to the next ETH session open.

You're trading a CME product using their data like everybody else trading that product. Their Settlement page like you say uses the range between the start of day at 18:00 through to the end of day at 17:00, the CME charts show the same, so do charting packages used by traders.
If you choose to use different session times with a session opening time of 16:30 and EOD at 16:15 you will have a different session High or Low sometimes.

You can use whatever time you like but it should make logical sense. Such as for instance setting charts up showing just the equity indexes RTH session of 09:00-16:00 to only capture the session when the stock market is fully open. Or a currency trader deciding to plot their 6E trading session charts showing price action between the European open around 02:00 and US close at 17:00 and ignoring the often lightly traded Asian session and considering that the "overnight session".
Starting your session at 16:30, one-and-a-half hours before the official session start, doesn't make much sense to me. I would use CME ETH data, 18:00-17:00, for daily chart highs or lows as those are the officially recorded values. Just my opinion and preference at the end of the day though.

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 brucerobinson 
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Hello Mattew28 and thanks for your time and thoughts.

The trading halt (recently removed by CME, announcement I referred to) used to be 16:15-16:30ET. Rather than 16:30 having ‘never been the beginning of the session’ and ‘just been half an hour after the trading break’ it has in fact been the end of the trading halt. Although occurrence is infrequent, if a high or low is put in after 16:30 (and before 18:00) and is subsequently revisited, the probability is high that there will be price reaction i.e. price will behave as if it were a high/low put in during the overnight session, which indicates others have most certainly been using these levels when they occur. The ‘logical sense’ for this has been from the legacy that the trading halt was to account for open outcry trades, and all trading after the halt (hence 16:30) was trading in the ‘new’ day.
My question was around/thoughts on what to expect now they no longer halt…
It may be that ETH high/lows are the ‘self fulfilling prophecy’, along with RTH. However I’m circumspect that 17:00-18:00 highs/lows will be ignored, rather that many won’t be aware of them.
I use RTH, London FX, Eurex, CL, NG, GC, SI etc ‘pit’ day sessions thanks.
Best,


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 josh 
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brucerobinson View Post
Hello Mattew28 and thanks for your time and thoughts.

The trading halt (recently removed by CME, announcement I referred to) used to be 16:15-16:30ET. Rather than 16:30 having ‘never been the beginning of the session’ and ‘just been half an hour after the trading break’ it has in fact been the end of the trading halt. Although occurrence is infrequent, if a high or low is put in after 16:30 (and before 18:00) and is subsequently revisited, the probability is high that there will be price reaction i.e. price will behave as if it were a high/low put in during the overnight session, which indicates others have most certainly been using these levels when they occur. The ‘logical sense’ for this has been from the legacy that the trading halt was to account for open outcry trades, and all trading after the halt (hence 16:30) was trading in the ‘new’ day.
My question was around/thoughts on what to expect now they no longer halt…
It may be that ETH high/lows are the ‘self fulfilling prophecy’, along with RTH. However I’m circumspect that 17:00-18:00 highs/lows will be ignored, rather that many won’t be aware of them.
I use RTH, London FX, Eurex, CL, NG, GC, SI etc ‘pit’ day sessions thanks.
Best,

Have you actually tested a hypothesis such as this: "the probability is high that there will be price reaction"? What is the probability, under what conditions, etc.?

Personally, I'm thrilled that it's removed, and better yet, the cash close now coincides with the futures settlement, so no more "SPX up 5, ES up 15" nonsense to deal with.

There is a clean break -- at 5pm ET (4pm CT), the trading day is over. If you have a full session bar, it will now span 23 full hours, every day. If RTH, it will span 6.5 hours, just as with cash hours, 9:30 to 16:00 ET. Highs and lows are taken within those periods.

Whether you consider 16:30 to 17:00 as part of the "next day" or not is largely semantics, IMO. Any testing you're doing, as long as you keep the definition consistent, will likely show the same results. What does it matter whether you call it "earlier in the overnight session" or "later in yesterday's session"?

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 brucerobinson 
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Hello Josh and thanks.
Tested - yes, but more importantly (to me) continue to observe (albeit infrequently for the obvious stated reasons, doesn’t occur frequently) - and constantly changing markets (& relative value of backtesting - most interested in what is ‘now’). Also use for other purposes, e.g. trendlines.

Full session ETH bars, per se, however defined, are of little interest to me as I day trade.

Any (back)testing with respect to whether it is earlier in the overnight session or later in yesterday’s session doesn’t matter, I should give context in that I daytrade price action hence it does.

Due to the infrequency of occurrence, it’s ‘dancing on a pinhead’, and risk management is my friend regarding impact. I just sought others’ thoughts which I appreciate. I’ve lost a ‘reference point’ with the abolition of the trading halt. Whether I’ll use 17:00 or 18:00 remains to be seen, but I doubt I’ll ignore 17:00-18:00 price until convinced it has relatively little value. But for the reasons articulated by Matthew28 (CME product, ‘their’ OHLC values), this may (already be) be self-fulfilling prophecy.
I appreciate your input.
Best,

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 tr8er 
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brucerobinson View Post
Hello Mattew28 and thanks for your time and thoughts.

However I’m circumspect that 17:00-18:00 highs/lows will be ignored, rather that many won’t be aware of them.
I use RTH, London FX, Eurex, CL, NG, GC, SI etc ‘pit’ day sessions thanks.
Best,


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Between 5 pm and 6 pm ET market is closed and the new (trading) day starts at 6 pm ET. So which highs/lows will your ignore? There is nothing to ingnore, because the market is closed and of course there is no change/data available (during this hour).

You said you are using RTH, this is ok and the "old" pit hours still work, but this doesn't mean that the new day starts after the former pit-close. The day for US-futures (at last for most of 'em) starts at 6pm ET and ends at 5pm ET, but if you trade i.e. CL and want to use RTH you have to use the old pit-session: 9 am ET - 2:30 pm ET

As you know, the pit-session for ES was 9:30 am ET - 4:15 pm ET, but since the 15min halt was removed, I would use 9:30 am ET - 4:00 pm ET, because the CME now calculates the settlement-price 15min earlier (last minute till cash-close)

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 matthew28 
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brucerobinson View Post
Hello Mattew28 and thanks for your time and thoughts.

The trading halt (recently removed by CME, announcement I referred to) used to be 16:15-16:30ET. Rather than 16:30 having ‘never been the beginning of the session’ and ‘just been half an hour after the trading break’ it has in fact been the end of the trading halt.

You're right, my post's second sentence didn't make sense. I must have chopped and changed or edited the reply while writing and before posting and didn't read it through properly again. Sorry about that.

Personally I use an RTH Market Profile (9:30-4:00 ET) for the NQ but also have a standard full ETH Day session chart as sometimes for instance new ATHs for are made overnight, or there might be a ledge of two or three highs or lows on the Daily chart that don't show on the MP chart.
I do have the current session high and low marked on my MP chart which at the beginning of the session will show the overnight high or low. That will be from the CME open at 18:00 and doesn't include the period after the RTH close because those "current session" type indicators don't. In the same way the current day's volume profile on the DOM doesn't begin plotting until 6pm.
Using CME defined session times for the data works for me because it is generally the indicator default on a full data session chart and therefore simple. But you clearly have logical reasons why you think the period after the RTH close and prior to the official CME day is relevant so if that works for you I would carry on doing what you're doing
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