wierdness in ES overnight bars

[christineesq]

Last night and again tonight I noticed an odd bar/candlestick on both ES#F and ES Z3 which exists almost daily at approximately 3am on time frames of over 60 minutes on one time template ( 24 hrs 0:00 to 0:00) and 60 minutes and over on another time template (24 hrs 16:45 to 16:15). The candlestick seems to be missing trades in the bar that includes 3am and forms an incomplete bar. I compared the time and OHLC of the wierd bar to bars from lower time frames to confirm that there are trades not being reflected in the wierd bars.

Yesterday was the first time I saw this wierdness, although I hadnt looked at overnight charts since some time last week so I cant confirm that this was an issue that existed before this week.

I am still using 7.3 (gold I think?) build 588. Of course as I watch ES live the bars are ok but I'll follow up in the am.

Christine

[tbodnar]

christinesq,
I use to see that regularly - going back at least a month or more - on a 24-hour 60-minute advanced chart of ES #F. I've haven't looked lately, but your description sounds the same.

[JayF]

Christine,

This is likely due to the Globex maintenance period of 23:00-24:00 Eastern Time. Essentially, the Globex will shut down between these times. To eliminate this bar from your chart, you may want to try to use Time Templates. Instructions on using Time Templates can be found at this FAQ.

[JayF]

One thing to keep in mind is that starting with the 9/29/03, the Globex hours will be changing, and there will be no maintenance period during 23:00-24:00 as previously mentioned.

This issue may also be caused by other factors, but let's revisit this after the change in hours to see if that solves it.

[JayF]

In the meantime, here's a thread that discusses the possible cause of this issue.

[christineesq]

thanks Jay for the link to the other thread - as a matter of fact my post was the last in that thread...

I am very aware of the hourly shut down on globex at 11pm eastern. The bar I am referring to on time frames of 60 minutes or more which is around 3:00 am eastern is wrong.

I tested this on the two different (allsessions) time templates I had set up and I tested it on the contin. ES and esZ3. Under the two diff time templates and different symbols and different time frames of 60 minutes and higher, when it appears, the improper bar is consistently wrong under all the various time frames, time templates and symbols.

Having been stopped out earlier, I decided to do some more thorough investigating. Daily, all the way back to sept 02 2003, using an 81 min bar and comparing to the one min bar, the bar which begins at 2:42 and should end at 4:02 only includes data from 2:42 to 2:59 and then the data for the entire 3:00 am hour and up until the new bar is to be drawn at 4:03 is not reflected in the bar.

My earlier assertion that this bar drawing was intermittent was incorrect and was based on eyeballing the bars. On es#f EVERY SINGLE DAY is missing data between 2:59 am and the beginning of the next bar on time frames of over an hour. Going all the way back to Sept 2, 2003 (I checked sept 1, but that is impossible to ascertain) and even aug 29. I'm not going back any farther. I did check that the 75 min is also missing bar info after 3am until the next bar is formed. (above using time template of 0:00 to 0:00). On a template of 16:45 to 16:30, even the sixty minute bar that includes 3am is missing data, as well as time frames over 60 minutes. On ES Z3 a quick look shows the same gaps in the 3am-ish bar.

And yes I did know that globex hours will be extended a bit too, but thanks for the heads-up.

I hope my legwork will help you pinpoint this problem.

[tbodnar]

I am sure it goes back months. I noticed it too, quite some time ago, but since I was not trading overnight and had no overnight orders, basically just overlooked it.

[JayF]

christineesq,

I understand the issue now. This is a result of the way the intraday data is stored on our servers and handled by the Advanced Charts. Essentially, the last bar before midnight Pacific Time is cut-off and reset for the next day. It is something we are aware of, and is on our bug list. At this point, I don't have an estimate available for when/if this can be addressed.