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Time change questions/issues

  #1 (permalink)
gurji
Miami, Florida
 
Posts: 35 since Apr 2022
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Trying to understand a few things. I trade CL.
Using a 5 min chart on NY time (currently GMT-4), the following bars are big ones.

09:00
14:25
20:00
21:00
01:30

and a few others.
I assume that these are when various regions in the world start their respective trading days.
However, unlike the stock market, the oil futures are tradable 23 hours a day and the bid/ask spread is almost always small. So it really doesn't matter when you trade.

So why do these places wait until the "opening" of the day?

Next question, what happens on November 6, when the US turns the clock back?
Will those places change? Or will those hours change?

Basically, I am asking about this because I have algos set up that look at the time of day. But if the behavior of a specific time of day changes because of a clock change, I will need to adjust my algo.

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  #2 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
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gurji View Post
So why do these places wait until the "opening" of the day?

The open today is a carry over from the pit open before electronic markets. Even though the market is open 23x5, the pit open and close times are still significant. There are special order types like MOO, MOC and other variants that execute at those times so traders/brokers are able to execute large size using these order types during these times because there is a lot of liquidity present and the orders can be executed without a large price impact.

You can read about these here:
MOO: https://www.investopedia.com/terms/m/marketonopen-order-moo.asp
MOC: https://www.investopedia.com/terms/m/marketonclose.asp

CL market on close orders will execute between 14:28 and 14:30 Eastern Time.


gurji View Post
Next question, what happens on November 6, when the US turns the clock back?
Will those places change? Or will those hours change?

It depends upon the timestamp of your data. If your data includes the timezone, nothing will change. It will go from UTC-5 to UTC-4 on Nov 6th. See this: https://www.timeanddate.com/time/zone/usa/new-york

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  #3 (permalink)
gurji
Miami, Florida
 
Posts: 35 since Apr 2022
Thanks Given: 1
Thanks Received: 10



Hulk View Post
The open today is a carry over from the pit open before electronic markets. Even though the market is open 23x5, the pit open and close times are still significant. There are special order types like MOO, MOC and other variants that execute at those times so traders/brokers are able to execute large size using these order types during these times because there is a lot of liquidity present and the orders can be executed without a large price impact.

You can read about these here:
MOO: https://www.investopedia.com/terms/m/marketonopen-order-moo.asp
MOC: https://www.investopedia.com/terms/m/marketonclose.asp

CL market on close orders will execute between 14:28 and 14:30 Eastern Time.



It depends upon the timestamp of your data. If your data includes the timezone, nothing will change. It will go from UTC-5 to UTC-4 on Nov 6th. See this: https://www.timeanddate.com/time/zone/usa/new-york

Hey, thanks for this info. Makes sense. But I still am not clear on part of it.
For example, right now in Daylight Saving Time, the 9pm ET (01:00 GMT) candle is usually a big one. This I believe is the Asian open. From what I have read, most of the bigger economic countries (China, Japan) don't move their clocks.
So, when we move our clocks, will that same big candle now be at 8pm ET (01:00 GMT), or will it still be 9pm ET (02:00 GMT)? Same question for all the typical behavior throughout the day...

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  #4 (permalink)
 
josh's Avatar
 josh 
Georgia, US
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gurji View Post
Hey, thanks for this info. Makes sense. But I still am not clear on part of it.
For example, right now in Daylight Saving Time, the 9pm ET (01:00 GMT) candle is usually a big one. This I believe is the Asian open. From what I have read, most of the bigger economic countries (China, Japan) don't move their clocks.
So, when we move our clocks, will that same big candle now be at 8pm ET (01:00 GMT), or will it still be 9pm ET (02:00 GMT)? Same question for all the typical behavior throughout the day...

Tokyo Stock Exchange starts trading currently at 8pm EDT, which is 9am JST. When EDT becomes EST, the exchange will start trading at 7pm EST, which is still 9am JST.
Hong Kong starts trading at 9:30pm EDT, which is 9:30am HKG. When EDT becomes EST, the exchange will start trading at 8:30pm EST, which is still 9:30am HKG.

Hopefully that clarifies.

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  #5 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
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josh View Post
Tokyo Stock Exchange starts trading currently at 8pm EDT, which is 9am JST. When EDT becomes EST, the exchange will start trading at 7pm EST, which is still 9am JST.
Hong Kong starts trading at 9:30pm EDT, which is 9:30am HKG. When EDT becomes EST, the exchange will start trading at 8:30pm EST, which is still 9:30am HKG.

Hopefully that clarifies.

@gurji, this is correct and clearer than what I said. For the times that correlate to open/close of US exchanges, the volume spikes on your chart will likely not change but they will for those outside the US. London open is a little complicated one. London open today is at 3 AM New York time. But British daylight savings ends on 10/30 so their clock will fall back 1 hour 1 week before New York does. During that week, the London open will be at 2 AM New York time. On Nov 6th, when US clocks also fall back 1 hour, the London open will again be at 3 AM New York time.

It is easier to think of this relative to UTC. As of now, London is UTC+1 and New York is UTC-4. The difference is 5 hours. Between 10/30 and 11/6, the difference will become 4 hours because London will go back to UTC+0 while New York will still be UTC-4. On 11/6, New York becomes UTC-5 and the difference goes back to being 5 hours.

In other timezones that do not have daylight savings, the relative time will shift by 1 hour until next March like the example @josh mentioned and those hours on your chart will shift back by 1 in November and ahead by 1 in March.

Generally, market data timestamps are stored and disseminated in UTC. APIs that read that data convert that information according to the locale of the runtime environment on your computer. Your API will likely use a US locale like "America/New York" or "America/Chicago" and that will result in the appropriate US time that will account for daylight savings. Because of this, for the hours on your chart that correspond to US exchanges open/close times, you will likely not notice any difference but for hours corresponding to open/close times of non US exchanges, you will.

Hope that helps.

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  #6 (permalink)
 tr8er 
Europe
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FYI Europe changes DST over the weekend.

There is no PIT-session for Crude Oil anymore, but the time the PIT was open (9 am to 2:30 pm NYT) is still valid, so the first and the last 30 minutes of this session will always have a lot volume. Also the European-session is good for Crude and volume is there (European open: 3 am NYT)

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Last Updated on October 28, 2022


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