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Export function not including 4p-5p data for Futures

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    Export function not including 4p-5p data for Futures

    When I export historical data for ES 12-23 it seems to leave off the data between 4P and 5P.
    Am I missing something to get that included?

    #2
    Hello EnsoTrader,

    Thank you very much for your post.

    The CME this instrument is being traded on does not trade between 4 p.m. and 5 p.m. At 5 p.m., the new session then starts.

    As no data is being received during this hour, as well as from Friday 4 p.m. to Sunday 5 p.m., you would also not be able to export any data.

    Please don't hesitate to let me know, should you have any further questions!

    Comment


      #3
      Hmmm

      Seems that is not the case.

      I talked to someone at the CME a number of years ago and they confirmed that it does trade beyond 4P
      And here is a Ninja Chart showing the data.

      Seems like the export has an issue, yes?

      Click image for larger version

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      Comment


        #4
        Hello EnsoTrader,

        Thank you very much for your reply.

        When you stated you don't receive data 4 and 5 p.m. my assumption was that you are referring to the trading break.

        Based on your chart, this would occur from 5 to 6 p.m. in your time zone. However, you should still be able to export 23 hours of data per day.

        Is it possible the discrepancy is due to the timezone offset? The export occurs unadjusted, this means it would reflect the data as it arrived.

        Or in short; When exporting a full session, do you receive 23 hours of data or only 22?

        Thank you in advance, I look forward to your reply!

        Comment


          #5
          Ahh. Right, there is no data between 5 & 6.

          Never mind, I found my bug Sorry

          Comment

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