NexusFi: Find Your Edge


Home Menu

 





Does ES ever vary DRAMATICALLY from SPY during trading hours?


Discussion in Traders Hideout

Updated
      Top Posters
    1. looks_one tr8er with 3 posts (0 thanks)
    2. looks_two eferggbd with 3 posts (0 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 Jigsaw Trading with 1 posts (0 thanks)
    1. trending_up 2,268 views
    2. thumb_up 0 thanks given
    3. group 4 followers
    1. forum 8 posts
    2. attach_file 3 attachments




 
Search this Thread

Does ES ever vary DRAMATICALLY from SPY during trading hours?

  #1 (permalink)
 
eferggbd's Avatar
 eferggbd 
Phoenix, AZ
 
Experience: Intermediate
Platform: Ninja, TradeStation
Broker: Ninja
Trading: ES, CL
Posts: 30 since Jan 2018
Thanks Given: 13
Thanks Received: 29

I'm doing backtesting, and I'm trying to figure out if during normal trading hours (9:30-4 EST) the SPX and ES (nearest term expiration) every vary dramatically. Like during normal trading hours would the ES and SPX ever differ by $20 or $50 or something big like that?

I've been trading the ES since the beginning of the year, and it seems to track closely during normal trading hours. But I bought some historical data for ES and SPX and that data shows that in some cases the ES and SPX varied dramatically in the middle of normal trading hours (like June 23, 2016 it shows an $80 variance). I'm not sure if the data is bad, or if there really are times that the SPX and ES would diverge that much during normal trading hours.

Thanks for any input!

Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Request for MACD with option to use different MAs for fa …
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
58 thanks
Battlestations: Show us your trading desks!
52 thanks
NexusFi site changelog and issues/problem reporting
48 thanks
What percentage per day is possible? [Poll]
31 thanks
GFIs1 1 DAX trade per day journal
29 thanks

  #3 (permalink)
 tr8er 
Europe
Market Wizard
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
Posts: 704 since Jan 2017
Thanks Given: 220
Thanks Received: 709


Hi, it seems there is no difference (I've added a comparison chart, the $SPX is the line-chart, based on closing-price and the time is set to 9:30am - 4:00pm EST and you can see 6-23-2016 and 6-24-2016, there was a huge gap). If you compare the data, you have to use "NOT backadjusted data" otherwise it isn't correct.


Reply With Quote
  #4 (permalink)
 
eferggbd's Avatar
 eferggbd 
Phoenix, AZ
 
Experience: Intermediate
Platform: Ninja, TradeStation
Broker: Ninja
Trading: ES, CL
Posts: 30 since Jan 2018
Thanks Given: 13
Thanks Received: 29

Thanks! That helps. I think the data I have is bad. I was told it was continuous using earliest expiration. But the data I have doesn't match what you have. And the data you have ties to the SPX, which makes sense.

May I ask where you got your ES data?

Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #5 (permalink)
 tr8er 
Europe
Market Wizard
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
Posts: 704 since Jan 2017
Thanks Given: 220
Thanks Received: 709

Hi, I use TradeNavigator and their data.

I don't know which data you have, but I wouldn't say that your data is bad, I'm sure you are using back-adjusted data and of course back-adjusted data never can match an index.

Reply With Quote
  #6 (permalink)
 tr8er 
Europe
Market Wizard
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
Posts: 704 since Jan 2017
Thanks Given: 220
Thanks Received: 709

that you can see the difference in price, I'll post the chart with $SPX in an extra pane (1 back-adjusted, 1 NOT back-adjusted)

back-adjusted:


NOT back-adjusted:

Reply With Quote
  #7 (permalink)
 
Pa Dax's Avatar
 Pa Dax 
Netherlands
Price Action Scientist
 
Experience: Advanced
Platform: NinjaTrader, IB TWS
Broker: InteractiveBrokers, CQG
Trading: ES
Posts: 1,236 since Oct 2017
Thanks Given: 2,004
Thanks Received: 6,316

Probably not - there are enough HFT algorithms out there that would be executing arbitrage on it. So selling the one and buying the other if there's any tiny difference and then close out their position when they get equal again.

Visit my NexusFi Trade Journal Reply With Quote
  #8 (permalink)
 
eferggbd's Avatar
 eferggbd 
Phoenix, AZ
 
Experience: Intermediate
Platform: Ninja, TradeStation
Broker: Ninja
Trading: ES, CL
Posts: 30 since Jan 2018
Thanks Given: 13
Thanks Received: 29

Thanks tr8er! That helped me a lot.

And thanks everyone else for the input. Greatly appreciated.

Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #9 (permalink)
 
Jigsaw Trading's Avatar
 Jigsaw Trading  Jigsaw Trading is an official Site Sponsor
 
Posts: 2,988 since Nov 2010
Thanks Given: 831
Thanks Received: 10,393

Depends on the expiry date of the ES.

But front month - pretty much pinned to the ES - but the site Program Trading, Fair Value, Index Arbitrage Values - indexArb.com might have some interesting snippets for you, if you want to investigate.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Visit my NexusFi Trade Journal Reply With Quote





Last Updated on January 28, 2018


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts