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keenTester has contributed to 3 posts out of 21191 total posts (0.01%) in 2,852 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » Future symbols open close data calculations Jul 14, 2016 11:12 AM (Total replies: 5)

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

Data and Content Support » Future symbols open close data calculations Jul 14, 2016 08:43 AM (Total replies: 5)

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

Data and Content Support » Future symbols open close data calculations Jul 14, 2016 07:16 AM (Total replies: 5)

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


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