Tagged: CME Toggle Comment Threads | Keyboard Shortcuts

  • $ ~ 6:56 am on 10/08/2016 Permalink
    Tags: Algoritmic trading, CME, ES Future, ,   

    925 orders hit the ES within 0,15 milliseconds after the US open… 

    This Plot [Click+Pic] and the spread sheet below shows the [ES] Futures contract after the US Open with a total amount of “925” tradet contracts in the first “60 milliseconds”.

    The opening Price moves [1 Tick] from 2146.25 up to 2146.50
    and the first trade with 194 orders hit the Market within 0,15 milliseconds. Guys this algorithm which trades the open is really fast and would be probably send from a HFT trading company!

    ~ $ pricetradet contracts @ price
    2146.25195
    2146.254
    2146.2510
    2146.251
    2146.254
    2146.253
    2146.251
    2146.251
    2146.501
    2146.501
    2146.251
    2146.254
    2146.251
    2146.501
    2146.501
    2146.251
    2146.251
    2146.251
    2146.501
    2146.501
    2146.253
    2146.253
    2146.251
    2146.251
    2146.251
    2146.254
    2146.255
    2146.251
    2146.251
    2146.251
    2146.253
    2146.2515
    2146.251
    2146.254
    2146.2510
    2146.251
    2146.259
    2146.255
    2146.2522
    2146.253
    2146.252
    2146.251
    2146.254
    2146.501
    2146.501
    2146.251
    2146.251
    2146.251
    2146.252
    2146.251
    2146.254
    2146.252
    2146.251
    2146.253
    2146.251
    2146.251
    2146.258
    2146.5017
    2146.501
    2146.2525
    2146.2536
    2146.5020
    2146.501
    2146.504
    2146.503
    2146.501
    2146.504
    2146.501
    2146.5016
    2146.501
    2146.504
    2146.5030
    2146.503
    2146.502
    2146.501
    2146.501
    2146.504
    2146.502
    2146.501
    2146.501
    2146.5049
    2146.501
    2146.501
    2146.501
    2146.5020
    2146.5010
    2146.505
    2146.502
    2146.505
    2146.506
    2146.501
    2146.503
    2146.503
    2146.503
    2146.503
    2146.5010
    2146.503
    2146.501
    2146.503
    2146.5070
    2146.5030
    2146.501
    2146.501
    2146.501
    2146.502
    2146.501
    2146.502
    2146.501
    2146.505
    2146.503
    2146.504
    2146.502
    2146.502
    2146.5022
    2146.5018
    2146.505
    2146.508
    2146.5011
    2146.503
    2146.503
    2146.501
    2146.5010
    2146.505
    2146.501
    2146.751
    2146.754
    2146.751
    2146.5010
    2146.504

    ~abstract // datafeed cqg / print & computations realized with python 2.7.12 / matplotlib, numpy & pandas.

     
  • $ ~ 6:29 am on 05/27/2016 Permalink
    Tags: CME, globex exchange holidays   

    CME/Globex Memorial Day Holiday Schedule 

    Reminder:

    Please review the CME/Globex Memorial Day Holiday Schedule

    [Kick-Me]

     
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