Data

Synergy data mining application developed by AdaptiveTradingSystems.com
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jamess
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Posts: 55
Joined: Wed Jan 04, 2017 9:52 pm

Data

Post by jamess » Tue Mar 07, 2017 5:07 am

The open interest and volume data appear to be useful for many futures markets. Please see http://www.cmegroup.com/market-data/vol ... erest.html. We might be able to update the Pinnacle open interest and volume data ourselves in time to place trades MOC with a 1 day trading delay. I need to look into it further.

Kind Regards,

James

jamess
Site Admin
Posts: 55
Joined: Wed Jan 04, 2017 9:52 pm

Re: Data

Post by jamess » Tue Mar 07, 2017 5:56 am

It appears as though the volume and open interest for the ES contract are available. See http://www.cmegroup.com/market-data/vol ... olume.html.

I'm thinking that I'd wait for the final report that is published the following morning. Report publish times are on this page http://www.cmegroup.com/market-data/daily-bulletin.html. Preliminary Daily Bulletin updates at approximately 9:00 p.m. CT, and the Final Daily Bulletin updates at 10:00 a.m. CT next business day.

Kind Regards,

James

CarlosR
Posts: 51
Joined: Sun Jan 08, 2017 10:52 pm

Re: Data

Post by CarlosR » Fri Apr 07, 2017 1:22 am

Hi James,

Two related points. First, I contacted Pinnacle Data and exchanged several emails with them in an effort to get them to update their volume data, so the volume data would be for the day as the price data, not the day before. I finally got the following email from them:

"We have spent quite a bit of time looking into handling same day volume values.... I am sorry, but it is impossible for us to change to same day volume at this time."

That was disappointing.

On the other hand, I can report that I have been updating the Pinnacle data manually for years. I start with a fresh file from Pinnacle every time the contract rolls, and then update it daily when the CBOE posts their preliminary data, which is usually between 4:30 and 5pm EST for the ES contract. That allows me to run my Synergy models (and before Synergy, I did it with other models) in time to have a trading signal before the 6pm open of trading, so I can enter the market at the open (with a one-day delay, of course). I find this fresher data works better for me than waiting to enter MOC, which is 22 hours later.

=Carlos=

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