Emini ES - Overnight pre-market data

Discussion in 'Data Sets and Feeds' started by kumar0270, May 2, 2009.

  1. kumar0270


    I was trading stocks and switched to emini ES few months back. I use 5,15 and 60 minute chart with RSI, Stochastics and ADX/DMI indicators. On a day with huge gap up and gap down, these indicators show completely different picture for the first 2 hours from 9:30 onwards depending on whether I include pre-market data in the chart or not ?

    My question is how people typically configure their charts for emini ES? Do they include pre-market data in the chart and have indicators use those data or people generally use only normal trading hours data for 5, 15 and 60 minute charts ?

    After trying both options, I am slightly more inclined towards using 24 hours data but was wondering if someone can help.
  2. I use 24hr data.
  3. Some trade on RTH (Regular Trading Hours) data, others trade on All Session (24 hours).

    Each is as valid as the other.
  4. moarla


    why you should exclude data? Is overnight trading something virtual or real?
    ES trades 24h, RTH is pit trading for the big S&P500 contract.

    So 24H
  5. limit


    If you are using indicators I would suggest using either tick or volume charts for AH data, it provides a better read. If nothing is happening, nothing is skewering the indicators. I use minutes charts for RTH in addition to the ticks because different things show up in each format.
  6. vita


    Overnight's price action normally evolves "slower" compared to RTH's. Try to double the periods in your system, i.e. use 10, 30, 120 minutes instead. You should find the resulting charts more "familiar" to your eyes. Good luck.
  7. I do not use pre or after market data. TradeStation has the symbol @ES.D just for this use.
  8. The market trades 24 hours and so your charts need to be set accordingly.

    The gap that occurs from the close of RTH to the next bar is the one that is interesting, not the one from the RTH close to RTH open, in my opinion.
  9. sk8erboy


    24 H only
    many times overnight highs/lows act as pivots
  10. Aok


    This is exactly right.

    ES realistically is a 24 hr market, you can set your charts to RTH but, you are missing part of the story.

    Many times you will have a "gap" (ie overseas action) from yesterdays rth close to today rth open where the range equals/exceeds today or prior day range.

    Even overnight vol in ES is good enough to get off multiple contracts, so why give up pts for sleep?

    Two things worth noting...

    1) Vol picks up when when Europe opens

    2) Less frenetic bid/ask going on so moves are slower in temporal nature. Use a higher timeframe or better still, volume bars.

    Good trading
    #10     May 2, 2009