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»Forums Index »Product Support »Data and Content Support »Future symbols open close data calculations
Author Topic: Future symbols open close data calculations (6 messages, Page 1 of 1)

keenTester
-Interested User-
Posts: 3
Joined: Jul 14, 2016


Posted: Jul 14, 2016 07:16 AM          Msg. 1 of 6
I noticed the open/close price from the daily data for future contract is different from open/close price from the minutes data. For example, the open price in daily data is neither the same open price from minute data at the beginning of the day, nor last close price at 12 midnight from previous trading day. For example, @ESU16, the daily price on July 12 is Open: 2130.75, close: 2145.75. in the minute data, the ones match this open price is around 23.34 from previous day. Can you explain how do you pick the open/ close price for daily Futures contract?

kt

DTN_Stephen
-DTN Evangelist-
Posts: 128
Joined: Aug 22, 2014


Posted: Jul 14, 2016 08:06 AM          Msg. 2 of 6
The Open price is based on the first trade for that session at 18:00 on the the previous day.

The Close price is based on the Settle price that the exchange sends through between 16:15-16:30 EST.

EDIT: For accuracy

Open/Close price for minute data will be based on the interval. In a one minute chart that open and close price will be based on the previous one minute interval first and last trade.


Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

Edited by DTN_Stephen on Jul 14, 2016 at 09:55 AM

keenTester
-Interested User-
Posts: 3
Joined: Jul 14, 2016


Posted: Jul 14, 2016 08:43 AM          Msg. 3 of 6
how do you define the "Session"? For example, for daily future data,@ESU16, the trading session is as below. What time do you get the open data for the session?
Regular Trading Session:
08:30 CST - 15:15 CST (14:30 GMT - 21:15 GMT)    

Total Available Hours:
17:00 CST - 15:15 CST (23:00 GMT - 21:15 GMT)
15:30 CST - 16:00 CST (21:30 GMT - 22:00 GMT)

kt

DTN_Stephen
-DTN Evangelist-
Posts: 128
Joined: Aug 22, 2014


Posted: Jul 14, 2016 09:53 AM          Msg. 4 of 6
7/13/2016 Daily
Open: 2145.75
Close: 2146.00

7/12/2016
Session Open 18:00:00 EST
1st tick of that session is 2145.75 creating the open price for the session of 7/13/16

Session Close 16:15 EST
During the maintenance period 16:15 - 16:30 EST the exchange will send through the Trade Condition: Settle
Tick 16:21:02 SETTLE 2146.00

Hopefully this clarifies the way the daily prices are set.

Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

keenTester
-Interested User-
Posts: 3
Joined: Jul 14, 2016


Posted: Jul 14, 2016 11:12 AM          Msg. 5 of 6
Thanks for your reply. Based on your reply, the daily close price will be the last tick before the end of each maintenance period. for ES, Session Close 16:15 EST, it will be the last tick before 16.30. Am I right?

kt

DTN_Tim Walter
-DTN Guru-
Posts: 1222
Joined: Apr 25, 2006


Posted: Jul 14, 2016 11:44 AM          Msg. 6 of 6
Hi keenTester,

I just wanted to interject here for a moment, if you are a developer, with a subscription to our API there are flags you can use to detect this within our feed. So if so, please reach out to me via the email or chat links located on the developer website and I can help you to best automate the building of the bars. Otherwise, a time based estimation as you have mentioned is probably going to be your best route, but no guarantee of that could be made.

Tim
 

 

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