ETH vs RTH session hours on futures

[jamesaq]

Session Hours

As a little background I'm using the ZenFire datafeed for futures charts.

1. Electronic Trading Hours (ETH) vs Regular Trading Hours (RTH) on electronically traded futures charts:

The session manager templates for managing the start and end times for different markets is an awesome addition. It just needs a little work on giving accurate ETH templates for the electronically traded futures markets like the e-mini S&P 500 (ES), Nasdaq (NQ), Dow (YM), Russell 2000 (TF) index instruments, US 30 Year Bonds (ZB), T-Notes (ZN) financials, as well as any other electronically traded grains or metals.

For example, the instrument default for the S&P 500 (ES) is currently the CME Globex Index Futures RTH template which starts at 8:00 am and ends at 3:15 pm central. The regular trading hours templates are nice to have, but the electronic futures contracts should really have electronic trading hours templates (ETH). I think the ETH hours are defined differently for each instrument depending on the exchange so they should be looked at individually. They aren't just 24 hours 12:00 am to 12:00 am either.

After looking at trading hours information for ES at the CME website I think the CME ES session hours should look like the following (big question mark):

Monday session opens on Sunday at 5:00 pm and closes on Monday at 3:15 pm central.
Tuesday session opens on Monday at 3:30 pm, and closes on Tuesday at 3:15 pm central,
Wednesday session opens on Tuesday at 3:30 pm, and closes on Wednesday at 3:15 pm central, and so on.
I've attached a graphic of a sample session template.

I (and possibly others) will want to see all the data available, not just the pit hours.

It would be great if you (or the data provider if they are responsible) could change the default session templates to electronic trading hours for the electronically traded contracts in the instrument manager.

I know editing the templates to get the full session would be over the head of many of my friends to whom I've recommended NinjaTrader. My main concern is for them.

2. Day Bars not using template hours

Constructing daily bars from the minute bar data is also a great advantage to the new version when using Zenfire. Daily bars are very important for giving context. The only problem is that even after changing the session template in the data series window for the chart to electronic trading hours the OHLC of the bars on the daily time frame are still constructed using the daytime regular trading hours. The open, high, low, close should be built from the specified session hours if at all possible.

You can compare daily HLC to values for the current (March 2010) ES futures contract using ETH hours at this site: http://www.mypivots.com/dn/?symbol=250.

(I removed the Pivots indicator comment since no action is required, it was just an observation that it will work better when the day bar HLC is corrected.)

Thanks.

[Harry]

Hi James, appreciate your post:

1. Fully agree, ETH session templates should be entered - I use them as a default for futures via instrument settings. I have asked this already. There currently still is a problem with MergeBackAdjusted relating to ETH templates.

2. If you set instrument settings for ES to ETH, you can export minute data and then reimport it as daily data. The daily bars that you create this way do reflect the session template (ETH). Only short coming here is that you get the close instead of the settlement price. I do not know whether you prefer close or settlement.

3. I have published a pivots indicator here

http://www.ninjatrader-support2.com/vb/local_links.php?action=jump&catid=1&id=271

that allows to display both ETH or RTH pivots, once you have set your chart to the ETH session template. In DailyBars mode (same as NT pivots) you sometimes would need to click the chart, before the pivots show up. The indicator allows you to enter holidays such as February 15 and will then display same pivots for February 15 and 16, and calculate Pivots for February 17 from the two preceeding days. This is in line with the sessions as published by CME, as February 15 was no trade data and volatiliy low. This is also in line with pivots as published by www.mypivots.com

Would you mind testing, if the indicator works correctly?

[jamesaq]

Hi Harry.

I hope they fix the session start and end times for electronic contracts.

Since you asked about it before did they give any indication as to if they are working on it?

I'll gladly check out your pivots indicator, but the Pivots indicator in version 7 is working very well with the addition of the PriorDayHLC setting.

Thank you.

[jamesaq]

Well Harry,

Whether a person considers the session hours issues suggestions or bugs, judging from the zero response to this post it appears there is no interest from NinaTrader in the issues, or my post was just too long and difficult to read, or thought you answered my post. It is amazing that they reply to as many posts as they do.

I know my trading friends using other trading platforms will compare their day bars to the ones in NinjaTrader, and when they see the bars don't match they simply won't use NinjaTrader if they think there is any question about the data. That would be a shame because NinjaTrader has a lot to offer.

Your export-import trick will save me money from having to buy daily data for electronic trading hours, but NinjaTrader really should address the issue because endlessly importing data is a hassle.

[Harry]

Hi James,

honestly, I do not see you point:

You can build whatever session you like via the session manager. You can attach this session to the instrument. A chart using <instrument settings> will display data that is cut off correctly at the sesssion end. This means that a 1440 min. chart with the correct session template is exactly what you are looking for.

When using the correct session template, you will find that you do not even need daily data for displaying pivots, CalcFromIntradayData will do.

So in practice you have your daily data. If you need daily data showing the settlement price instead of the close, you cannot create it from intraday data, so you either need to pay for it, or just edit the database and enter it manually. How many instruments do you actually trade?

[jamesaq]

The point of my post was to submit feature requests and report bugs to improve the program, not to get desert island workarounds.

My feature request for electronic trading hours on electronic futures contracts is a strong suggestion because showing anything else is WRONG. That should be reason enough.

Yes, I can change it myself by making new templates for each exchange and changing the session template used by each instrument in the Instrument Manager so the change will be saved. It will take my friends many hours to do this (some not very capable). Multiply this work by all the many people using NinjaTrader and it is a tremendous waste of time, and a certain percentage of people will flub it up. That is a second reason why the developers should change the defaults in the program before it is released.

Not having "all" the information can put a trader at a disadvantage.

As for the daily bars not showing electronic trading hours, I can not change those. I consider that to be a bug, not a suggestion. That is something for which I should not have to uses a 1440 minute bar workaround.

[NinjaTrader_JoshP]

1. If you are on B10 and you reset your instruments you will get already made ETH session templates.

2. This is expected when you use Zen. You are pulling data from NT servers and NT servers records the daily bars with RTH session. If you want different type of daily bar you would need to either (A) do the import/export routine or (B) get a different data provider to offer you historical data since NT servers are only provided as a courtesy service.

[jamesaq]

Hi Josh,

The ETH templates are not the default. There is still work to do. Please add that to the list.

Want to hear of a travesty? The M6E E-micro EUR/USD Futures use the CME RTH template. You absolutely have to be watching that market during the Tokyo and London sessions 5 to 6 hours before the US open.

If there an elegant way to reset the instruments, let me know. Not knowing an elegant way I deleted everything, uninstalled, re-installed, license codes and all. It might help others too.

I appreciate the complementary daily RTH data. Maybe someday (not asking for it to be this release) the server data will include ETH data? (Necessity is the mother of invention.)

Thanks for the reply and much help.

PS. As a topic of discussion for futures trading does anyone know of a NT plug-in enabled data vendor that offers historical daily data to supplement the Zen-Fire futures data feed? The sales pages seem to deal in real-time data (not needed). The plug-in idea is preferred so charts load the data automatically without having to manually import before hand.

[NinjaTrader_JoshP]

To reset instruments you can go to Tools>Options>Data>Reset Instruments.

Thank you for your suggestions. I have placed them on our feedback list.

[jamesaq]

I looked at the new ETH templates, such as the CME US Index Futures ETH, and they have more than one close per day.

You have a separate session around the half hour shutdown. I don't think that is wise.

Using the timestamp equals end of bar time, the date for an electronically traded session should be for the close of the session. Logically, if there is just one session close per day, you will have one calendar day assigned to a session.

I looked at other programs on the internet, such as Open E Cry, and Trade Station. On each day they close their session at 3:15 pm central and open the session at 3:30 pm central of the prior day with the exception of Sunday where they open is at 5:00 pm. Why are we different?

To simplify the templates the suggestion would be to have one session close per day like the other programs do.

They appear to ignore the half hour shutdown times after 3:30 and lump them in to the new session.

Personally I think this issue comes down to the differences between programers and traders. The programmers want to be right for the sake of being technically correct, even if it means being different from everyone else. The traders think their way is right. People can use other programs and you want to keep them using NinjaTrader. Sometimes it is not good to be too different from everyone else (other programs). Being technically correct in this case is like swimming up stream. Sometimes it is better to go with the flow.

I imagine if charting companies required their programmers to trade their own money to get paid, and the programmers depended on the charting programs they are write to make money trading we would all have much better trading software. Unfortunately I think laws prohibit that kind of employment policy, so it might be unrealistic, but it would be ideal.

[Harry]

Please remove those funny ETH double sessions

The solution adopted here is indeed both funny and illogical.

The idea to show a break is good. But a break is a break and not a start of a new session! Which of the two sessions will be chosen for MergeBackadjusted? What is the meaning of FirstBarOfSession() condition, if this becomes true after the break? Also you will get several session dates for the same session - see chart below. Everybody who uses these sessions will be at least confused or amused.

The quicker you remove this, the better it is.

Take'em away - quickly....

[Alfred]

The NT B10 CME ETH session template seems to be leaving out 1 hour of trading each weekday in the equity indexes...the trading time between 15:30 to 16:30 is not shown on the charts using this CME ETH template.

See trading CME ETH times at:
http://www.cmegroup.com/trading_hours/index.html

[NinjaTrader_Ray]

We will change on next update to remove the 3:30 to 4:30 session and just make it 3:30 to 3:15 the next day.

[jamesaq]

Just want to say thanks.

On to new stuff.

[noincomenojobnoassets]

Hi guys,

I have a question which is similar to the topic discussed above:

Let's assume I'm trading an instrument that sports several sessions per day, for instance, the ES (E-mini S&P 500 index) futures.
The CME website HERE lists the sessions traded as
-> Sun 5pm - Mon 3.15pm
-> Monday till Thursday: 3.30pm - 4.30pm and 5pm - 3.15pm (next day).

Now what I'm interested in is: How does a strategy being run on, for example, 180-minute bars objects behave when it is confronted with the less-than-180-minutes "in-between" sessions of only one hour in length? Say the strategy constructs a 180-minute bar starting at noon and properly closing at 3pm, and then contructs the following one from 3pm on? How will the session gap from 3.30pm to 4.30pm influence the bar that is supposed to reach until 6pm?

Regards
ninjna