Opening time of DAX Future (IB) ?
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All,
This is a bit of a fun question to which I can’t find the answer easily anyway. It seems to be a thing of the (Internet) forest and the trees …
Does anyone know what actually determines the opening time of the DAX Future ?
The past weeks – I don’t even know exactly since when – it is 01:15 (Amsterdam). Prior to that and the past years it has been 02:15. But, I think three years ago there also has been a period of a couple of months that it was 01:15.
Closing is always 22:00.There must be some rule that determines it ?
hi Peter,
the rule is: during “winter time” – which is now (started on 29th of october) and which is precisely called “CET” – dax futures start at 01:15, during “summer time” – which is precisely called “CEST” (central european summer time…) – they start at 02:15. but ending always as you menioned at 22:00. so opening is switching every half a year. yep, that rule is buried quite deeply on the eurex website in the annex C of contract specifications, which you can download. on page 149 you find the details for fdax.
03. Contract Specifications (eurex.com)
PeterSt thanked this postHey justisan,
I don’t see it on page 149 (but this version is from Dec 11-2023, so they just changed everything. Haha).
I am a bit puzzled how I could always have missed this, while half of the time I am just there behind the monitor. Maybe the number of trades you see in the screenshots is telling. Maybe it tells I am always sleeping at those times.
I must assume you are correct, because I see too much resemblance when I look back via PRT. But …All from the perspective of Amsterdam time (CET) :
I see odd things as well. And you know what ? it could be the reason that I am until now not really able to make an AutoTrading system for the DAX. Look :
In the 2nd screenshot you see at the red lines the openings on 02:15. Look at the dead-zones preceding them (space and no bar data). I now wonder what we see during that hour because bars will be passing by (chart will move). But I never noticed it.
Compare this with the white lines, which are drawn on the 01:15 times. (N.b.: The yellow lines are dawn at 02:15 again, but when the opening was at 01:15);
Now, the white lines are never preceded by empty spaces during winter time.All should imply (?) that when we’d let loose some Average etc. on the bars of e.g. the previous hours, during summer time nothing makes sense because bars are there but data is 0.
In the 4th attachment there’s the Indicator people could use themselves. Btw it shows the same behaviour for the STOXX.
And I ? I could use more sleep I guess. 🙂Great thanks for digging this up !
Kind regards,
Peterhi Peter,
please make sure you download really the “Annexes of the Contract Specifications….” under the link I was inserting (see now also picture attached). as mentioned, trading hours are indicated in the annexes, annex C to be precise, and on the page 149 the standard dax contract (25EUR value per point) is mentioned. anyway, if you try to develop some strategy which is depending on the opening time being 01:15CET/02:15CEST you probably can’t do it when going deep into the past for backtesting if your trading directly depends on this precise time-indication – because few years ago dax futures opening was at 08:00 CET/CEST – before trading hours were extended. aside from that, in case Netherlands is switching from winter time to summer time and back to winter time at exactly same dates like Germany=eurex, you must not have any “time differences” vs Germany/eurex in when dax futures starts/ends trading.
I would love to see you working “half of the time behind monitor” 🙂
I spend also lot of the time “behind monitor” as well, but one would not be able to detect it just looking at the trade number per day… well, there are days and not that few, where my (main) algos do not trigger any trades at all, but I still spend hours behind monitor – depeveloping and testing, testing and developing… anway, interesting to read, that you – so far – were not able to develop a profitable algo for dax. as I remember from your other posts, you sounded like trading forex. well, I was kind of never able to develop a significantly profitable algo trading currencies 😀 so since very long I am almost pure “dax-only” trader. but I have several very different approaches how to trade that german index, so several very different strategies, and so far it’s more than enough for me.
wish you success with developing something cool for dax, but first of all – LOT OF LONG AND GOOD SLEEP 😀 – disregarding when dax futures start trading!
So justisan, I landed in the wrong document. Found it now. Learned a few things again. Thanks a lot.
if you try to develop some strategy which is depending on the opening time being 01:15CET/02:15CEST you probably can’t do it when going deep into the past for backtesting if your trading directly depends on this precise time-indication –
Nah, that’s not the issue (and I don’t trade the gaps with autotrading) … it is about the results of functions probably being off (but I did not test it yet). And such functions might be used by everyone. Thus, when the average price of the past hour at night would be e.g. 16960, in that one-hour gap during the summer period it will be 0. When I’d look at 2 hours, it will still be e.g. 16960 but in the summer period (when looked at at 03:15) it will be 16960 / 2 = 8480 and nothing works (because it is not true).
I spend also lot of the time “behind monitor” as well, but one would not be able to detect it just looking at the trade number per day…
Haha me neither. What I meant was : at being there anyway, I would observe what happens at the opening. And that while almost always having position in the DAX.
Part of the fun (sort of) is observing what happens with what PRT shows for portfolio profit, knowing about the 17:30 settling time. And you will probably know that PRT (IB) virtually presents that double. Thus like Wednesday huge profit which began 20:00 and which shows in the portfolio for the daily profit at Wednesday night (say 23:00), while the next morning that same profit shows again in the portfolio (because then it starts at the settling of the previous day); it shows double, but is there only once in reality, of course. Just fooling yourself, and don’t look when it goes the other way around.So I have positions in (financial) futures everywhere and days like today can be quite stressing (because of the expirations and changes required, plus the off-winding of everything in a best fashion (have the old and the new contract in parallel and ditch the old in the best possible way). For fun below part of a screenshot (2nd pic) I made this morning of some of the old-contract futures and how they trail for the best since yesterday, all unwinding superbly this afternoon. In the 3rd screenshot bottom chart, you see the only 45 minutes or so left before expiration (14:30) and how any second later than that moment, would have given less profit. So yeah, that is how always something is going on, because it is still half-automated by e.g. trailing stops like here, and how they should have the best possible distance (which I may change underway). No huge slippage because of a market order without buyers, just the most optimal way (I can do) and the big smile when it works out.
And that for half of the day.
Besides the above, which is all about manual trading, yes, developing strategies takes an enormous amount of time. For me too counts that I can’t work on more than one “instrument” at the time. Various variations for that instrument develop under way, and sadly within IB that is useless because we can apply/try only one at the time (OK, one per account); we talked about that.
Have a great weekend and thank you again,
Peter
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Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 12/13/2023 |
| Status: | Active |
| Attachments: | 10 files |
