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Gapping and trading times


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Gapping and trading times

  #1 (permalink)
 Grantx 
Reading UK
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I have two questions:

1. Looking at CL 02-17 for the past year and can see a lot of gapping. Is this common in futures markets?

2. There is this big daily event in the US where a bell goes ding and the markets are open. Are these traders in America only allowed to trade certain hours, but the exchanges still stay open for the rest of the world to trade overnight?

Thanks.

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  #3 (permalink)
 choke35 
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Grantx View Post
I have two questions:

1. Looking at CL 02-17 for the past year and can see a lot of gapping. Is this common in futures markets?

2. There is this big daily event in the US where a bell goes ding and the markets are open. Are these traders in America only allowed to trade certain hours, but the exchanges still stay open for the rest of the world to trade overnight?

Thanks.

News gaps aside, most about your impression results from incorrectly not choosing the respective front months for your check.
E.g.: Looking at CL 02-17 from a perspective when it wasn't the front month is relatively pointless (unless you are a producer
or an intermediary) since the front month has the volume - and continuous pricing with it.

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  #4 (permalink)
 grausch 
Luxembourg, Luxembourg
 
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Grantx View Post
I have two questions:

1. Looking at CL 02-17 for the past year and can see a lot of gapping. Is this common in futures markets?

2. There is this big daily event in the US where a bell goes ding and the markets are open. Are these traders in America only allowed to trade certain hours, but the exchanges still stay open for the rest of the world to trade overnight?

Thanks.

You could be looking at the effects of contango ( Contango Definition | Investopedia) or backwardation ( Backwardation Definition | Investopedia). However, these will only be present whenever a contract rolls into a new contract. Continuous contracts will remove the effect of both, but it will mean that past prices are adjusted to current levels. In extreme cases that can mean that past prices are shown as negative.

I suspect however that you are referring to the gaps on the daily open. You probably are only looking at the RTH (regular trading hours) data. The more popular futures contracts can also be traded during ETH (extended trading hours). If you ignore the ETH data, then your graph will look like it has gaps. With Interactive Brokers I needed to enable ETH data in order to remove the gaps from my graphs.

Some more data regarding RTH and ETH can be found here: CBOE Extended Trading Hours

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  #5 (permalink)
 
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 xplorer 
London UK
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grausch View Post
You could be looking at the effects of contango ( Contango Definition | Investopedia) or backwardation ( Backwardation Definition | Investopedia). However, these will only be present whenever a contract rolls into a new contract. Continuous contracts will remove the effect of both, but it will mean that past prices are adjusted to current levels. In extreme cases that can mean that past prices are shown as negative.

I suspect however that you are referring to the gaps on the daily open. You probably are only looking at the RTH (regular trading hours) data. The more popular futures contracts can also be traded during ETH (extended trading hours). If you ignore the ETH data, then your graph will look like it has gaps. With Interactive Brokers I needed to enable ETH data in order to remove the gaps from my graphs.

Some more data regarding RTH and ETH can be found here: CBOE Extended Trading Hours

Thanks to both choke35 and grausch for this. I guess the question is, how do we get NT to show a continuous contract view that takes into account of ETH as well, so that the daily bars look like this?



Even by following Fat Tail's instructions a continuous contract daily view on NT still looks like this



I understand that the reasons behind it are because NT 7 daily bars look just at RTH. Thread here



But even if I look at a bar of 1440 mins I get the gaps. What gives?

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  #6 (permalink)
 grausch 
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xplorer View Post
Thanks to both choke35 and grausch for this. I guess the question is, how do we get NT to show a continuous contract view that takes into account of ETH as well, so that the daily bars look like this?

Can't help with the other queries, but the answer to continuous contracts in NT7 is here -

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  #7 (permalink)
 
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 xplorer 
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grausch View Post
Can't help with the other queries, but the answer to continuous contracts in NT7 is here -

Thanks grausch - I had tried using ##-## contract - and yet it shows gaps.

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  #8 (permalink)
 grausch 
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xplorer View Post
Thanks grausch - I had tried using ##-## contract - and yet it shows gaps.

Like I said, this only shows the continuous contract. I am not sure how to enable ETH trading in Ninja.

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  #9 (permalink)
 choke35 
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xplorer View Post
Thanks grausch - I had tried using ##-## contract - and yet it shows gaps.

If a continuous contract still shows so many gaps (holidays and weekends aside),
this looks more like a problem with your Session Templates. Before creating the ##-##
try to make sure that the individual contracts are based on the ETH.

NinjaTrader Version 7

P.S.: In order to avoid any DST issues, I'm using local time settings for each asset in the meantime,
e.g. CST for the ES, CET for the FGBL, or ET when I'm watching the CL.

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  #10 (permalink)
 
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 xplorer 
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choke35 View Post
If a continuous contract still shows so many gaps (holidays and weekends aside),
this looks more like a problem with your Session Templates. Before creating the ##-##
try to make sure that the individual contracts are based on the ETH.

NinjaTrader Version 7

P.S.: In order to avoid any DST issues, I'm using local time settings for each asset in the meantime,
e.g. CST for the ES, CET for the FGBL, or ET when I'm watching the CL.

Thanks choke

Check out this thread

In there I asked this very question. Official answer from NinjaTrader is that simply when looking for a daily bar chart ETH are not used, instead they use RTH.

They changed that on NT8.


Unless we're talking about different things?

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