exchange time on market

• 09/25/2023 at 12:20 PM #221552
  Frank Data

  Hello everyone, my question is about the time setting and the construction of candlesticks with it.

  I live in Spain and I want to set up the American market in time exchange.
  The correct thing would be to be able to mark market time and that this is automatic, but it is not possible, I have to indicate the correct one.
  If I set it and I set the hours, it works fine, but the problem is that in intraday and out of intraday it does not detect correctly the end of the market.
  If we look at the contract specs of the S&P (for example), we have that:

  CME Globex:
  Sunday 6:00 p.m. – Friday – 5:00 p.m. ET (5:00 p.m. – 4:00 p.m. CT) with a daily maintenance period from 5:00 p.m. – 6:00 p.m. ET (4:00 p.m. – 5:00 p.m. CT)

  To begin, with it is difficult with the platform configuration to cut the downtime between 5pm and 6pm.

  Secondly, the daily candlestick construction incorporates half of the Sunday market when that part should go on the Monday candlestick.

  I don’t know how to fix that.

  There is a way for this to build perfect and that is to put the Spanish time, but it has a problem, during 4 weeks a year there is a time lag due to time change and that is not only a problem of operation, but of backtest (because it invalidates them completely).

  I have been looking for information in the forum or I have not been able to find it or I have not found it, that’s why I am writing this so that someone can give me some light.

  Thank you very much. Best regards.

  

  Frank Data

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  09/25/2023 at 1:46 PM #221558
  PeterSt

  Hi Frank,

  I don’t know where you get those times from, but they all seem not much recognizable to me.
  Assumed you are talking about PRT-IB (IBKR as broker) :

  Maintenance time ? this should be about computer systems as such – right ?
  For PRT itsef this is 1-2 minutes at 4am Amsterdam/Madrid).
  For IBKR this is 5-10 minutes around 6:30 am; officially this is between 6 and 7 am (but always 5-10 minutes only).

  Normal USA financial Futures “dead time” is between 23:00 and 00:00 (pm).
  Futures Trading ends Friday 23:00 and starts Sunday night 00:00 (start of Monday).

  The above assumed that you use your local time only, and not Time for the local market’s Instrument itself. I have no issue with that anywhere.

   

  Frank Data wrote:

  There is a way for this to build perfect and that is to put the Spanish time, but it has a problem, during 4 weeks a year there is a time lag due to time change and that is not only a problem of operation, but of backtest (because it invalidates them completely).

  This Daylight Savings issue is relatively easy covered (for people in Europe) by means of testing for the date ranges in the program code.
  See for example in here. Notice that the topic is about PRT-IG; all is a bit different with that broker.

  Regards,
  Peter

  

  PeterSt

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  09/25/2023 at 2:49 PM #221559
  Frank Data

  hello, thank you for replying.

  it is very important to use the market time as you can do in platforms like tradestation, multicharts, amibroker….

  the timings are taken from the official CME website:
  https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.contractSpecs.html

  In fact, the American market stops at 4-5 pm, which here coincides with 23-00. This is why I specify that PRT puts in daily a candle on Sunday, when it should really count as the Monday session.

  Building the candles does not solve the problem, I think the platform should be able to offer the original data from the market provider, in this case CME.

  This is very important, as it guarantees to have accurate information of that market.

  Thank you 🙂

  

  Frank Data

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  05/12/2024 at 4:20 PM #232583
  Gaby

  Hi Frank,

  you are 100% correct: it is key to be able to trade in sync with the Exchange timeframe. As far as I know only Multicharts or Tradestations allow you to plot the chart with the exchange timeframe (instead of your local timerfame). In other words, yous the chart like being in Chicago, instead of being in Spain… I am not aware this option exists for PRC.

  In terms of trading systems: you can still implement some code to extracts key data in synch with the CME session. For example: for the Crude Oil (CME session: 18.00 – 17.00) you can codify this, to store the high and the low of the current session and use it as you want. I assume you can also recall previous session’s values (but I have not tried yet), like the high of the previous CME session, etcetera.

   

  starttime = 000000
  endtime = 230000

  if opentime = starttime then
  hh = high
  ll = low
  endif

  if time > starttime and time <= endtime then
  hh = max(high,hh)
  ll = min(low,ll)
  endif

  ………….

  I hope this give a solution to your previous question

  Bye, Gabriele

  

  Gaby

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