New Trading Hours for CME Globex  [SOLVED]

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New Trading Hours for CME Globex

Postby mefTrader » 19 Nov 2012

On November 18, 2012 the CME Globex trading day will be revising their trading hours for equity index products (e.g. ES, NQ, YM, etc.).

I am using DTN IQFeed - how can I check that I have the new sessions?

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Re: New Trading Hours for CME Globex

Postby mefTrader » 19 Nov 2012

This is what I am using currently for ES for example - will the closing session change to 16:15 from 15:15

See the attached pic

Here is what is on the CME contract spec. for ES

MON – FRI: 5:00 p.m. previous day – 4:15 p.m.; trading halt from 3:15 p.m. – 3:30 p.m.
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Re: New Trading Hours for CME Globex

Postby TJ » 19 Nov 2012

New CME trading hours

see attachment:
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Andrew MultiCharts
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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 19 Nov 2012

Hello mefTrader,

This article should help you to set required session settings according to the picture above.

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Re: New Trading Hours for CME Globex

Postby TJ » 19 Nov 2012

This is how mine looks like.

YMMV.


Image
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Re: New Trading Hours for CME Globex

Postby mefTrader » 19 Nov 2012

TJ, Is there a quick way to set up all CME instruments to be like that?

Thanks

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Andrew MultiCharts
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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 19 Nov 2012

TJ, Is there a quick way to set up all CME instruments to be like that?

Thanks
Yes. You can find more information here. But you should also take into account that all symbols will use those settings from CME exchange only if Use Exchange and ECN's Settings in symbols properties.

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Re: New Trading Hours for CME Globex

Postby eztraderjr » 19 Nov 2012

This is how mine looks like.

YMMV.


Image

Wouldn't you want the session end to be at 1615 since the exchange will be closed from 1615 until 1700? That way you won't create bars in intraday charts from 1615 until 1700 that are either dojis or just reflect the bid/ask data. Thanks.

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Re: New Trading Hours for CME Globex

Postby TJ » 19 Nov 2012

This is how mine looks like.
YMMV.
Wouldn't you want the session end to be at 1615 since the exchange will be closed from 1615 until 1700? That way you won't create bars in intraday charts from 1615 until 1700 that are either dojis or just reflect the bid/ask data. Thanks.
YMMV means Your Mileage May Vary.

ie. we all do things differently

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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 20 Nov 2012

Here is a screenshot of new correct session settings for CME.
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Re: New Trading Hours for CME Globex

Postby arnie » 20 Nov 2012

Here is a screenshot of new correct session settings for CME.
Please explain why do you build the sessions this way:
  • - Sunday 17:00 > Monday 16:15 (session end)
    - Monday 17:00 > Tuesday 15:15
    - Tuesday 15:30 > Tuesday 16:15 (session end)
and not directly this way?
  • - Sunday 17:00 > Monday 16:15 (session end)
    - Monday 17:00 > Tuesday 16:15 (session end)

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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 20 Nov 2012

According our information new sessions should be:

"Sunday session" starts at 17:00 and ends on Monday at 16:15.
"Monday session" starts at 17:00, then a break on Tuesday at 15:15, continues on Tuesday at 15:30 and ends on Tuesday at 16:15.
"Tuesday session" starts at 17:00, then a break on Wednesday at 15:15, continues on Wednesday at 15:30 and ends on Wednesday at 16:15.
"Wednesday session" starts at 17:00, then a break on Thursday at 15:15, continues on Thursday at 15:30 and ends on Thursday at 16:15.
"Thursday session" starts at 17:00, then a break on Friday at 15:15, continues on Friday at 15:30 and ends on Friday at 16:15.

If you have different information, please let us know. A proof link would be appreciated.

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Re: New Trading Hours for CME Globex

Postby arnie » 20 Nov 2012

According our information new sessions should be:

"Sunday session" starts at 17:00 and ends on Monday at 16:15.
"Monday session" starts at 17:00, then a break on Tuesday at 15:15, continues on Tuesday at 15:30 and ends on Tuesday at 16:15.
"Tuesday session" starts at 17:00, then a break on Wednesday at 15:15, continues on Wednesday at 15:30 and ends on Wednesday at 16:15.
"Wednesday session" starts at 17:00, then a break on Thursday at 15:15, continues on Thursday at 15:30 and ends on Thursday at 16:15.
"Thursday session" starts at 17:00, then a break on Friday at 15:15, continues on Friday at 15:30 and ends on Friday at 16:15.

If you have different information, please let us know. A proof link would be appreciated.
You didn't understand my question Andrew. I was not saying that the sessions were wrong, I was saying/asking why do you include the break when creating the session, why not only include the start and the end? Is there a specific reason?

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Re: New Trading Hours for CME Globex

Postby eztraderjr » 20 Nov 2012

According our information new sessions should be:

"Sunday session" starts at 17:00 and ends on Monday at 16:15.
"Monday session" starts at 17:00, then a break on Tuesday at 15:15, continues on Tuesday at 15:30 and ends on Tuesday at 16:15.
"Tuesday session" starts at 17:00, then a break on Wednesday at 15:15, continues on Wednesday at 15:30 and ends on Wednesday at 16:15.
"Wednesday session" starts at 17:00, then a break on Thursday at 15:15, continues on Thursday at 15:30 and ends on Thursday at 16:15.
"Thursday session" starts at 17:00, then a break on Friday at 15:15, continues on Friday at 15:30 and ends on Friday at 16:15.

If you have different information, please let us know. A proof link would be appreciated.

From what I have read, Monday has a break from 1515-1530 as well as Tues, Wed, Thur, Fri.

Here is the CME link http://www.cmegroup.com/trading/equity- ... tions.html

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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 21 Nov 2012

We used the information from this link. Please let me know if we interpreted it incorrectly.

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Re: New Trading Hours for CME Globex

Postby mefTrader » 21 Nov 2012

Seems to be a lot of confusion here - can MC give us a patch , a file to import?

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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 21 Nov 2012

Once we come a final decision what session settings are the correct ones, i will be able to set them in CME Exchange and export as a .qmd file, so everyone who imports the that file will have new session of CME exchange in QuoteManager (what doesn't mean: "all symbols with CME exchange in QuoteManager will have new session settings", because it depends on what source is used for symbols sessions).

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Re: New Trading Hours for CME Globex

Postby ABC » 21 Nov 2012

We used the information from this link. Please let me know if we interpreted it incorrectly.
Andrew,

from what I understand, if you split the sessions during the trading day, you are missing the second session on Monday. It should be like on the other days, too i.e. Sunday 17:00 to Monday 15:15, Monday 15:30 - to Monday 16:15 and Monday 17:00 to Tuesday 15:15.

If you are only looking at the trading days, it will span from 17:00 previous day to 16:15 the current day.
The information is based on this PDF: http://www.cmegroup.com/education/files ... limits.pdf

Regards,
ABC

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Re: New Trading Hours for CME Globex

Postby Meecc » 16 Dec 2012

Once we come a final decision what session settings are the correct ones, i will be able to set them in CME Exchange and export as a .qmd file, so everyone who imports the that file will have new session of CME exchange in QuoteManager (what doesn't mean: "all symbols with CME exchange in QuoteManager will have new session settings", because it depends on what source is used for symbols sessions).
Have we progress on this issue?

Thank you sir ...

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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 17 Dec 2012

This should be the correct setup:

Image

If the 3:15 p.m. - 3:30 p.m break is required, it should be added individually.

P.S. On the screenshot "Use Custom Sessions" is selected. If you make such setup in the symbol root or exchange settings, you can select respective option.

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Re: New Trading Hours for CME Globex

Postby TJ » 17 Dec 2012

This should be the correct setup:

Image

If the 3:15 p.m. - 3:30 p.m break is required, it should be added individually.

P.S. On the screenshot "Use Custom Sessions" is selected. If you make such setup in the symbol root or exchange settings, you can select respective option.
I would prefer to add the 3:15 p.m. - 3:30 p.m break,
otherwise MultiCharts will keep searching for the data during reload.

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Re: New Trading Hours for CME Globex

Postby DRCM » 17 Dec 2012

This should be the correct setup:

Image

If the 3:15 p.m. - 3:30 p.m break is required, it should be added individually.

P.S. On the screenshot "Use Custom Sessions" is selected. If you make such setup in the symbol root or exchange settings, you can select respective option.
Hi Andrew,

I think the right setup will be if you change the first line of session to Sunday 17:00-Monday 15:15 and add one extra Monday 15:30-Monday16:15 session. Rest of the setup looks OK.

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Re: New Trading Hours for CME Globex  [SOLVED]

Postby Andrew MultiCharts » 20 Dec 2012

Got confirmation from CME:
S&P Mini 500 Futures & Options have break between 15:15- 15:30 CT Monday thru Friday.
New sessions:
Image

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Re: New Trading Hours for CME Globex

Postby escamillo » 20 Dec 2012

So what happens if you do NOT include the break into the custom time session? Strats will stay active and if have time adjustments they will adjust during the 15 minute break time?
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Re: New Trading Hours for CME Globex

Postby Andrew MultiCharts » 20 Dec 2012

So what happens if you do NOT include the break into the custom time session? Strats will stay active and if have time adjustments they will adjust during the 15 minute break time?
Nothing, in fact. If there is no new data coming from data source = there is no script calculation (except for 1 calculation triggered when MC forces the current opened bar to close after 5 minutes (default value) without new tick).


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