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NDX Future
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NDX Future

  #1 (permalink)
Trading Apprentice
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NDX Future

Hi everyone,
I am comparing between several data providers daily bars from NASDAQ 100, but Im getting a little confused.
In CME website, I can see NASDAQ 100 looks like it is a Future, with differents maturities (next one is jun-11).
I have applied for data to IB-TWS and it is neccesary to specify a maturity date too.

But, in Yahoo Financial, EODdata and NT (Kinetic & IB as providers), NDX appears like an INDEX (not FUTURE) and you cannot chose between different maturity dates. And there are not any other possibilities about any NASDAQ product (not E-mini).

So, when I compare between all of them, Yahoo, Kinetick (both providers, IB&Kinetick) and EODdata match in every daily bar. But the contract Ive requested to IB-TWS, specifying maturity date doesnt match in any Open, High, Low or Close price of the bars with the others providers.

My question is, Are they different products (one is the Index, one is the Future about the Index)?
If they are, Why I cannot choose between them in any Data Provider?
Why using the same data provider (IB) but calling it from NT and from TWS, using the same Ticker (NDX) the bars dont match?

I hope you can help me.
Ty in advance
D.

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  #2 (permalink)
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tapid View Post
Hi everyone,
I am comparing between several data providers daily bars from NASDAQ 100, but Im getting a little confused.
In CME website, I can see NASDAQ 100 looks like it is a Future, with differents maturities (next one is jun-11).
I have applied for data to IB-TWS and it is neccesary to specify a maturity date too.

But, in Yahoo Financial, EODdata and NT (Kinetic & IB as providers), NDX appears like an INDEX (not FUTURE) and you cannot chose between different maturity dates. And there are not any other possibilities about any NASDAQ product (not E-mini).

So, when I compare between all of them, Yahoo, Kinetick (both providers, IB&Kinetick) and EODdata match in every daily bar. But the contract Ive requested to IB-TWS, specifying maturity date doesnt match in any Open, High, Low or Close price of the bars with the others providers.

My question is, Are they different products (one is the Index, one is the Future about the Index)?
If they are, Why I cannot choose between them in any Data Provider?
Why using the same data provider (IB) but calling it from NT and from TWS, using the same Ticker (NDX) the bars dont match?

I hope you can help me.
Ty in advance
D.


Index Data

The NDX 100 is an index as the S&P 500 or the DJIA. The futures are derivatives of this index. Both Kinetick and Interactive Brokers supply data for both the index and the future contracts. Yahoo only has index data, as far as I know.

The NinjaTrader symbol NDX refers to the index. So you will get index data from both Interactive Brokers and Kinetick.

Yesterday's index data Kinetick: O 2340.69, H 2366.40, L 2337.48, C 2362.95
Yesterday's index data Interactive Brokers: O 2344.73, H 2366.28, L 2337.44, C 2362.47

So you will notice that the values are match quite well, with the exception of the open.

If you want to know the exact value of the NDX100, you will have to check who actually owns the index and go to the website of the owner. I think that the owner is NASDAQ. Here is the quote page

NASDAQ-100 (IXNDX) Historical Stock Prices & Data ? NASDAQ.com

and you will find that the Kinetick EOD data is identical with the official data from Nasdaq, while the Interactive Brokers data slightly deviates.


Futures Data

The futures are traded at CME, so you will find the correct values at the CME website, not at the Nasdaq website. Kinetick data will show the settlement price, while Interactive Brokers typically shows the last price traded. So you will get different values for the close.

To understand the difference between a close and a settlement price, please have a look at the CME website, in particular at the contract specifications and rules, which are used to determine the settlement price.

The NinjaTrader symbol for the NASDAQ 100 future is NQ.

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  #3 (permalink)
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Thank You, Fat Tails. Very helpful.
I hope this problem will be fixed following your tips.

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  #4 (permalink)
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Hello again,

Do you know if I can extend this rule up to other CME products? Such as Nikkei, S&P, DJIA, or maybe some Energy Commodities (NY heating Oil, Sweet Crude Oil...)

Much appreciated,
D.

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  #5 (permalink)
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tapid View Post
Hello again,

Do you know if I can extend this rule up to other CME products? Such as Nikkei, S&P, DJIA, or maybe some Energy Commodities (NY heating Oil, Sweet Crude Oil...)

Much appreciated,
D.

Commodity futures are deliverable against the underlying commoditiy, index futures are typically cash settled and use the index value as a reference. So you will find index values for all index futures, but not for all commodity futures.

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  #6 (permalink)
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Fat Tails View Post
Commodity futures are deliverable against the underlying commoditiy, index futures are typically cash settled and use the index value as a reference. So you will find index values for all index futures, but not for all commodity futures.


Thanks Fat Tails.
Last question :

If NASDAQ Index Future and E-Mini Nasdaq future have both the same symbol (NQ) on NT, but they are in fact diferent products with diferent Trading Hours (I spoke with someone in CME and he told me that E-Mini opens at 17:00 but NASDAQ does at 15:30 from M-F and at 17:00 on Sundays; it can be checked out here):

E-mini NASDAQ-100

NASDAQ-100

What opening time does NT take for its daily bars?

Thanks again,
D.

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  #7 (permalink)
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tapid View Post
Thanks Fat Tails.
Last question :

If NASDAQ Index Future and E-Mini Nasdaq future have both the same symbol (NQ) on NT, but they are in fact diferent products with diferent Trading Hours (I spoke with someone in CME and he told me that E-Mini opens at 17:00 but NASDAQ does at 15:30 from M-F and at 17:00 on Sundays; it can be checked out here):

E-mini NASDAQ-100

NASDAQ-100

What opening time does NT take for its daily bars?

Thanks again,
D.

First the index and the future do not have the same symbol in NinjaTrader. The index uses ^NDX, the future NQ.

For the index you need to take the opening times of Nasdaq.

The NQ (future on Nasdaq) is traded at Globex as specified under the contract specifications, see CME Group - Futures & Options Trading for Risk Management. The trading times for the NQ are (all in Central Time for CME)

5:00 PM CT - 3:15 PM CT (Sunday/Monday - Thursday/Friday)
3:30 PM CT - 4:30 PM CT (Monday - Thursday)

NinjaTrader does not have any opening time for daily bars, because NinjaTrader is a software and not a datafeed.
The opening and close time of your daily data depends on your dataprovider. Some data providers have both ETH and RTH daily data.

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  #8 (permalink)
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Fat Tails View Post
First the index and the future do not have the same symbol in NinjaTrader. The index uses ^NDX, the future NQ.

For the index you need to take the opening times of Nasdaq.

The NQ (future on Nasdaq) is traded at Globex as specified under the contract specifications, see CME Group - Futures & Options Trading for Risk Management. The trading times for the NQ are (all in Central Time for CME)

5:00 PM CT - 3:15 PM CT (Sunday/Monday - Thursday/Friday)
3:30 PM CT - 4:30 PM CT (Monday - Thursday)

NinjaTrader does not have any opening time for daily bars, because NinjaTrader is a software and not a datafeed.
The opening and close time of your daily data depends on your dataprovider. Some data providers have both ETH and RTH daily data.

Well, there are two different products about Nasdaq in CME, as you could see in my last post.

-Nasdaq 100 index FUTURE
NASDAQ-100

-E-Mini 100 index FUTURE
E-mini NASDAQ-100


Both futures, no Index in fact.

You told me NQ is the symbol of the big one (NASDAQ 100 future):


Quoting 
The NinjaTrader symbol for the NASDAQ 100 future is NQ.

, but when you try to find this symbol on NT, it is refered to the E-Mini

Thats why Im asking about this issue.

If you see the links Ive provided, you will see two different trading hours, because they are both diferent products (you can trade with NASDAQ or E-Mini NASDAQ, cant you?)

And sorry about NT, when I say this Im refering to Kinetick or IB trought NT, not just NT. My bad

I hope its more clear now

Thank you,
D.

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  #9 (permalink)
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tapid View Post
Well, there are two different products about Nasdaq in CME, as you could see in my last post.

-Nasdaq 100 index FUTURE
NASDAQ-100

-E-Mini 100 index FUTURE
E-mini NASDAQ-100


Both futures, no Index in fact.

You told me NQ is the symbol of the big one (NASDAQ 100 future):



, but when you try to find this symbol on NT, it is refered to the E-Mini

Thats why Im asking about this issue.

If you see the links Ive provided, you will see two different trading hours, because they are both diferent products (you can trade with NASDAQ or E-Mini NASDAQ, cant you?)

And sorry about NT, when I say this Im refering to Kinetick or IB trought NT, not just NT. My bad

I hope its more clear now

Thank you,
D.

OK, there are three products:

-> the big Nasdaq future is traded on the floor, it is not traded electronically
-> NQ is the Nasdaq 100 E-mini, which is the future based on the Nasdaq 100 that can be traded electronically
-> NDX is the index

I never talked about the big future, as we are not floor traders here, and as you cannot get real-time data intraday for it. Also the big Nasdaq future has become entirely meaningless. Yesterday the volume was 444 contracts for the big future compared to 247,592 contracts traded for the Nasdaq E-Mini.

So your question is only of theoretical interest.

The only Nasdaq 100 future that you can trade is the NQ (E-mini), whether it is small or big does not matter. The Nasdaq index, which is calculated from the component stocks is the NDX. It is possible to get real-time data for both of them, see chart below.

Attached Thumbnails
NDX Future-ndx-15-min-_-nq-06-11-15-min-24_05_2011.jpg  
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