Pre and post market data?

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Viewing 15 posts - 1 through 15 (of 16 total)
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  • 01/29/2024 at 7:11 PM #227036
    raptor91

    Hi,

    I’m running Prorealtime v12 and would like to backtest using pre and postmarket data for stocks. How can I do that? Thanks

    01/29/2024 at 7:30 PM #227037
    GraHal

    When we run backtests we can run using data over 24 hr over 5 days per week (even Sunday night also) so that includes both pre-market (before cash market opens) and post-market (after cash market closed) periods.

    How are you defining pre and post market data?

     

    01/29/2024 at 7:37 PM #227038
    raptor91

    I was thinking of premarket and postmarket for US stocks. I trade very liquid stocks. Premkt: 4 a.m. – 930 a.m ET.   Postmkt: 4p.m – 8p.m ET.

    Is there some setting somewhere?

    01/29/2024 at 8:11 PM #227039
    GraHal

    Make those times a condition in your Strategy like this  …

     

    1 user thanked author for this post.
    avatar raptor91
    01/29/2024 at 8:16 PM #227040
    raptor91

    No trades are triggered outside regular market hours and only regular trading hours are shown in the graph.

    01/29/2024 at 8:32 PM #227041
    PeterSt

    Hey raptor,

    You must be on PRT-IB (IBKR). Look in the below shown setting for that. I would not know whether AutoTrades are not triggered when not having that On (I have this On from of when it was presented 3 years or so ago) but it can’t harm to have it On in your situation. You will readily see it working in your charts when it is after 22:00 tonight – or when it is 10:00 tomorrow morning (Amsterdam – your time too I’d say). Then you can manually trade in ETH hours. AutoTrade most certainly too.

    Ask if you need more, like from IG (GraHal will know). But there too, I trade 23/24 – it is no setting there as far as I know.

    Peter

    1 user thanked author for this post.
    avatar raptor91
    01/29/2024 at 8:38 PM #227043
    raptor91

    Ah, thanks. I don’t have the Extended Trading Hours option on my settings for manual trading. Is this something I can ask IG to activate for me?

    01/29/2024 at 9:17 PM #227044
    GraHal
    raptor91 wrote:

    I don’t have the Extended Trading Hours option

    I don’t also (for IG) but I can trade all through the night (24/5) if I wanted to!

    raptor91 wrote:

    No trades are triggered outside regular market hours and only regular trading hours are shown in the graph.

    Does your code have a Time restriction? It would help if you posted your code as otherwise  we are guessing what your problem might be.

    Please post a screenshot of what you mean by … only regular trading hours are shown in the graph.

     

     

    01/29/2024 at 9:33 PM #227047
    raptor91

    I’ve tried with a without time restrictions but only trades during regular trading hours are triggered.

    “only regular trading hours are shown in the graph”: See below 5m chart for Tesla. Each day starts at 1530 CET and ends at 2200 CET (regular trading hours.) I would like to see also pre and postmarket.

     

    01/29/2024 at 9:45 PM #227049
    GraHal

    If it is any consolation, I just checked Tesla Motors and I get the same as you show above.

    I can only asume IG do not make a market in Tesla outside ‘regular trading hours’.

    Try, for example, Dow Jones / DJIA and you will see prices quoted over a 24/5 period.

    01/29/2024 at 10:03 PM #227052
    raptor91

    Actually, IG do make a market outside regular trading hours in US stocks but for some reason it doesn’t show up in Prorealtime. Anyway, I will contact them tomorrow to sort this out. Thanks.

    1 user thanked author for this post.
    avatar GraHal
    01/30/2024 at 8:21 AM #227061
    GraHal

    Let us know what you find out please.

    01/30/2024 at 8:50 AM #227063
    PeterSt

    Part of the issue undoubtedly (?) will be that IG does not differentiate between the real ETH and their own trading possibilities outside of normal trading hours. Thus example :

    When a Future closes at 23:00 (Amterdam), IG continues (bit with indexes) and calls that “After Market Trading” (this is translated from Dutch, but announcements with this texts occur in email prior to holidays, e.g. their email from last Dec. 19). This is nothing like the formal ETH (Extended Trading Hours) but they call it like that.
    This After Market Trading is complete BS because there is no liquidity; it is even hard to see that trading still occurs, but it does and this makes index trading with IG a 24/7 situation (Mo-Fr). Now :

    Suppose they do that with their CFDs for normal stocks the same, then the normal stock market will close at 22:00 (Amsterdam) – and people (like GraHal) tend to call that the Cash Market. This in itself is not familiar to me as a phenomenon, and e.g. with IB I never see this. It is RTH (Regular Trading Hours) vs ETH. But now watch out for this :

    PRT does not allow for AutoTrading insufficiently liquid instruments to begin with. So if a. IG does not “cfd” the formal ETH instruments (stocks) and b. what they dot themselves “After Market” is not sufficiently liquid, PRT just won’t allow auto trading that beforehand and may close that out from backtesting as well. Not that I see that with (IB) Futures which are insufficiently liquid (you can always backtest them), but …
    But IB is more under PRT’s own control; IG hardly is.

    In 75 minutes pre-market** opens, and I will have a look at IG’s behavior and look for further data points.

    **): When searching for this in PRT pages, notice that PRT historically denotes ETH “After-Market” while all within PRT allows Pre-Market just the same.

    01/30/2024 at 9:25 AM #227067
    PeterSt
    raptor91 wrote:

    No trades are triggered outside regular market hours and only regular trading hours are shown in the graph.

    Yes, I see that now. No need to wait for 10:00. The data is just not there.

    raptor91 wrote:

    Is there some setting somewhere?

    I was closely there when ETH was introduced for PRT-IB and know how it looks when it is not supported (or for that matter when the setting I showed is off). My idea now ? PRT forgot to make that for the PRT-IG.
    It is my estimate that IG support will tell you that ProRealTime just does not support it. But it looks unjustified to me. However, the reason for that could be quite similar to what I told in my previous post : it may be hard or strange for PRT to differentiate the real ETH from what IG does with her own market on top of that. All I know is that for Indexes (like S&P500, Nasdaq) AutoTrading just will pick up on IG’s own activities, and real trades may occur. But this is totally awkward and not desired at tall (other people may think differently about this). But on the other hand, I don’t know whether stocks will be tradeable in those IG After Market hours to begin with (say like from 02:00 to 10:00 – Amsterdam).

    A hint for further investigation : when PRT did not support ETH for IB yet, we (I) had to deal with IB’s TWS because there ETH was supported and we could (still can) trade there. However, one must very very well be acquainted with the stocks themselves and when they can be traded to begin with. So outside of Q figures, stocks like Tesla, nVidia, Apple always trade pre-market and after-market. But stocks like American Express, Exxon, Best Buy may trade After Market all right, but open pre-market at whatever set times of which I never found the rules (but like 12:00, 13:00, 13:30 up to say 15:00 prior to when all opens at 15:30). The moral : It may be hard to find by means of looking at IG charts (not PRT) when they trade for real anyway, *if* IG offers their own After Market as well.

    Blahblah ?

    01/31/2024 at 9:58 AM #227149
    raptor91

    IG replied to me that extended hours is simply not supported in PRT-IG. This is strange and a bit annoying since they quote prices outside regular trading hours on their platform. Yes, liquidity is worse pre/post market but it’s usually “ok” for the most liquid stocks like Tesla, in particular around earnings announcements and in the hours just before or after regular hours. I need to find another platform to autotrade liquid US stocks.

    1 user thanked author for this post.
    avatar GraHal
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