Hi,
In QuoteManager, a trading session cannot be set to be longer than 24 hours. However, on CME Globex, Euro FX (6E) futures trade from 15:00 on Sunday to 16:00 on Monday, ie 25 hours. This means that the session has to be broken down to two sessions in MultiCharts. Hope this can be fixed soon.
Allow Trading sessions longer than 24 hours
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hello,
I am afraid 25 hour sessions are impossible by definition. If sessions longer than 24 hours existed, daily bars would be impossible (with the close of one daily bar being within the next day's bar etc).
There are two explanations to the session hours you are referring to:
1) On holidays and Sundays the sessions only last for one hour (15:00 to 16:00).
2) Or maybe there is a mistake on the cme website.
We double-checked the sessions with TS, they have standard sessions from 17:00 one day till 16:00 the next day - for all the days of the week, including Sundays. No abnormal 25 hour sessions.
Best regards.
I am afraid 25 hour sessions are impossible by definition. If sessions longer than 24 hours existed, daily bars would be impossible (with the close of one daily bar being within the next day's bar etc).
There are two explanations to the session hours you are referring to:
1) On holidays and Sundays the sessions only last for one hour (15:00 to 16:00).
2) Or maybe there is a mistake on the cme website.
We double-checked the sessions with TS, they have standard sessions from 17:00 one day till 16:00 the next day - for all the days of the week, including Sundays. No abnormal 25 hour sessions.
Best regards.
24 housr session differ from TS8?
There seems to be a little difference between TS8's session and MC's when we try to define 24 hours sessions.
In TS8, 24 hours are defined from 12:00AM to 12:00AM which is truly 24 hours. It is 00:00 - 24:00 in 24 hours format.
However, in MC, 24 hours can only defined as 00:00 - 23:59. MC's definition misses the last minute period. That is, 23:59:00 - 24:00:00.
Why MC did not define just like TS8 so that it covers full 24 hours?
In TS8, 24 hours are defined from 12:00AM to 12:00AM which is truly 24 hours. It is 00:00 - 24:00 in 24 hours format.
However, in MC, 24 hours can only defined as 00:00 - 23:59. MC's definition misses the last minute period. That is, 23:59:00 - 24:00:00.
Why MC did not define just like TS8 so that it covers full 24 hours?
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- Posts: 9
- Joined: 25 Aug 2007
Hi Marina,
Euro FX trading hours on CME Globex are from Mondays to Thursdays, 17:00 one day till 16:00 the next day and Sundays 15:00 to Mondays 16:00. This can be verified on CME's website at cmegroup.com/tools-information/trading-hours.html
I've also used QuoteManager to export actual data to show that trading does in fact start from 15:00 on Sundays and continue to 16:00 on Mondays. One file contains data from Jan 4 (Fri) 15:50 to Jan 7 (Mon) 17:10 and the second contains data from Jan 18 (Fri) 15:10 to Jan 21 (Mon) 17:10. Note that Jan 4 to Jan 7 was a normal weekend, so trading closed at 16:00 on Jan 4, opened at 15:00 on Jan 6 then closed at 16:00 on Jan 7 before opening again at 17:00. However, Jan 21 was Martin Luther King day, so trading closed at 15:15 on Jan 18, opened at 15:00 on Jan 20, closed at 12:00 on Jan 21 before opening again at 17:00.
Weekday sessions are indeed 23 hours long but Sun to Mon session is 25 hours. So what's the solution?
As for 2haerim's question, I believe the answer is to define as 00:00 to 00:00 which is accepted by QuoteManager and will not miss the last minute.
Regards
Euro FX trading hours on CME Globex are from Mondays to Thursdays, 17:00 one day till 16:00 the next day and Sundays 15:00 to Mondays 16:00. This can be verified on CME's website at cmegroup.com/tools-information/trading-hours.html
I've also used QuoteManager to export actual data to show that trading does in fact start from 15:00 on Sundays and continue to 16:00 on Mondays. One file contains data from Jan 4 (Fri) 15:50 to Jan 7 (Mon) 17:10 and the second contains data from Jan 18 (Fri) 15:10 to Jan 21 (Mon) 17:10. Note that Jan 4 to Jan 7 was a normal weekend, so trading closed at 16:00 on Jan 4, opened at 15:00 on Jan 6 then closed at 16:00 on Jan 7 before opening again at 17:00. However, Jan 21 was Martin Luther King day, so trading closed at 15:15 on Jan 18, opened at 15:00 on Jan 20, closed at 12:00 on Jan 21 before opening again at 17:00.
Weekday sessions are indeed 23 hours long but Sun to Mon session is 25 hours. So what's the solution?
As for 2haerim's question, I believe the answer is to define as 00:00 to 00:00 which is accepted by QuoteManager and will not miss the last minute.
Regards
- Attachments
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- Euro FX Jan 4-7 2008.txt
- (964.89 KiB) Downloaded 334 times
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- Euro FX Jan 18-21 2008.txt
- (1.03 MiB) Downloaded 331 times
Correct 24 hours session?
Hi Boon Lee Quah,
Thanks for kind answer for my question. Have you test both 00:00 - 23:59 and 00:00 - 00:00 as 24 hours session? Do you find the latter works perfect? I would test it myself but at least would also like to hear about your test result.
Hi Marina,
Please confirm Boon Lee Quah's assertion for 24 hours session.
If that is true, why you guys define 24 hours session as 00:00 - 23:59, not 00:00 - 00:00? If that is true, you should change all those 24 hours sessions built in QM before distribution.
It is confusing.
Thanks for kind answer for my question. Have you test both 00:00 - 23:59 and 00:00 - 00:00 as 24 hours session? Do you find the latter works perfect? I would test it myself but at least would also like to hear about your test result.
Hi Marina,
Please confirm Boon Lee Quah's assertion for 24 hours session.
If that is true, why you guys define 24 hours session as 00:00 - 23:59, not 00:00 - 00:00? If that is true, you should change all those 24 hours sessions built in QM before distribution.
It is confusing.
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- Posts: 9
- Joined: 25 Aug 2007
2haerim,
To be clearer, I find the setting below works:
Open: Mon 00:00; Close: Tue 00:00
Open: Tue 00:00; Close: Wed 00:00... so forth
OR
Open: Mon 17:00; Close: Tue 17:00
Open: Tue 17:00; Close: Wed 17:00... so forth
However, the system would not allow,
Open: Sun 15:00; Close: Mon 16:00
which is my problem.
Checking at the CME website again, it appears that all the CME FX futures products have this 25-hour Sun to Mon session. I've not used other charting programs before so I've no idea how other programs handle this...? I hope Marina can look into this.
To be clearer, I find the setting below works:
Open: Mon 00:00; Close: Tue 00:00
Open: Tue 00:00; Close: Wed 00:00... so forth
OR
Open: Mon 17:00; Close: Tue 17:00
Open: Tue 17:00; Close: Wed 17:00... so forth
However, the system would not allow,
Open: Sun 15:00; Close: Mon 16:00
which is my problem.
Checking at the CME website again, it appears that all the CME FX futures products have this 25-hour Sun to Mon session. I've not used other charting programs before so I've no idea how other programs handle this...? I hope Marina can look into this.
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hello,
Actually what you are saying is quite correct and logical. We are going to test 0:00 to 0:00 (or 24:00 to 24:00) sessions and see how they work. The problems with these sessions are:
1.How do you decide when one session ends and the next one begins?
2. What session will a bar be included in?
We need to run a number of tests to see what could be the ways to resolve these problems..
Thank you for drawing our attention to these issues.
Regards.
Actually what you are saying is quite correct and logical. We are going to test 0:00 to 0:00 (or 24:00 to 24:00) sessions and see how they work. The problems with these sessions are:
1.How do you decide when one session ends and the next one begins?
2. What session will a bar be included in?
We need to run a number of tests to see what could be the ways to resolve these problems..
Thank you for drawing our attention to these issues.
Regards.
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- Posts: 9
- Joined: 25 Aug 2007
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
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- Posts: 9
- Joined: 25 Aug 2007
Dear Marina,
Did you see my earlier reply where I attached two files with data to show that trading does in fact open at 15:00 on Sunday and close at 16:00 on Monday?
In this post, I've attached "2008 CME Group FX Product Guide and Calendar" which clearly states under General Information on page 1 and I quote:
Did you see my earlier reply where I attached two files with data to show that trading does in fact open at 15:00 on Sunday and close at 16:00 on Monday?
In this post, I've attached "2008 CME Group FX Product Guide and Calendar" which clearly states under General Information on page 1 and I quote:
As I said in another earlier reply, I've not used other charting software (including TS) before and have no idea how they handle this, but it is a fact that CME FX futures trade from 15:00 on Sunday to 16:00 on Monday for the Monday session! Only the Monday session is 25 hours long, the Tuesday to Friday sessions are 23 hours long, opening at 17:00 the previous day and closing at 16:00 on the trade date. There is no overlapping of one session and another. Is it possible to make QM disregard the length of an individual session as long as sessions do not overlap with one another?Trading Hours in Central Time (CT)
CME Globex Electronic Markets: Sunday – Opens at 3:00 p.m. (for the next trade date) to 4:00 p.m. the following day. Monday through Friday – Opens at 5:00 p.m. (for the next trade date) to 4:00 p.m. the next day. Except on Friday – Closes at 4:00 p.m. and reopens Sundays at 3:00 p.m.
Open Outcry: 7:20 a.m. – 2:00 p.m. Monday through Friday
- Attachments
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- 2008 CME Group FX Product Guide and Calendar.pdf
- (1.55 MiB) Downloaded 164 times
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007