Re: Globex index futures - new session times (& Problems)
New Session times - Take Care
For those using end of day data, these new session times and changes may create a problem. The session ends officially one hour later than it used to but the settlement time is still the same. Also trading after the settlement is part of the same day, not the next day as it was previously. This means that you could get significant range expansion after the settlement and incorrect closing prices, especially after a big move, as the new daily limits are applied to the last 45 minutes of trading.
Here is an example of the problem
ES drops 20 handles and at 3.15 Central time is settled at 1360. It then drops another 10 points to 1350 and closes at the low. Many data systems will show the low as 1350 (correctly) and the close as 1360 (incorrect). Your chart and algos, will see a 10 point bounce that never existed. This type of problem has happened too many times over the past 20 years and each time it has happened it has taken a considerable amount of time to get rid of the spurious closes. The settlement is for book-keeping, not for trading. Too many data vendors automatically assume that they are one and the same.
If your data vendor shows the settlement, as the closing price, on CME equity products (not just the ES), then I would suggest that you complain and complain loudly. You will be making decisions off of incorrect data. What you need in the closing field is either the last price traded or even better a price which fairly represents the trading at the very end of the last session. CSI did this for Eurex data and it worked well (I have no connection with them other than being a long term customer).
