IQFeed daily data session times

[orenshkol]

Hi,
Just to be sure can you please tell me what is is the session times that daily bars from IQFeed use? for example on the ES.

Thank you

[NinjaTrader_Jason]

Hello orenshkol,

IQFeed provides historical daily data in ETH (electronic trading hours). This would be 5:00 PM - 4:15 PM CT the next day as per the ES futures.

[orenshkol]

This contradicts what I'm seeing. The default session template for the ES is 'CME US Index Futures ETH', in which the session times are 3:30 PM - 3:15 PM CT. This is supported by me giving an order when running paper on bar close when using daily bar, and it was indeed executed at 3:30 PM (the next bar open). BUT, when comparing daily bars to minute bars what I see is that the close of the daily indeed matches the close of the 3:15 PM minute bar, but the open of the daily bar seems to match the open of the 5:00 PM minute bar.

So as you can see this is quite confusing, and I would greatly appreciate an orderly and definitive answer.

[NinjaTrader_Jason]

I am not sure why you refer to 3:30 PM - 3:15 PM CT as per the CME US Index Futures ETH session template. Did you manually change the times of this session template? It should have 5:00 PM - 4:15 PM CT as start and end times.

I do not see discrepancies when I test it on my end. The 6/2 daily bar has an Open price of 2111.00 and Close price of 2106.75. When I check the minute chart these prices correspond with the Open and Close prices of the first and last bar of the session.

[orenshkol]

What confused me is that the Close price in daily price is determined by the settlement price, which isn't necessarily the last price of the day.

Regarding why my order was executed at 3:30 PM, was it because why session template was on 3:30 PM - 3:15 PM CT, or should it have been executed on 5:00 PM regardless of the session (again I'm talking only about daily bars)?

[NinjaTrader_Jason]

Please note that session templates do not affect daily charts, only minute and tick charts. Daily data is loaded as per the OHLC values from the connected data feed.

Orders are executed as per realtime data that is received using the simulator fill engine. You mentioned "paper", so I assume you trade the Sim101 account. Daily charts update as per the Last price that is received which is the same in minute/tick charts, SuperDOM, etc. If the order executed at 3:30 PM, the market met the order price at that time.

Could it be you refer to why your automated strategy submitted an order at 3:30 AM, not the execution of an order?

[orenshkol]

I configured my automated strategy to submit a marketable limit order at the close (indeed on Sim101), which as I understand it should have been executed at the open of the next bar. It was executed at 3:30 PM, when as I understand it it was suppose to be executed at 5:00 PM if the session template doesn't matter.

[NinjaTrader_Jason]

I see. The session template does matter in this situation. Session templates do not affect daily data in regards to the OHLC values. These values are loaded from the connected data feed.

If the order was executed at 3:30 PM then it must be due to the session template. If you like the order to execute at the Open that the daily data uses, I suggest to set the session template to its default start and end times of 5:00 PM - 4:15 PM CT.

[orenshkol]

And if I use a real live account and not Sim101, will it do anything different?

[NinjaTrader_ChelseaB]

Hello orenshkol,

There will not be any major differences between Sim101 and a live account regarding the time the order is submitted or fills.

The order submission will be the same between Sim101 and live. Meaning that a live tick of data is needed to trigger the order. The fill will happen as long as there is data to fill the order. This is the same as the broker.

However, NinjaTrader will do its best to fill the order according to the volume, while the broker will use actual opposing trades to fill the order.