You can check the SessionPivots indicator. It has all the short trading days for the years 2009 - 2011, because short trading days are no separate trading sessions, have no settlement price. This needs to be taken into account to calculate the floor pivots.
There are 6 short sessions per year, which do not make up for separate trading days. There is no daily settlement and all trades are for trade date next day.
- Martin-Luther-King Day
- President's Day
- Memorial Day
- Independence Day
- Labour Day
Also you will want to note that CME Interest and FOREX markets close a bit earlier on Columbus Day.
Instead of creating a new thread, I'll try my luck here first.
Where can I find a full list of the holidays for the past 10 years and next 3-5 years? I checked the CME website and they have each year posted separately in a unstructured format. My intention is to have an array of these dates so I can exclude them on a) My backtesting analysis and b) on the Sierra Charts "Date To Exclude" field.
If you talk about holidays, you need to be more specific. There are different holidays for different markets and different holidays for different countries. NYSE might be closed while NYMEX is open. ICE might have a regular trading day, while CME is on a holiday schedule.
As you refer to CME, there are basically three types of holidays
(1) holidays where the exchange is fully closed
(2) holidays where the exchange is closed for a few hours and where the current calendar day does not count as a separate trading day (settlement delayed by one business day)
(3) holidays where the exchange is open, but where you will find reduced trading volume
Now let us go through the 3 different cases and how you find them, using a bit of logic.
(1) Basically Christmas, NewYear's Day and Good Friday (some years only). You do not need to take into account these days for your backtesting because the exchange is closed any how.
(2) Basically Martin-Luther-King Day, President's Day, Memorial Day, Independence Day, Labour Day, Thanksgiving. There is a pretty simple way of finding these dates. Take a decent datafeed that uses the settlement price and then open a daily chart over the last five year. Overlay a 1440 min chart on the daily chart, and use a different color for the bars. You will now find the days when the exchange was closed. See chart attached.
(3) For low volume days check Good Friday, Veteran's Day, Columbus Day, Chistmas Eve, the day after Christmas and New Year's Eve. Open a chart with volume information and decide which ones you wish to eliminate.
The only holiday that has switched back and forth categories during the last years was Good Friday.
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We really need a super thanks button. @Fat Tails thank you very much for the detailed explanation.
To give you a bit of an insight of what I am trying to do, I am downloading prices for ES and YM on a 5 minute intervals (TradeStation) and I am creating my own aggregation for OHLC. I think I am mostly concerned with the half days as I wouldn't get any entries for days that the exchange is closed. Would it be a fair statement that if I don't a price at the close of 4:15pm but I have a price at RTH open that is considered a half day? Or would there be a weird caveat I need to consider?
@Big Mike, I think that this entry make a solid candidate for the Wiki.
Last edited by Investorito; November 22nd, 2015 at 06:15 PM.
The nice thing about the wiki is it doesn't need me. It is user contributed.
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