Systematic Trading of CME Globex Contracts

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michaelt
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Systematic Trading of CME Globex Contracts

Post by michaelt » Wed Jan 28, 2015 12:23 pm

Systematic Trading of CME Globex Contracts

I'm interested in how others are implementing systematic trading of CME currency futures and getting their data from CSI Data.

My question is about getting the price data in time to process and place orders. The contracts trade until 4PM, start at 5PM (CST).
For US contracts, CSI updated data isn't available until approximately 6:15PM CST - 1 1/4 hours after the Globex contract opens.

CME states that the Globex contracts trade 23 hours a day (shown below).

CME has a day session (pit) contract, 'RTH'. In one contract I looked at, HIGH-LOW was sometimes the same or showed a very narrow range. In sharp contrast to the same days for the Globex contract. I surmise the RTH contract has very little price activity (probably representing very little actual activity).

Given that these are the choices, how do systematic traders on this forum implement this? (and by extension all Globex contracts that trade 23 hours).

From CSI Date, price file availability is too late to use the data (for systems) to generate orders for markets that have been open for some time.

I checked with CSI and they offer the RTH or ETH contracts.

Thanks.
Mike

http://www.cmegroup.com/trading/fx/g10/ ... tions.html

Trading Hours CME Globex (ETH) Sundays: 5:00 p.m. – 4:00 p.m. Central Time (CT) next day. Monday – Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday - closes at 4:00 p.m. and reopens Sunday at 5:00 p.m. CT.
CME ClearPort Sunday – Friday 5:00 p.m. – 4:15 p.m. Chicago Time (CT) with a 45–minute break each day beginning at 4:15 p.m.
Open Outcry (RTH) 7:20 a.m. – 2:00 p.m. Central Time (CT)

Uncle Fester
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Re: Systematic Trading of CME Globex Contracts

Post by Uncle Fester » Wed Jan 28, 2015 4:28 pm

This is one of the many decisions one has to make when systematic trading. I have struggled and still do wonder whether it's best to trade at the open or at some later time during the session. That the data isn't updated until after the open kind of makes that a moot point.

Trading Globex from the UK makes this even more tricky for me where the open is at 11pm.

I agonised over this until deciding to test it. I found that for the long-term system I trade, the difference between entering at the open, high, low or close of the day was insignificant. Until then I was manually updating my data - frontrunning the CSI update - and generating orders in the 45min closed period late at night. How uncivilized! I now enter with carefree market orders and update my stops at a time that's convenient to me. For example, my system told me to enter NZD today -- I did so after breakfast some 8 hours after the open. Will it make a difference? Who knows in this case. But I know that the gains and losses all even out for my particular system.

Like you say, the RTH/ETH data is there to test upon, so test it and come to your own conclusions. If you don't you'll always be wondering "what if?" Perhaps you could also decide which markets to trade during only 'pit' hours and whether to have your stops live in the overnight market. An added complication is that over the past few years those overnight markets have really picked up, so any testing done too far back may be misleading.
I'd suggest also spending some time watching the ebb and flow of liquidity and spread during the session. For instance, the Euro contract picks up around 7am Europe-time but is quiet at the 4pm Central close.
CME has a day session (pit) contract, 'RTH'. In one contract I looked at, HIGH-LOW was sometimes the same or showed a very narrow range. In sharp contrast to the same days for the Globex contract. I surmise the RTH contract has very little price activity (probably representing very little actual activity).
Don't underestimate the activity in the Euro, Pound and Swiss contracts in the 'overnight' session before the U.S. wakes, and if you decide to trade the RF, RP and RY crosses - they can sometimes have more action out-of-hours than during the RTH session.

michaelt
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Re: Systematic Trading of CME Globex Contracts

Post by michaelt » Tue Feb 10, 2015 6:49 pm

Thanks for your reply.

"That the data isn't updated until after the open kind of makes that a moot point."

You discuss when to trade (i.e. Open, Close, etc.); and that is fine to investigate.

I believe this is a different issue. It's a structural problem due to the time availability of data - the data is only available from this vendor after the open of the next session. Implicit in your answer is that the only verifiable way to test using CSI as a data source is to trade when it would be actually possible to implement the order - in this case that is the next close.

I suppose the open could be tested on the condition that data is gotten from a real time vendor in time for the open. It used to be that the open and close - when pit session times were dominant - had the most liquidity. I don't know if that still holds up, in that there is a time early in the session that typically has the most liquidity - akin to the liquidity of the open of the old session.

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