Systematic Trading of CME Globex Contracts
Posted: 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)
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)