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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Understanding intraday vs EOD futures data
Author Topic: Understanding intraday vs EOD futures data (3 messages, Page 1 of 1)

darkpool
-Interested User-
Posts: 9
Joined: Jul 17, 2015


Posted: Aug 12, 2015 08:29 AM          Msg. 1 of 3
Hi,

In terms of continuous contracts, if I request 1 day of EOD data using HDT for @ES# on 2014-01-28 I will get:
Open: 1771.25
High: 1797.00
Low: 1771.00
Close: 1788.25

If a request 1 minute (60 second) data for the same day of @ES# data using HIT, but requesting data for the entire day (24hrs):
the high of the day is: 1801.25
the low of the day is: 1775.50

Am I correct that requesting daily bars using HDT returns the RTH session?

How can the low of the day for the intraday 60second data which includes the entire 24hour day, be higher than the RTH session low. According the 60second data, the market never traded as low as 1771.00. Also, the 60second high of day is lower than the RTH high of day.

What am I not understanding? Is it something to do with back adjusting?

darkpool
-Interested User-
Posts: 9
Joined: Jul 17, 2015


Posted: Aug 12, 2015 10:06 AM          Msg. 2 of 3
Here's a screenshot to illustrate my question. It contains a 5minute chart for the entire 24hour period of 2014-01-28 and a smaller image within of the daily bar.

Please could someone reply.



File Attached: 3.png (downloaded 1857 times)

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Aug 12, 2015 12:28 PM          Msg. 3 of 3
Darkpool
Since the e-mini S&P is exclusively a electronic the term RTH may not be correct.
Here is the trading hours from the CME web site in Central time:
Trading Hours MON – FRI: 5:00 p.m. previous day – 4:15 p.m.; trading halt from 3:15 p.m. – 3:30 p.m.

Our data does comes in with an Eastern Time stamp so the time for the data is 18:00 on 1-27-2014 through 17:15 on 1-28-2014 for the daily bar data.
For the intraday data of any minute data you may need to look at the OHLC the same as the daily stamp.

Loren
 

 

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