Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"Excellent datafeed !!!" - Comment from Arely
"I had always used ******* but for the past 2 weeks have been trying DTN IQFeed. Customer support has been extraordinary. They call just to make sure your problem hasn't recurred." - Comment from Public Forum
"Thanks for the great product and support. During this week of high volume trading, my QuoteTracker + IQ Feed setup never missed a beat. Also, thanks for your swiftness in responding to data issues. I was on ******* for a few years before I made the switch over early this year, and wish I had done it a long time ago." - Comment from Ken
"You have an excellent product !!!!!!" - Comment from Arely
"The people at Nirvana have very nice things to say about your company and I can see why! Price and service is a potent combination." - Comment from Ed
"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"If you want customer service that answers the phone, your best bet is IQFeed. I cannot stop praising them or their technical support. They are always there for you, and they are quick. I have used ****** too but the best value is IQFeed." - Comment from Public Forum
"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»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: 140
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: 140
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: 1238
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
 

 

Time: Wed February 20, 2019 1:29 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003