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CME changes end time
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CME changes end time

  #1 (permalink)
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CME changes end time


Quoting 
Effective Monday, September 21, the daily CME Globex and ClearPort maintenance period will begin 15 minutes earlier Monday through Thursday from 16:00CT/17:00ET until 16:45CT/17:45ET. Currently, the daily maintenance period occurs Monday through Thursday from 16:15CT/17:15ET to 16:45CT/17:45ET. With this change, the closing times for the following markets will now occur 15 minutes earlier Monday through Friday at 16:00CT/17:00ET. CME Equity, CBOT Equity, COMEX, NYMEX and DME.

http://www.cmegroup.com/trading/fx/e-micros/e-micro-euro.html

Just noticed this on the link above. @Big Mike

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Nice "catch"!! Thanks for sharing!!

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ARGH!!!

@Fat Tails, does this mess up all your current session indicators?

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srgtroy View Post
ARGH!!!

@Fat Tails, does this mess up all your current session indicators?

It is my understanding that index futures and NYMEX traded instruments will now close 15 min early at 4:00 PM Central. This should not cause any problem.

I even recommend NOT to change any session template. If you do not change the templates

-> all session indicators should work with past data (which is important for backtesting)
-> all session indicators should also work with future data (even if the last 15 minutes of the chart are not populated)

If you adjust the session templates to reflect the new closing time, then you will get truncated charts for all trading days prior to September 20, 2015.

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This Could Impact Indicators

Depending on what timeframe you using, this change could have an impact...

Example:

If you are using a moving average with daily bars, there probably won't be a meaningful impact

If you are using a moving average with 5 minute bars, you'll now get 3 fewer bars per day. This could throw off your moving averages.


You really have to examine your particular situation, because what might matter for one person will not matter for another person.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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NinjaTrader Advisory #25

Instructions for NinjaTrader User's

Be Patient and Trade Smart
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And if you follow those instructions, the session template cuts off all data between 4:00 PM CT and 4:15 PM CT for all trading days prior to September 20, 2015.

Backtests of all stategies that did not have a time filter for the newly excluded period would be false.

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Hi Fattails,

I have followed your very interesting discussion regarding the multiple session templates https://futures.io/german-traders/21666-richtige-session-templates-deutschland-pivots.html?referrerid=42799

What does this exactly mean: the templates remain unchanged forever although the trading times have changed?

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Hi Fat Tails,

In an earlier thread I found your solution when trading times changed back in 2013:

https://futures.io/elite-circle/6055-correct-sessions-your-charts-5.html

Does it still apply?

In terms of trading times: there is a difference between the attached pic from the session template (afternoon starts 15.30) and the text (15.15). I assume 15.15 is correct?

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