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» XGU19 data
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| Author | Topic: XGU19 data (4 messages, Page 1 of 1) |
 Svancara -Interested User- Posts: 7 Joined: Dec 31, 2008 |
Posted: Jun 13, 2019 06:01 AM
Msg. 1 of 4
Can you please verify data of the XGU19?
I thnik there is something wrong there. Maybe trading hours or data itself. I believe trading hours are 02:10-22:00 CEST (= 20:10 - 16:00 EDT) but your data does not look like that. Thank you. 6/10/2019 1:41:00 PM 12092.50 12092.50 12092.50 12092.50 1232 6/10/2019 1:44:00 PM 12090.50 12090.50 12090.50 12090.50 1233 6/10/2019 2:02:00 PM 12070.00 12070.00 12070.00 12070.00 1234 6/10/2019 8:47:00 PM 12072.50 12072.50 12072.50 12072.50 1 <------ Volume = 1 means 8:47:00 PM is ~opening time 6/11/2019 1:20:00 AM 12107.00 12107.00 12107.00 12107.00 2 <------- next trade after ~5 hours after open? 6/11/2019 1:51:00 AM 12110.50 12111.00 12110.50 12110.50 5 6/11/2019 1:52:00 AM 12111.00 12115.00 12111.00 12115.00 9 6/11/2019 1:56:00 AM 12120.00 12120.00 12120.00 12120.00 10 Similarly next opening time: 6/11/2019 3:25:00 PM 12125.50 12125.50 12125.50 12125.50 1149 6/11/2019 3:48:00 PM 12130.50 12130.50 12130.50 12130.50 1150 6/11/2019 3:59:00 PM 12129.50 12129.50 12129.50 12129.50 1151 6/12/2019 1:50:00 AM 12089.50 12089.50 12089.50 12089.50 1 <-------- Volume = 1 means 1:50:00 AM is ~opening time 6/12/2019 1:57:00 AM 12080.00 12080.00 12080.00 12080.00 3 6/12/2019 2:01:00 AM 12078.50 12078.50 12078.50 12078.50 4 Other days: 6/3/2019 3:46:00 PM 11712.50 11712.50 11712.00 11712.00 398 6/3/2019 3:52:00 PM 11720.50 11721.00 11720.50 11721.00 401 6/3/2019 3:57:00 PM 11729.50 11729.50 11729.00 11729.00 404 6/4/2019 1:32:00 AM 11729.00 11729.00 11729.00 11729.00 1 <-------- Volume 1:32:00 AM .... open 6/4/2019 1:33:00 AM 11726.00 11726.00 11726.00 11726.00 2 6/4/2019 2:02:00 AM 11734.00 11734.50 11734.00 11734.50 5 6/4/2019 3:37:00 PM 11955.50 11955.50 11954.00 11954.00 914 6/4/2019 3:42:00 PM 11957.00 11957.00 11957.00 11957.00 915 6/4/2019 3:49:00 PM 11961.50 11961.50 11961.50 11961.50 916 6/4/2019 9:12:00 PM 12000.00 12001.00 12000.00 12001.00 3 <-------- 9:12:00 PM open?????? 6/5/2019 1:42:00 AM 11979.50 11979.50 11979.50 11979.50 4 <------- next trade after 5,5 hours ater open? 6/5/2019 2:02:00 AM 11970.00 11970.00 11968.00 11968.00 7 |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014 
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Posted: Jun 13, 2019 06:33 AM
Msg. 2 of 4
We are investigating XGU19 and I will respond the moment I have a complete answer. Please be aware the current front month is still June or XGM19 where a majority of volume is currently at.
Stephen Shockey Customer Support Representative DTN 800-779-7299 stephen.shockey@dtn.com 9110 W Dodge Rd Omaha NE 68114, USA www.dtn.com |
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altmany -Interested User- Posts: 73 Joined: Jul 30, 2018 
IQML - IQFeed-MATLAB connector |
Posted: Jun 13, 2019 06:48 AM
Msg. 3 of 4
These may be trades done outside regular trading hours (RTH), not via the regular electronic market. The low volume (quantity/size) highlights the difference between such trades (which are infrequent) and trades during normal trading hours.
If you run a streaming query and check the reported MessageContents and TradeCondition fields, you'll probably see that they contain codes that correspond to "Extended/Form-T Trade" (https://www.investopedia.com/terms/f/formt.asp) i.e., traded outside RTH. Some IQFeed queries have the ability to set a filter (BeginFilterTime, EndFilterTime) that limit the reported results to a specific daily time range (for example, 9:30am to 4pm) - you can set it up so that extended trades are not reported. Yair Altman IQML - IQFeed-MATLAB connector https://UndocumentedMatlab.com/IQML I am not a DTN employee; my post reflects my personal opinion |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014
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Posted: Jun 13, 2019 08:37 AM
Msg. 4 of 4
We have verified XGU19 data as correct.
We compared the closing bar of 6/11 and the open bar of 6/12 and confirmed this data was correct. Please keep in mind the June contract XGM19 has more than 10 times the volume of XGU19 currently. Stephen Shockey Customer Support Representative DTN 800-779-7299 stephen.shockey@dtn.com 9110 W Dodge Rd Omaha NE 68114, USA www.dtn.com |
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