Allow Trading sessions longer than 24 hours

Questions about MultiCharts and user contributed studies.
Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Allow Trading sessions longer than 24 hours

Postby Boon Lee Quah » 23 Jan 2008

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.

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 24 Jan 2008

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.

2haerim
Posts: 502
Joined: 01 Sep 2006
Been thanked: 2 times

24 housr session differ from TS8?

Postby 2haerim » 24 Jan 2008

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?

Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Postby Boon Lee Quah » 24 Jan 2008

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
Attachments
Euro FX Jan 4-7 2008.txt
(964.89 KiB) Downloaded 22 times
Euro FX Jan 18-21 2008.txt
(1.03 MiB) Downloaded 23 times

2haerim
Posts: 502
Joined: 01 Sep 2006
Been thanked: 2 times

Correct 24 hours session?

Postby 2haerim » 24 Jan 2008

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.

Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Postby Boon Lee Quah » 25 Jan 2008

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.

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 28 Jan 2008

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.

Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Postby Boon Lee Quah » 28 Jan 2008

Marina,

From your reply, it's not clear to me if you will be looking into my original problem of handling CME FX futures' Sun to Mon 25-hour session. Will you and how long do you think it'll take before a solution is found?

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 28 Jan 2008

Dear Boon Lee,

Are you sure that this is a 25 hour session, not a 1-hour one? We studied this issue and TS does not have 25 hour sessions. Do you know if there is software that plots sessions that are longer than 24 hours?


Regards.

Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Postby Boon Lee Quah » 29 Jan 2008

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:
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

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?
Attachments
2008 CME Group FX Product Guide and Calendar.pdf
(1.55 MiB) Downloaded 27 times

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 29 Jan 2008

Thank you for the schedule.

We will look into this issue. Sessions in QuoteManager were designed with the assumption in mind that trading sessions can't be longer than 25 hours. It now turns out that they can, so we need to double-check everything.

Thank you.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 02 Mar 2008

Is this features enable to MC 3?

Boon Lee Quah
Posts: 9
Joined: 25 Aug 2007

Postby Boon Lee Quah » 17 Apr 2008

Marina,

Any update on this issue?


Return to “MultiCharts”