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New CME Equity Index Hours as of November 18th 2012
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New CME Equity Index Hours as of November 18th 2012

  #21 (permalink)
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Silvester17 View Post
looks like you're looking at current conditions, sorry


trendisyourfriend View Post
Well, it's not clear. I'll check again at the end of the day with a 24/7 session template. Could anyone share a picture of their new session template to address these changes?

This thread is about the changes as of November 18th. That is still a month away. The changes haven't started yet.

Mike

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  #22 (permalink)
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So I was creating the new sessions in MC and I got confused regarding the overnight session.

24h session it's simple, start at 5pm and end at 4:15pm CT.
RTH session also quite simple, it stays the same, start at 8:30am and ends at 3:15pm CT.

Now the confusing part, the overnight starts at 5pm and ends at 8:30am, but this should be the first half of the overnight since after the day settlement at 3:15pm, between 3:30pm and 4:15pm we'll have the last 45 min of the day, which would be the second half of the overnight session, right? Cash is close, we are trading after hours, still inside the same trading day, hence, overnight.
What should we do with it? We cannot put it inside the RTH period since the cash closed at 3:15pm and doing so we would have a incorrect close for that session. If we put it inside the overnight session, which would be the correct way to look at it, we would have a huge gap between the end at 8:30am and the "reopen", after the cash close, at 3:30pm, since we would strip out the RTH session.

So if a person only wants to look at the overnight session (profile it) we can only look between 5pm and 8:30am, we cannot add those last 45 minutes of the day. When only looking at the overnight, those 45 min of the day will always be disregarded.

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  #23 (permalink)
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arnie View Post
Now the confusing part, the overnight starts at 5pm and ends at 8:30am, but this should be the first half of the overnight since after the day settlement at 3:15pm, between 3:30pm and 4:15pm we'll have the last 45 min of the day, which would be the second half of the overnight session, right? Cash is close, we are trading after hours, still inside the same trading day, hence, overnight.
What should we do with it? We cannot put it inside the RTH period since the cash closed at 3:15pm and doing so we would have a incorrect close for that session. If we put it inside the overnight session, which would be the correct way to look at it, we would have a huge gap between the end at 8:30am and the "reopen", after the cash close, at 3:30pm, since we would strip out the RTH session.

I have been thinking about this, and it is something I do not miss about crude (and other markets which have a settle before the close). Times below are in CT, even though I'm in ET.

Here is what I am going to do @arnie. I am not going to change anything about the structure of how I view RTH versus full Globex. For the purposes of bookkeeping and day vs. GTC orders and the like, it's important. But really, why should it change from our perspective? So, my RTH is still 8:30am to 3:15pm CT, and my only other session begins at 3:30pm and ends again at 8:30am, just like it is now. The daily chart may vary a bit, but other than that I don't see why a profile chart, or any other intraday chart really has to change. All we are doing is removing 15 minutes of trading activity from the day (4:15 to 4:30), and then shifting the marker which starts the day from 3:30 to 5:00. For me, it's like this--the day closes when the market settles. If it's after the settle, then it's the next day. I cannot see a big disadvantage to doing it this way.

The only issue I thought about is the 3:30 to 4:15 period on Friday afternoon. That is a bit of a bugger I guess. Still, it only will look weird if looking at ONLY the non-RTH session, or if looking at a market profile and you consider post-settlement on Friday to be part of Monday's trading day. If you are looking at RTH only, or both together, then it should appear as normal.

Also, I watched a Jim Dalton webinar today, and he was asked how he handled 'overnight inventory' for products like crude and gold that settle before the close, and what he said was basically what I'm saying above. That does not make it any more right or wrong (as there is no right or wrong with these kinds of things), but it does shed some light on how others handle these kinds of things. At least with ES there will be an actual halt at the settlement, unlike crude for example, which just keeps trading seamlessly after the settle.

-Josh


Last edited by josh; November 16th, 2012 at 04:46 PM.
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  #24 (permalink)
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josh View Post
I have been thinking about this, and it is something I do not miss about crude (and other markets which have a settle before the close). Times below are in CT, even though I'm in ET.

Here is what I am going to do @arnie. I am not going to change anything about the structure of how I view RTH versus full Globex. For the purposes of bookkeeping and day vs. GTC orders and the like, it's important. But really, why should it change from our perspective? So, my RTH is still 8:30am to 3:15pm CT. Then, my only other session begins at 3:30pm and ends again at 8:30am. The daily chart may vary a bit, but other than that I don't see why a profile chart, or any other intraday chart really has to change. All we are doing is removing 15 minutes of trading activity from the day (4:15 to 4:30), and then shifting the marker which starts the day from 3:30 to 5:00. For me, it's like this--the day closes when the market settles. If it's after the settle, then it's the next day. I cannot see a big disadvantage to doing it this way.

Also, I watched a Jim Dalton webinar today, and he was asked how he handled 'overnight inventory' for products like crude and gold that settle before the close, and what he said was basically what I'm saying above. That does not make it any more right or wrong (as there is no right or wrong with these kinds of things), but it does shed some light on how others handle these kinds of things. At least with ES there will be an actual halt at the settlement, unlike crude for example, which just keeps trading seamlessly after the settle.

-Josh


Interesting.
So looking at Friday session, what you are saying is that between 3:30 and 4:15 we will be trading Monday's overnight session that start Sunday 5pm, correct?

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  #25 (permalink)
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Using the ZN, you would read this:

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Into this:

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We merge the trading period between 2pm and 4 pm with the new trading day which begins at 5pm, maintaining the RTH untouchable.

The problem I'm seeing here is the fact that MC won't allow me to create a session starting Friday at 2pm and end Monday at 7:20am. To tell you the truth neither IRT is able to create such a session.
The only way is what I did above, completely ignore Friday's trading after 2pm, in the case on ZN, and start the week on Sunday at 5pm.

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  #26 (permalink)
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It is only for equity index products.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #27 (permalink)
in a meditative state...
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Big Mike View Post
It is only for equity index products.

Mike

Treasuries already have 3 sessions per day, like crude.
I used ZN as an example to show what it's going to happen to ES.

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  #28 (permalink)
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it's pretty obvious what needs to be done. but just in case here's some visual aid:

NinjaTrader Advisory 12

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  #29 (permalink)
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Hi josh, i think your rational makes sense to me. here is how i intend to slice the day. Two sessions ETH/RTH like this (all time listed are central time)

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josh View Post
I have been thinking about this, and it is something I do not miss about crude (and other markets which have a settle before the close). Times below are in CT, even though I'm in ET.

Here is what I am going to do @arnie. I am not going to change anything about the structure of how I view RTH versus full Globex. For the purposes of bookkeeping and day vs. GTC orders and the like, it's important. But really, why should it change from our perspective? So, my RTH is still 8:30am to 3:15pm CT, and my only other session begins at 3:30pm and ends again at 8:30am, just like it is now. The daily chart may vary a bit, but other than that I don't see why a profile chart, or any other intraday chart really has to change. All we are doing is removing 15 minutes of trading activity from the day (4:15 to 4:30), and then shifting the marker which starts the day from 3:30 to 5:00. For me, it's like this--the day closes when the market settles. If it's after the settle, then it's the next day. I cannot see a big disadvantage to doing it this way.

The only issue I thought about is the 3:30 to 4:15 period on Friday afternoon. That is a bit of a bugger I guess. Still, it only will look weird if looking at ONLY the non-RTH session, or if looking at a market profile and you consider post-settlement on Friday to be part of Monday's trading day. If you are looking at RTH only, or both together, then it should appear as normal.

Also, I watched a Jim Dalton webinar today, and he was asked how he handled 'overnight inventory' for products like crude and gold that settle before the close, and what he said was basically what I'm saying above. That does not make it any more right or wrong (as there is no right or wrong with these kinds of things), but it does shed some light on how others handle these kinds of things. At least with ES there will be an actual halt at the settlement, unlike crude for example, which just keeps trading seamlessly after the settle.

-Josh


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  #30 (permalink)
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trendisyourfriend View Post
Hi josh, i think your rational makes sense to me. here is how i intend to slice the day. Two sessions ETH/RTH like this (all time listed are central time)

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depending what kind of information you need, with that kind of session template you'll get wrong data.

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