Asian futures daily bars

Discussion in 'Index Futures' started by cmaxb, Aug 12, 2019 at 4:24 PM.

  1. cmaxb

    cmaxb

    hello, i notice daily bars for asian markets are based on US hours for US traders. is there anywhere to get daily chart for sgx, hkfe, jpx, krx where only one bar per day that starts from asian morning session (what would be the evening on US east coast) ?

    for instance, HSI shows one new bar at start of day (hong kong time), then a 2nd new bar for afternoon session, since it's actually a new day (after midnight in US)
     
  2. Metamega

    Metamega

    Might help if you mention your platform/data source.

    Generally in my experience most platforms have a time setting somewhere and hopefully for specific symbols.
     
  3. cmaxb

    cmaxb

    sorry, clarification :

    US. east coast
    sunday 9 pm - midnight = morning session, start of new daily bar
    monday 1 am - 4 am = afternoon session
    monday 5 am - 3 pm = evening extended session, start of new daily bar for U.S. traders (incorrect)
    monday 9 pm - midnight = morning session (new daily bar should start at this point)
     
  4. Metamega

    Metamega

    I meant your charting software. I know for instance with Amibroker it’s required to set time zones depending on timestamps of data. This becomes important when using for instance 1min data and trying to compress to daily bars. Need to set time zones, timestamps, hours of trading, extended hours time.

    Ask your charting/data provider for details.
     
  5. maxinger

    maxinger

    It depends on your charting software.

    Some allow you to adjust to whatever you want.
    Some don't.
     
  6. cmaxb

    cmaxb

    i've seen the same behavior from sierra chart (based on barchart.com data) and now CQG. in most markets there is a settlement time which is the mark-to-market time for each day. i understand in forex, one can just adjust the daily bars to suit your timezone. but daily bars for index futures should not be so variable, and i thought were published officially from exchange
     
  7. First off, you need to stop believing charting is a science. It is just a compressed view of lower frequency market data. It is more art than science. Even for back testing and analysis purposes you will realize that a backtest will perform almost identical over a longer period regardless of how you define your bars. Try it out yourself.

    Next, you are right for futures a trading session for a particular product is defined by the exchange that lists that product. So, every product has its own defined timespan that makes up its trading session. Charting packages most of the times do not inconvenience themselves by maintaining and updating an extensive database of trading sessions and hence the charting software does not know when the day starts for a particular product and when it ends. Some charting packages maintain such database and use it accordingly, such as Rivinitiv or Bloomberg. They cost a lot. Others let users maintain trading session definitions and their charting adheres to such definitions. Most don't and simply let the user specify a timezone which applies to all products equally. As others said, depends on the software you are using.

    But again, stop being religious and legalistic about charting. There is zero benefit to be had. There are issues where traders should be religious, such as risk limits and proper risk management. Charting and bar/candle definitions are not one of them. Don't believe me? Then run a backtest, one with all daily chart bars starting at time A, then another with all bars starting at A + 12 hours. You will see hardly any difference in back testing results over 1 year.

     
  8. Which software do you use for this particular hsi example? That looks wrong as you described it. Whichever time a day starts the next day should start exactly 24 hours later for a daily chart.

     
  9. Metamega

    Metamega


    If your using Sierra Chart I'm certain they have a way for you to define timezones and exchange times. From my quick trial with it a long time ago it was very customizable.

    Where the issue will pop up is with them most likely using 1 minute data or tick data to create a Daily bar. Like GRULSTMRNN said, the charting software creators won't keep track of every symbol/timestamp convention the data providers/plugins give. They don't know if its CQG That HSI and ES are different start/end times for sessions. But I can almost guarantee if you as Sierra Chart forums or e-mail support they'll point you to some editing option for setting the session times for a symbol.
     
  10. cmaxb

    cmaxb

    seems to be some confusion on this subject.

    let's take bond futures example (ZT 2-year)

    us bond futures settle at the VWAP between 13:59:30 - 14:00:00 CT. this is 2 hours earlier than the exchange closes at 17:00 CT

    settlement procedures:
    https://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf

    this can result in very different looking "official" daily bars (based on the vwap settlement) vs purely exchange open - close bars