closing auction of Eurex futures(eSignal)  [SOLVED]

Hi,

I work with eSignal data for the DAX Index Future, March contract, at Eurex (eSignal symbol AX H4-DT).

The session runs from 8:00 to 22:00 CET with a closing auction during the first few minutes past 22:00. The last tick before 22:00 was 2 contracts at 9550.00. The closing aution was 20 contracts at 9550.50 and eSignal transmitted that tick at 22:03:36. The attached screenshots show the eSignal time and sales window just before 22:00 and before the closing auction tick.

I have configured the eSignal symbol AX H4-DT in the Quote Manager both with an 8:00-22:00 session and with an 8:00-22:30 session (in order to give MC a chance to pass me the tick of the closing auction). In both cases, the last tick recognized by the Quote Manager (trade field, tick resolution) is the 9550.00 (2 contracts) just before 22:00, and in both cases, this is the tick that is reported to my strategy with BarStatus=2. The closing auction price at 9550.50 is never reported.

Obviously, it is a policy choice whether MC reports the last in-session tick before 22:00 as the "close" or whether it uses the closing auction as the "close" of the bar. Most if not all Eurex futures have such a closing auction btw.

This observation raises the following questions:
1) Where do you document your choices about the treatment of ticks, i.e. your decision to ignore the closing auction although eSignals transmits a tick?
2) How can I configure the behaviour of MC and insist on receiving that tick?

PS: Another eSignal related warning. If you later display daily bars from eSignal, the "close" field is neither the last tick before 22:00 nor the closing auction, but the official "settlement price" that is determined just before 17:30 CET. Yesterday this was 9537.00.

Thanks for your attention.

HPF

Hello HPF,

eSignal provides daily bars as fixed OHLC values with the session settings defined on their end.
The session settings in MultiCharts do affect the daily bar price values.

In MultiCharts 8.8 we have added an option for eSignal feed “use settlement price for daily bars”. You can find the option in QuoteManager-Tools->Data sources->eSignal->Settings.
You will need to reload the eSignal daily charts to have the new option come into effect.

Thanks, any comments on the Eurex closing auction?

HPF

HPF, can you see the tick at 22:03:36 on a chart (not in Time and Sales) in eSignal desktop?

Yes, the eSignal application does show the closing auction.

(In my first posting above, I forgot to mention that the example was the DAX Future at Eurex, March contract, eSignal symbol AX H4-DT, on March 5, 2014.)

The attached screenshot is the eSignal tick chart on that day around 22:00 Frankfurt time. You can see the regular ticks (less than 5 contracts each) just before 22:00 and then a single tick at 22:03:36 with 20 contracts - that's the closing auction. Blue and green are ask and bid, and the light blue dots are the ticks. Note that not all ticks reflect actual trades. For example, there are a number of zero-volume ticks between 22:00 and 22:03:36 - these are the indicative auction prices that are reported by the exchange while the auction is in progress and people can still submit or cancel orders. These are precisely the ticks shown in the first attachment to my first posting above.

Kind regards,

HPF

HPF, we will study this case.

HPF, we were able to successfully receive the eSignal closing auction ticks after 22.00 using MultiCharts 8.8 Release 8592/8593.
Are you using a chart or Collect RT data w/o plotting option of QuoteManager to get realtime data from eSignal ? If you are using a chart - please make sure the chart sessions are configured properly.

Go to Format->Instrument->Settings tab->check what Session is selected for the chart.
If it is set to "Default" then go to MultiCharts->File->New->QuoteManager window->double click on the symbol you need->Sessions tab->you can modify the session time here. Copy/paste your existing chart or create a new one to apply the changes in session settings.
If a custom session template is used go to MultiCharts->File->New->QuoteManager window->Tools->Session templates.

Thanks - I did some testing during the past few days.

If I use a session from 8:00 to 22:30 and a 5-minute chart, say, of eSignal AX H4-DT, the chart indeed receives the closing auction as an additional tick around 22:03 (which then becomes part of the 22:05 bar, say).

On a daily chart that is drawn using live data as opposed to reloading the chart, the closing auction is missing though, and the "close" price of the daily bar is the price of the last in-session tick. Once you reload the chart, the "close" prices of all past bars are changed to the prices of the closing auction.

The same inconsistent behaviour arises when I apply a strategy to a daily chart of eSignal AX H4-DT. I use intra-bar order generation for past bars (backtest) and then live generation of signals during which for each tick during the session, my strategy receives an update to the daily bar of that session.

During live generation of signals, the first bar per session has BarStatus=0 and O=H=L=C=opening price. Every further tick during the session has BarStatus=1 and O=opening price, H=high between open and current tick, L=low between open and current tick, C=price of that tick. As I understand it, after session close, there ought to be a final update to the daily bar with BarStatus=2 and the true O,L,H,C prices of the entire session.

This final tick with BarStatus=2 is sent quite a while after session close (that's fine), but its "close" field is the last tick during the regular session before 22:00, but not the price of the closing auction.

I have the following strategy applied to a daily chart of AX H4-DT with 24/7 sessions in order to be able to capture all ticks. On Monday, March 17, 2014, around 22:00 this strategy wrote the following log file: With a session 8:00 to 22:30, the result is the same (except that the tick with BarStatus=2 arrives around 22:45 then).

The problem with the BarStatus=2 tick is that C=9191.00 is the price of the last in-session tick just before 22:00 rather than the price of the closing auction which was 9191.50.

I am attaching the eSignal time and sales for comparison.

MultiCharts' present behaviour is inconsistent because a live generated daily chart has the last in-session tick as its "close" field whereas the reloaded daily chart has the closing auction as its "close" field.

Thanks for your help,

HPF

We are using 845min (with session settings 8am - 10.05pm) charts for EUREX symbols instead of "daily" charts.

Thanks for that suggestion, LinxDeb, I'll try it (although it ought to be unnecessary to use such weird work-arounds).

Kind regards,

HPF

HPF, we continue the analysis of this case on our end. In the meantime you can use the workaround provided by LinxDeb or enable the option "Build from minutes" in Format->Instrument->Settings tab.

Eventually, we need the closing auction to work in the following setting.

The chart has daily bars and is a combination of historical data (ASCII mapping) and live data (eSignal). The ASCII mapped data is a custom made continuous future with rolling on specific days, everything checked manually. I would rather live with a few points discrepancy between the (faulty) live daily bars and the actual closing auction than give up the high quality historical time series.

With the combination of historical ASCII mapping plus live eSignal data, unfortunately, I can neither use the 845 minute session nor the daily bars built from minutes.

HPF

Hello,

there is an very fine adjusted DAX Future from eSignal AX1!-DT.

Can you insert this in the Database?

Best regards
Kinko

HPF,

1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About) Have you installed any Updaters on it?
2) What is the version of eSignal DataManager you are running ?

Please send me (support@multicharts.com) the following information for further investigation:
- workspace you are using;
- in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
- create a screenshot of QuoteManager->Tools->Data sources->eSignal->Settings.

Just to close this case, I can report that the problems disappeared when we did a fresh installation of MC64 V 8.8 build 8967 on a newly setup virtual machine. When we updated existing versions of MC or when we uninstalled MC and then installed a new version on an existing machine, however, the issue remained unsolved. So I conslude that some version(s) prior to 8.8 left some remnants somewhere on the computer that caused the updated version to run with the wrong session times.

Best regards,

HPF