Eurex session

[Harry]

What version of IB are you currently running? This is found in TWS under the help->about scroll down to the bottom of that window.

TWS 906. All prior versions had the same problem.

[NinjaTrader_Kyle]

symphys and Harry,

My development team reports that this is as expected.

We're actually seeing the same in other platforms as well. We checked into some time ago and it’s not consistent what’s broadcasting from 7:50 – 8 so we were going with 8-22.
Bund, Buxl etc traditional first tick 8:01 - normal

[Harry]

Hi Kyle,

if this is as expected, then the start time of the default session template Eurex Equity Index Futures should be set to 8:00 AM. Has this been done?

( I cannot check it, because I do not want to reset my instruments because I use 8:00 AM since a long time).

also see this post

http://www.ninjatrader.com/support/forum/showpost.php?p=172428&postcount=3

[symphys]

This is not satisfying. Trading hours for FDax & FESX are set by Eurex contract specifications from 7:50 while FGBL and others start at 8:00.

So it would be really surprising if Eurex is broadcasting "inconsistent data". I mean trading can occur, so if you say it's inconsistent in this timeframe why would the other data after 8 be ok?!?!


Kyle: Is this a NT preference so that NT does not display the data even if it is there? Or is it datafeed related so that e.g. zenfire is not even broadcasting the data?


Harry: Do you get reasonable data from 7:50-8:00 from IB TWS? If yes that should be possible for NT also!

[Harry]

For FDAX and FESX, there is no bid/ask data or trade data available prior to 8:00 AM. For the period from 7:50 AM to 8:00 AM Interactive Brokers has midpoint data only.

[symphys]

This is an offical reply for Eurex. I think the contract specifications from their site are not very well verbalized since this would be some kind of pre-trading and not full trading.

The mentioned instruments go into Pre-Opening phase at 7.50. Here you can enter, modify and delete your orders. Pre-Opening phase is a opening auction where you can see the best bid and ask, if the orderbook is not crossed. If the orderbook is crossed you can see only the indicative opening price, but not the bid and ask prices. That is the main difference in the data between Pre-Opening and continuous trading. No trades are done during this pre-opening phase.
When the instruments switch to continuous trading (at 8.00) the orders with the opening price will be matched. In the continuous trading you are able too see the uncrossed orderbook again (bid -ask).

Anyway everything is fine in with NT.

[NinjaTrader_Bertrand]

Thanks for sharing this info symphys - this is what I would have expected.

[Harry]

One more reason to change the start time of the session template to 8:00.

Thanks for sharing this info symphys - this is what I would have expected.

[NinjaTrader_Bertrand]

Sorry Harry don't follow you - the default FDAX / FESX template runs from 8 - 22

[Harry]

Good then, had been 7:50 before. Cannot check the current default settings, because the reset would erase a lot of my customized settings.

[symphys]

I'd say you are mistaken. The default template used for FDAX & FESX is Eurex Equity Index Futures. And this session template is configured starting 7:50.

This is with b20 on a newly install for testing so session template or instrument default template was never changed.

[NinjaTrader_Bertrand]

Please try a reset instruments under Tools > Options > Data and then restart NT fresh, I checked the source here and it points properly to 8 - 22 hrs for the Eurex Equity Index Futures.

Thanks

[symphys]

Working ok now after reset!