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TF first minute OHLC on Sunday at 6:01pm
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TF first minute OHLC on Sunday at 6:01pm

  #1 (permalink)
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TF first minute OHLC on Sunday at 6:01pm

I had a problem this morning with NT7 and would like to check some numbers.

I have these values for Sunday night first minute of trading on the RUSSELL:

at 6:01PM EST or 18:01 EST Sunday 21, 2010

Open: 725.6
High: 749.0
Low: 725.6
Close: 729.9
Volume: 586

Could anyone confirm these numbers are correct.

Thanks

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  #2 (permalink)
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The official report from ICE/Nybot shows that the daily high for TF 12-10 was 732.50, as shown below.

My intraday data shows the same values as yours. No idea, whether the data was false or whether a fat finger had entered an order, which was declared invalid by the exchange afterwards.

Any further comments appreciated.

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TF first minute OHLC on Sunday at 6:01pm-tf-report-22-nov-2010.pdf  
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  #3 (permalink)
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ICE lists historical data on their website which might answer your question. I can't post links yet otherwise I would provide you the exact location, but if you got to the ICE homepage, click on products, Russell Indexes, and then your contract and you should be provided with the data points.

This is unrelated to your question, but you might find this Russell 2000 market commentary interesting as well which is at:

ice commentary .com

Cheers!


Last edited by AdvocateofICE; November 23rd, 2010 at 01:24 PM. Reason: typo
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AdvocateofICE View Post
ICE lists historical data on their website which might answer your question. I can't post links yet otherwise I would provide you the exact location, but if you got to the ICE homepage, click on products, Russell Indexes, and then your contract and you should be provided with the data points.

This is unrelated to your question, but you might find this Russell 2000 market commentary interesting as well which is at:

ice commentary .com

Cheers!

The data points from ICE do not show those values for the 1st minute of trading, I had posted them above, see PDF. But my datafeed shows these values as well.

I have now edited the database and changed the value of the high of the first minute manually to 732.50, which is the high of the day reported by ICE.


Last edited by Fat Tails; November 23rd, 2010 at 02:09 PM.
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I have another mystery i'd like to solve regarding this first minute Sunday night. Look at this chart and try to explain why i see multiple entries for the same time (minute) and why the High for the first minute is not there but is shown on the chart. Is this some sort of a bug ?

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Expand the column wider, you are looking at (bottom to top) 18:0x, 18:1x, 18:2x. The last digit on each is cut off in your column because it is not wide enough.

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Big Mike View Post
Expand the column wider, you are looking at (bottom to top) 18:0x, 18:1x, 18:2x. The last digit on each is cut off in your column because it is not wide enough.

Mike


I can't believe i did not think about it that is so obvious with the benefit of hindsight. How dumb i may be at times. Thanks. Same type of things happen frequently in reading price action, if i had entered there i would ...

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trendisyourfriend View Post
I had a problem this morning with NT7 and would like to check some numbers.

I have these values for Sunday night first minute of trading on the RUSSELL:

at 6:01PM EST or 18:01 EST Sunday 21, 2010

Open: 725.6
High: 749.0
Low: 725.6
Close: 729.9
Volume: 586

Could anyone confirm these numbers are correct.

Thanks

My IQFeed data feed also showed the same trades. I think there were some market orders which cleared out some levels of the order book, which then triggered some other stop orders. By the time the cascade was done, TF had gone up almost 25 points. This was a flash-spike! An instrument with low liquidity after hours, and market orders.

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aviat72 View Post
My IQFeed data feed also showed the same trades. I think there were some market orders which cleared out some levels of the order book, which then triggered some other stop orders. By the time the cascade was done, TF had gone up almost 25 points. This was a flash-spike! An instrument with low liquidity after hours, and market orders.

If this was the case, why was the daily high for TF 12-10 reported by ICE as 732.50 and not 749.00?

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