I'm just getting back into futures trading and find that electronic markets have substantially displaced the pit, but I want to trade pit hours. Today I placed an order to buy sept CL market with a good after time of 9:00:20. IB executed it at 9:00:20 and I got a fill of 139.47 and when I look at the NYMEX price chart it does look like this is an appropriate price. I timed this to coincide with the start of open outcry trading which according to the NYMEX web site is 9:00 am EDT. According to NYMEX the open outcry high was 139.00 http://www.nymex.com/CL_spec.aspx I doubt the price spread in electronic trading could have been that wide. I wonder if the open outcry session really starts later. At one time some markets opened the contracts in rotation, but I never heard of this for CL. Perhaps NYMEX lied to me and open outcry really starts at 9:30 as I have just found on IB's web site. Of course IB says the close is 16:00, but I thought it was sooner. Can anyone clear this up?
The pit does open @ 9 AM. The range on GLOBEX at 9AM-9:01AM was 139.58-139.71 for CLU08. You did better than the low for the 1 minute bar. I hope you were covering a short! el surdo
Surdo, thanks for the response. Both my quote vendor, CSI, and INO have the pit high as 139.00. I'm at a loss to explain the difference between them and the electronic market. Do you know if the pit trading bears any resemblance to reality? I've noticed the currency pit trading is virtually non-existent. If that's true for the Nymex then all my data for the past few years is useless. Unlike the CME, the Nymex web site doesn't provide a volume breakdown between the two or time & sales.
NYMEX pit hours for CL are technically 9am-2:30pm eastern, but barely anything trades there anymore so the OHLC will vary substantially from the electronic data for the same hours. I'd guess 98% of the volume for those hours is done on the screen, so the pit data is more or less useless (has been for over a year now).