EOD Data with true electronic close

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EOD Data with true electronic close

Post by CPTRADER » Wed Oct 29, 2008 7:04 pm

Where can I get EOD data with true electronic close prices for FX, interest rate, metals & energy markets.

The FX and Interest Rate markets trade to 5pm EST; however,CSI and all the data vendors I am aware of use the settlement price set by the exchange which is the 3pm closing/settlement proce. Ideally the true settlement should be the last traded price at 5pm.

similar problems exist with GC, SI, CL, NG, etc.

There has to be a data vendor out there that can reliably provide this data or some other way to get this data apart from manually getting the data from charts each day.

Any ideas,thoughts?


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Post by LeapFrog » Thu Oct 30, 2008 10:21 am

A worthy topic that gets raised again and again over time. My thought is that data is like a dog's breakfast - it's all over the place.

Longer term traders prefer the settlement price. Shorter term traders like myself and maybe you, might prefer the "real" electronic session Close.

The only solution I have been able to think of is to get a continuous stream of tick data and parse it up anyway you like (probably based on tradable volume levels) and then close your eyes and trade that according to your system. (I'm sure many good sized CTAs do this.) Trouble is, if you do that, you WILL have variances in your actual results from your system results.

Given all this, the appeal of longer term trading that only uses a one price bar (the settlement price) and only uses market orders to enter and exit trades, can make a lot of sense and are intellectually appealing.

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Post by danZman » Thu Oct 30, 2008 3:23 pm

You can set up a Tradestation account. You can specify exact times to generate the chart with them. Some symbols allow you to do this automatically. For example, you could enter @ES.D and the session from 8:30am-3:15pm would be displayed on the chart. Or you could create your own custom session times.

The problem with TS is that it's not based on trading multiple instruments. Perhaps you could look into Multicharts platform. They are compatible with several data sources.


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Post by Richard Dale » Sun Nov 02, 2008 9:23 pm

Unfortunately the issue here is the way that the exchanges themselves send out end-of-day data.

A "better" way would be for there to be two electronic sessions. One which mirrors the floor session times and an overnight session for all other hours. Where there is no floor session any more, then the hours are built around widely-established trading hour conventions (eg. equity index futures would be similar/identical to the underlying index).

This is the way that the Sydney Futures Exchange and Singapore Exchange (SIMEX) work.

However, some exchanges might be unwilling to do this as it might reduce the volume of post-settlement trading by imposing a cutoff.

If you want it changed, contact the exchange and provide them feedback. I've done so but I'm only one (data vendor) voice.

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