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»Forums Index »Product Support »Data and Content Support »Incorrect daily bars for @TFS
Author Topic: Incorrect daily bars for @TFS (6 messages, Page 1 of 1)

Xyzzy
-Interested User-
Posts: 10
Joined: Feb 6, 2011


Posted: Sep 22, 2012 05:17 PM          Msg. 1 of 6
I'm using IQFeed with MultiCharts. I noticed what appears to be a bug with the daily bars for both @TFS and @TFS#C.

Specifically, the daily bars appear to be reporting a "close" time of 18:00 Exchange Time (i.e., Eastern Time). However, the actual closing time should be 16:15 Eastern Time, as explained here:

"Daily Settlement: The volume-weighted average price of all electronic trades transacted in the closing session (16:14 to 16:15 ET)."

https://www.theice.com/productguide/ProductSpec.shtml;jsessionid=AA7E20A9A74CA75CAB1EF8635C4C39E2?specId=86

I.e., the official trading hours for this symbol are from 20:00 ET to 18:00 ET, but 16:15 ET is considered to be the official closing time. This is consistent with the other e-mini contracts, like @ES, which also close at 16:15 ET.

There might be similar problems for other ICE symbols -- I haven't checked.

Can this be fixed? Thank you.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 24, 2012 07:46 AM          Msg. 2 of 6
Hello Xyzzy,

I will check with our Market Data Services and be back with a reply. Thanks.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 24, 2012 08:40 AM          Msg. 3 of 6
Hello again,

Even though it may appear that the close of the daily bar is coming from the 18:00 price, the daily settlement price actually comes from the exchange and, as you point out, is based on the 16:15 time - even though prices continue trading until 18:00. The official settlement price is usually released by the exchange 10 minutes (or so) after 16:15 and that is what is used for the close field in our daily data.

Xyzzy
-Interested User-
Posts: 10
Joined: Feb 6, 2011


Posted: Sep 24, 2012 04:45 PM          Msg. 4 of 6
Thanks Todd. I reloaded the data, and it looks like the timestamp has been updated to show "16:15" as the correct daily bar time.

Xyzzy
-Interested User-
Posts: 10
Joined: Feb 6, 2011


Posted: Sep 24, 2012 04:59 PM          Msg. 5 of 6
I misspoke -- actually, the daily bars are now showing a closing time of 15:15, not 16:15, even though they are showing closing prices as of 16:15. This could throw off the results for people who are using this data for backtesting. Could this be fixed, so that the daily bars show the correct closing time of 16:15?

DTN_Steve_S
-DTN Guru-
Posts: 2088
Joined: Nov 21, 2005


Posted: Sep 24, 2012 05:02 PM          Msg. 6 of 6
Are you talking about the time portion of the timestamp in the data returned from the daily history requests?

If so, then that timestamp is simply your local PC time when the first datapoint is returned and should be ignored.
 

 

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