Today Open / Timing issue

[highnoon]

Hi,

I am using esignal in Asia and look at contracts such as

SG 1Q-SGX
TW 1Q-SGX

My issue is while using the today open.efs or looking at the candles on the daily chart, the numbers are not accurate.

Let me give you an example. SG day session opens at 0830 until 1715, and re-opens at 1815 till 0200 (next day) for second session.

For 29th July 2011, the day session data was
Open 364.8
High 366.7
Low 362.8
Close 364.7

However, on the daily chart, the data shown is
Open 365.0
High 367.0
Low 362.8
Close 364.7

This is because it is taking the data from not from 29th July, but from the second session of 28th July.

This makes the daily chart incomprehensible and also messes with the get today open.efs.

I have researched writing my own efs to get the correct opening price, but it is beyond me. In addition, it will also not fix the problem of the daily chart.

Can esignal look into this, and correct the timing to adjust for this? I am convinced it is because we are in a different time zone and the data etc is not accounting for second session/rollover of days.

Cheers,
David

PS. I have tried using the time templates and to no avail because the system is taking the opening price from the wrong session.

[jay60]

This is true for Japanese futures too. The data for the evening session is included in the daily data for the following day even if you set the time template to end with the afternoon session.


jay

[highnoon]

hi,

nobody else facing this problem or knows how to get around it?

any esignal staff seen this request?

[eSignal_AveryH]

Hello all,

We're investigating the issue reported here regarding an incorrect opening value for the Futures. Once we have more information we'll post back.


We thank you for you patience,
AveryH
eSignal Support

[highnoon]

Hi,

it's been quite a long time. still no ETA on when this can be resolved?

[eSignal_AveryH]

I apologize for the delay, I've spoken with the QA department that confirms that we do start the daily bar with the second (night) session for the Singapore and Japanese futures exchanges. We do this for all exchanges that trade overnight.

AveryH
eSignal Support

[highnoon]

Hi AveryH,

Thanks for your reply.

Is it possible that you change the default to the day session? That would make a lot more sense.

Otherwise, is it possible to have an option such that users can choose which open they prefer.

Thanks!

(I was thinking of an EFS where people can choose the time of open bar they want, but not sure if that is too complex)

[eSignal_AveryH]

Unfortunately we cannot change the time that the daily bar starts. As we previously mentioned we follow the same process of all traded futures.

I don't know if this would help, but there is the option of the =2 (Day session) symbol that can be used to track only the day session of trading.


AveryH
eSignal Support

[jtbc49]

Originally posted by eSignal_AveryH
Unfortunately we cannot change the time that the daily bar starts. As we previously mentioned we follow the same process of all traded futures.

I don't know if this would help, but there is the option of the =2 (Day session) symbol that can be used to track only the day session of trading.


AveryH
eSignal Support

Hi AveryH,

I am having the same problem.
Can you elaborate more on =2 option?
Thank you.

James

[eostrom]

=2

For a lot of our futures symbols you can add =2 to the end of it to seperate out the day session.

Examples

SG 1Z-SGX=2
TW 1Z-SGX=2

This can also be done for US futures like the emini S&P 500

ES Z1=2

[jtbc49]

Re: =2

Originally posted by eostrom
For a lot of our futures symbols you can add =2 to the end of it to seperate out the day session.

Examples

SG 1Z-SGX=2
TW 1Z-SGX=2

This can also be done for US futures like the emini S&P 500

ES Z1=2

Thank you eostrom!
Problem solved.