Eurex Markets - Timeframes & Discussion

[NoSquigglyLines 10]

Sorry to post this but I've done a fair bit of googling and can't find any real discussion on this. If the discussion exists then please point me towards it.

 

I'm trying to determine the best period to look at MP charts for the Eurex markets. If we take FESX as an example - the trading hours are detailed here http://www.eurexchange.com/trading/products/IDX/STX/BLC/FESX_en.html?mode=trading_hours

 

Pretrading starts at 7:30 CET

RTH Trading starts at 7:50 CET (but most people seem to state 8am CET as the RTH opening)

RTH closes at 22:00 CET

Post-market continues until 22:30 CET

 

My datafeed gives me data from 08:00-22:00 CET

 

With MP the start time and end time are more important because of IB, VAL areas etc. What are people using for the session times with the Eurex markets and MP. My example is FESX, but the question applies to all Eurex markets e.g. DAX, Bund, Bobl, Shatz.

 

Finally, beacuse of the large trading hours, does anyone look at a longer IB. For example, in the Emini S&P the day's session will very rarely exceed 4x the IB. However, in FESX on 12th March using 08:00-22:00 CET the session was almost 13x the IB.

 

Hope to generate some discussion on this.

 

Thanks

[MPTrader 10]

i trade the euro stoxx too but i am largely nt very successful... today rollover.... careful.....

[BlowFish 10]

This is one advantage of volume distributions. As the profile grows by volume rather than by time, out of hours sessions can be included without worry as the volume done there is negligible (if it is not that is significant in itself).

 

Doesn't answer your question really but it does uncover a weakness with time base profiles. Personally I'd plot both and see which I preferred.

[momentom 10]

Try looking at the futures profiles for the same time that the underlying trades, then create a separate profile for the period between the close of the underlying and the open of the underlying the next day. Quite revealing.

 

HTH.

[86834 10]

If you're wanting to use mp on eurex then i personally would only recommend using it on fixed income products (i trade a few eurex products), but that's just my opinion

 

As for MP times, i use from 7am to 10pm GMT and i use only tpo profiles. Because of the long trading hours of eurex, as you are probably aware, many eurex products trade in two sessions... the morning for europe, then the afternoon when the US markets open. A few traders i know like to use profiles set for 7am - 12 lunch. Personally it's not my craic, as i like to see the whole session, but you might find something useful in it...

[NoSquigglyLines 10]

Thanks for the posts, will have a look at these ideas.

[AgeKay 10]

This is one advantage of volume distributions. As the profile grows by volume rather than by time, out of hours sessions can be included without worry as the volume done there is negligible (if it is not that is significant in itself).

 

Doesn't answer your question really but it does uncover a weakness with time base profiles. Personally I'd plot both and see which I preferred.

 

I second that. There is no advantage of MP over volume.

[suarinver 10]

FESX is one of European Blue Chips index ... RTH in european exchange is from 0800 to 1730.

FESX is the same... from 0800 to 1730.

 

Salu2

[AgeKay 10]

FESX is one of European Blue Chips index ... RTH in european exchange is from 0800 to 1730.

FESX is the same... from 0800 to 1730.

 

Salu2

 

The futures trade at the Eurex until 22:00 on regular trading days. Did you mean the underlyings?

[suarinver 10]

No men... Look at begginer of this post...

 

Ofcourse, FESX has RTH from 0800 to 2200, but someone asked about more usually trading hours... The biggest volume is from 0800 to 1730,...

[AgeKay 10]

No men... Look at begginer of this post...

 

Ofcourse, FESX has RTH from 0800 to 2200, but someone asked about more usually trading hours... The biggest volume is from 0800 to 1730,...

 

Yeah, you're right. It's not hard rule though. Volume usually drops off at 18:00, sometimes at 18:30 or even 19:00.

[suarinver 10]

Yes you're right, but I think that the most similar to RTH in Eurex is from 0800 to 1730, because of european stocks exchanges close at this time.

What are you opinion about that?

Thank you.

[AgeKay 10]

Yes you're right, but I think that the most similar to RTH in Eurex is from 0800 to 1730, because of european stocks exchanges close at this time.

What are you opinion about that?

Thank you.

 

Very likely that this is the reason. I guess another reason is that people just want to go home at some point. Beginning trading at 8:00 and stopping at 17:30 means their work day is 9.5 hours which is already longer than in most other professions in Europe. Xetra is in Germany where people work 7h per day on average...

[suarinver 10]

:haha: german people works less than spanish people (I from spain).... :haha:

Thank you

[suarinver 10]

Please look this:

 

Deutsche Brse Group - Auction Plan

 

Salu2