This is a continual problem with almost "23 hour" trading sessions,.
The exchange does not provide any separate data for sessions that mimic
the floor trading hours. They just provide OHLCVOI for the full session.
Some futures exchanges, such as the Sydney Futures Exchange and the
Singapore Exchange, have two sessions - a day and a night session, with
a short break in between each. Data is available on:
a) Day session
b) Night session
c) Night + Day session combined.
If you feel strongly about this you should contact each futures exchange
you trade on and ask them to split the 23 hour session into a day and
night session. The more people that contact them the more they might
consider such an arrangement.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK& USA -
www.premiumdata.net
-------- Original Message --------
Subject: [amibroker] Trading futures with EOD data
From: stahlerontcom <[email protected]>
To: [email protected]
Date: Tue, 15 Jun 2010 18:30:11 -0000
I have just starting using Amibroker and am confused on the mechanics
of applying a system developed with end-of-day data to the electronic
futures markets. I am currently working with a trial subscription to
Norgate premium data. I would like to scan for signals at night and
enter trades on the Open ( I have a day job ).
I just realized that the data for Currency and S&P500 futures uses
5:00PM as the Open for the trading session. The data is not available
to download until 7:30PM each night. Therefore, by the time I am able
to scan for a signal to Buy on Open, I have already missed it by at
least a few hours.
Am I missing something here? I don't see how this data alone can be
used to accurately backtest a system that can be reproduced in the
real world. Do any data providers provide a way to alter the Open and
Close times to simulate a "day only" trading session? Do I need
real-time data?
Thanks,
-JP
