Bond(ZN) valid daily data

Discussion in 'Data Sets and Feeds' started by TraderD, Feb 11, 2004.

  1. TraderD


    I am using esignal. I have observed that daily data is not consistent with intraday data. Things are just bazaar. For example:
    ZN (electronic 10 yr note) trades from 7pm till 2pm Central time.
    1) when you put up 5 min chart you may see some bars after 2pm, you may also see trading starting later than 7pm...... so intraday data in screwed up either by esignal or CBOT
    2) it is getting more interesting when you put up a daily chart and try to line up opening/close with respective 7pm/2pm.... does not work in a lot of cases....
    3) then you try to line up daily open/close with open/close for pit traded contract...... does not line up

    All in all, just pure mess. NQ data is much more consistent.

    Is this esignal or CBOT issue?

    Can you suggests a good source for continuous ZN daily data which does align properly to some open/close time?

  2. TraderD


    And using pit traded contract for daily chart does not make sense as weel:
    1) screen volume is much greater than pit;
    2) data is entered by human with delay (i think);
    3) sadly, daily/intraday open/close does not line-up for pit contract as well;
  3. eSignal Support

    eSignal Support eSignal

    Hi TraderD,

    I've copied your initial post and replied on a new thread over on eSignal Central. We can track issues much more effectively on Central and all customers can benefit from the Q&A. Registration is free and only takes a few moments to complete.

  4. TraderD


    Scott, this may not be an esignal issue, so Elite Trader (s) might benefit from the thread. Scotts reply:

    Part of the issue here may be the anticipated start/close times for ZN vs TY. Per the CBOT site, the electronic contract trades until 4pm CST, 2 hrs longer than the pit contract TY. Here are the contracts specs from the CBOT site. As a result, I would expect at least the closing prices to vary from the pit contract. Could you take a second look at your charts and clarify some specific prices that you'd like us to look closer at?

    Thank you.

    Scott, please read my post more carefully. I am not comparing ZN an TY. I am looking at consistency of data in each of them...
  5. Hi TraderD,

    These are always nagging problems. Why don't you download the CBOT T&S data for a couple of nights. It's a pity CBOT doesn't keep a bit more on hand. Still better though than EUREXUS, they have nothing at all - CME keeps it for a full week.

    This is what I used to do in your case. If you managed to record the esignal data during the day, it would enable you to do some 'postmortem' verification.

    I noticed from other threads on ET that others also made this kind of analysis and we came to a rather nice concensus about some issues. Keep us posted!

    Be good,

  6. TraderD


    Hi nonnonsense,

    your approach is good for going forward. But I need several years of good data for backtesting now:)