Traders' Roundtable

I have sent a request to the suggestion box at http://www.csidata.com/csi/contact/index.html

Ill paste a copy here with the hope to spark some comment, and better, even support if you agree by letting them know this would add value to their product offering.

Thanks rr


Here is an idea which would be a position traders best friend. With so many markets now half pit half electronic, or worse. (I believe some things were better off as they were)

It is increasingly difficult to trade the same as we test. I am not willing to let orders rest in the overnight sessions. Too much illiquid volatility and trickery...

So, I place my orders to be active only during "pit" hours. So, sometimes a signal would have tripped overnight that is out of line with normal business day activity.

This can be solved... We need a daily bar data which is derived from the electronic markets, but only includes the liquid business or "pit" hours. I think this would be an exceptional offering from csi and I for one would pay extra for it (if need be)...

Thanks,
xxxxwho?

Where you should be directing your attention should be the exchanges. They are the one who set the session times.

For example, Sydney Futures Exchange (SFE) operates electronic sessions only. The trading hours are 9:50am through 4:30pm for the day session. Then 5:10pm through 7:00am the next day (night session). Settlement occurs at the exact end of the day session.

Most exchanges are now moving towards a 100% electronic environment. For example, ICE Futures US (formerley NYBOT) just recently changed everything to electronic so 23+ hour trading sessions are becoming the norm.

Certain exchanges do it "badly" such as the Chicago Mercantile Exchange (CME) - particularly for the currency futures. The floor still exists for many currency futures. However, the side-by-side traded electronic session starts well before the floor opens BUT closes well after the floor closes. The strange thing is the daily settlement is determined by the floor close, so the electronic session actually trades for two hours after settlement is determined. For example, in the case of the British pound, Global trades from 5pm until 4pm, but the floor trades from 7:20am through 2:00pm.

In an ideal world, the following trading sessions would exists:
Day Floor: 7:20am through 2:00pm
Day Electronic: 7:20am through 2:00pm
Night Electronic 3:00pm through 7:19:59am

Make a point of sending an email to your favourite misguided exchange and explain to them that their concept of sessions is flawed. Or learn to live with the concept that OHLC prices no longer reflect the realities in trading and choose appropriate indicators/trading systems accordingly.

Cheers,
Richard.

Wow. from a year ago.... Some things have changed, some are the same, some new issues as well. One good turn is the overnight sessions have become more viable.

Thanks for the response.

Richard Dale wrote: In an ideal world, the following trading sessions would exists:
Day Floor: 7:20am through 2:00pm
Day Electronic: 7:20am through 2:00pm
Night Electronic 3:00pm through 7:19:59am

Once the pits, finally, die, I'd like to see:

Day Electronic: 8:00am to 6:00pm
Night Electronic: 7:00pm to 7:00am

Clean breaks before and after the main day's session with 22 hours of trading per day. Here's hoping.