Format of Data Factory Data
The CQG Data Factory can produce files in a variety of time intervals:
- Time & Sales Data (Tick Data)
- Tick Volume
- Intraday Bar Data (1-60 Minute Bars)
- Daily Bar Data
- Daily Volume / Open Interest
Data is delivered for a CQG trading day that typically runs from 16:00 one day to 15:59 the next day (all time stamps are US Central Time). This is not the same as a calendar day. The evening session will be included in the next trading day's data. Sessions are set up in accordance with exchange specifications. The exception is that Data Factory data requires an additional session for sessions spanning 00:00 CT. Sessions may not be consistent across contracts, but tend to be consistent for a specific contract over time. The data is delivered with "CQG PC" symbols. These symbols may or may not correspond to Exchange symbols.
Data File Names
The contract name is in the format F.US.PPSSMYY, where F is the type (F for future), US is the country code (US for all futures), PS is the CQG PC Symbol for a commodity (one or more characters), M is the contract month and YY are the last two digits of the year. For cash contracts the Contract name is in the format X.CC.PPSS, where X is the type (X for cash or index), CC is the country code, and PPSS is the CQG PC Symbol (4 or more characters).
The type of data in each file is identified by a file name extension. The CQG contract name appears before the file name extension.
Data Type Extension
(T)ime & (S)ales .ts
(B)ar Data - (03) Minute Bars .b03
(B)ar Data - (15) Minute Bars .b15
(B)ar Data - (45) Minute Bars .b45
(B)ar Data - (60) Minute Bars .b60
(B)ar Data - (D)aily Bars .bd
(V)olume - (D)aily Volume .bd
Examples:
F.US.US92M.B03 (F=Future, US=United States, US=Treasury Bonds (Pit), 92=1992, M=June, B=Bar, 03=3 minute)
X.US.SPC5.BD (SPC5=S&P 500 Cash, B=Bar, D=Daily)
File Format of Time & Sales, Bar, and Daily Data
Time & Sales (Tick Data)
Each record contains eight data fields separated by one or more spaces. The fields are:
CQG Contract Name 6-14 characters
Trade Date 8 digits - yyyymmdd
(S)ession Indicator 1 character - 0=First Session, 1=Second Session, 2=Third Session
Transaction Time 4 digits - hhmm (U.S. Central Time)
Transaction Price 1-7 digits
Transaction (T)ype 1 character - B=Bid A=Ask T=Trade S=Settle
Transaction (M)arket Indicator 1 character - F=Fast Market N=Normal Market
Transaction (C)orrection Indicator 1 character - E=Exchange Delete I=Insert F=CQG Filter Delete N=Normal
Note: For full explanation of time stamps and session indicators for time and sales files, please refer to Data Factory in Depth.
Example:
Contract Date (S) Time Price (T) (M) (C)
F.US.SPAZ02 20021101 0 1545 88200 T N N
F.US.SPAZ02 20021101 0 1545 88200 T N N
F.US.SPAZ02 20021101 0 1545 88170 B N N
F.US.SPAZ02 20021101 0 1545 88200 A N N
Tick Volume Extract
Each record contains nine data files separated by one space between columns. The fields are Contract Name, Date, Settle, Time, Price, Trade, Transaction Market Indicator, Transaction Correction Indicator, and Voume.
Example:
Contract Date (S) Time Price (T) (M) (C) (V)
F.US.JNKH08 20071126 0 0115 15210 A N N 10
F.US.JNKH08 20071126 0 0115 15210 A N N 15
F.US.JNKH08 20071126 0 0116 15210 B N N 1
F.US.JNKH08 20071126 0 0116 15210 A N N 15
F.US.JNKH08 20071126 0 0117 15210 B N N 1
F.US.JNKH08 20071126 0 0117 15210 A N N 17
Intraday Bar Data
Each Intraday record contains eight data files separated by one space between columns. The fields are Contract Name, Date, Time, Open, High, Low, Last, and #_Price_Changes.
Example:
Contract Date Time Open High Low Last #_Price_Chg
(not trade vol)
F.US.DDZ02 20021101 0205 31700 31700 31600 31600 15
F.US.DDZ02 20021101 0206 31600 31630 31585 31600 21
F.US.DDZ02 20021101 0207 31590 31660 31590 31620 17
F.US.DDZ02 20021101 0208 31620 31660 31605 31605 13
Daily Bar Data
Each daily records contains six data fields separated by one or more spaces. The fields are Contract Name, Date, Open, High, Low, and Last.
Example:
Contract Date Open &nbs p;High Low Last
F.US.DDM03 20021101 31400 32250 31400 32230
F.US.DDM03 20021104 33935 33935 33935 33935
Volume & Open Interest (Daily)
Each Volume & Open Interest record contains six data fields separated by one or more spaces. The fields are Contract Name, Date, Commodity Volume, and Commodity Open Interest. Note: Commodity Volume and Commodity Open Interest are the sums of all Volume and Open Interest for all maturities of the commodity.
Example:
Contract Date Volume Open Int.Volume Open Interest
F.US.QEAF03 20021101 0 1 589237 2176447
F.US.QEAF03 20021104 0 1 505710 2195877
Data Factory Addendum for "End of Day" file format
"End of Day File Format" is similar to Time & Sales format, and also includes columns for Contributor Identification, Tick Flags, and Trade Volume.
Forex Sample
* CID TickF Vol
X.US.USDZAR 20051206 0 1600 63205 B N T 085 --BNN 0
X.US.USDZAR 20051206 0 1600 63455 A N T 085 --BNN 0
X.US.USDZAR 20051206 0 1606 63160 B N T 113 --BNN 0
X.US.USDZAR 20051206 0 1606 63460 A N T 113 --BNN 0
Futures Sample
* CID TickF Vol
F.US.QEAZ05 20051206 0 0737 97535 B N T 000 --NFN 30705
F.US.QEAZ05 20051206 0 0737 97540 T N T 000 S-BNN 260
F.US.QEAZ05 20051206 0 0737 97540 T N T 000 --NFN 256
Field Definitions
Note: The "Transaction (C)orrection Indicator" (defined in Readme.doc) has a value Normal = 'N'. In End of day format, the value Normal is designated by 'T'.
- CID: Contributor Identification -- which contributor sent the quote. This is not used for futures, as the exchange is the only contributor. It is used for Comprehensive FX (such as USDJPY). This could potentially be used for any consolidated feed in the future, for example US equities on CTS.
- TickF: Tick flags. 5 characters XxyzN where:
- Xx - 2 character sales condition, specified in configuration file and subject to change (see below).
Sales Condition Indicator
- '--' no sales condition
- 'n-' notional settle
- 'ba' indicative bid/ask
- 'Z-' out of sequence
- 'C-' cash sale
- 'G-' bunch sold
- 'N-' next day
- 'O-' open out of sequence
- 'R-' seller
- 'S-' Spread Trade
- 'T-' formT out hours
- 'W-' Average price
- 'b-' indicative bid
- 'a-' indicative ask
y - Intraday/historical processing flag, set if tick makes intraday or historical (or both) bars.
- 'B' - both intra/hist
- 'H' - historical bars only
- 'I' - intraday bars only
- 'N' - neither intra/hist
- z - flat filtered flag.
- 'F' - tick is flat filtered
- 'N' - tick not flat filtered
- N - unused, reserved for future flag.
Vol: Trade Volume and Bid Ask Size.
- This is generally available on electronic markets, but not on open outcry markets. Full trade volume is available when sent explicitly by the exchange, that is, not as cumulative volume.
CQG Data Factory Time Stamps
This document describes CQG Data Factory time stamps. It is recommended that the previous document (README.doc) is understood prior to reading this document. There are two distinct sets: time stamps for Time and Sales Data, and for bar data (1 minute to 60 minute). The time stamps for Time and Sales data are by trade date, and time stamps for all other intraday data (1-minute bars, 5-minute bars, etc.) are chronological.
All time stamps are US Central Time, or Chicago. These are adjusted for US Daylight Savings.
Cash
The foreign exchange currencies have three sessions:
1600 - 2359 Asian
0000 - 0659 European
0700 - 1559 American
By convention, these three sessions, in sequence, define the trade date, which runs from 1600 the first calendar day to 1559 the next calendar day. For futures and cash, the trade date will be the last calendar day, regardless of the calendar day in which the trading began.
Here are some extracts from the comprehensive foreign exchange symbol USDJPY. The open begins at 16:00 daily. The following is a one-minute bar representation. (The legend and further data description is available in the document README.doc.)
Contract Date Time Open High Low Last #_Ticks_in_Bar (not trade volume)
USDJPY 20030320 1600 12026 12034 12026 12033 4
USDJPY 20030320 1601 12028 12035 12028 12034 10
USDJPY 20030320 1602 12029 12038 12026 12036 24
USDJPY 20030320 1603 12028 12035 12028 12035 8
USDJPY 20030320 1604 12028 12034 12028 12033 8
The previous example was built from the Time and Sales representation, which follows.
Contract Date (S) Time Price (T) (M) (C)
USDJPY 20030321 0 1600 12026 B N N
USDJPY 20030321 0 1600 12034 A N N
USDJPY 20030321 0 1600 12028 B N N
USDJPY 20030321 0 1600 12033 A N N
USDJPY 20030321 0 1601 12028 B N N
USDJPY 20030321 0 1601 12033 A N N
USDJPY 20030321 0 1601 12029 B N N
USDJPY 20030321 0 1601 12035 A N N
USDJPY 20030321 0 1601 12028 B N N
USDJPY 20030321 0 1601 12033 A N N
USDJPY 20030321 0 1601 12029 B N N
USDJPY 20030321 0 1601 12034 A N N
USDJPY 20030321 0 1601 12030 B N N
USDJPY 20030321 0 1601 12034 A N N
USDJPY 20030321 0 1602 12029 B N N
USDJPY 20030321 0 1602 12032 A N N
USDJPY 20030321 0 1602 12027 B N N
USDJPY 20030321 0 1602 12037 A N N
USDJPY 20030321 0 1602 12030 B N N
USDJPY 20030321 0 1602 12036 A N N
USDJPY 20030321 0 1602 12028 B N N
USDJPY 20030321 0 1602 12038 A N N
USDJPY 20030321 0 1602 12030 B N N
USDJPY 20030321 0 1602 12034 A N N
USDJPY 20030321 0 1602 12027 B N N
USDJPY 20030321 0 1602 12037 A N N
USDJPY 20030321 0 1602 12029 B N N
USDJPY 20030321 0 1602 12035 A N N
USDJPY 20030321 0 1602 12031 B N N
USDJPY 20030321 0 1602 12035 A N N
USDJPY 20030321 0 1602 12030 B N N
USDJPY 20030321 0 1602 12035 A N N
USDJPY 20030321 0 1602 12028 B N N
USDJPY 20030321 0 1602 12033 A N N
USDJPY 20030321 0 1602 12028 B N N
USDJPY 20030321 0 1602 12034 A N N
USDJPY 20030321 0 1602 12026 B N N
USDJPY 20030321 0 1602 12036 A N N
USDJPY 20030321 0 1603 12028 B N N
USDJPY 20030321 0 1603 12035 A N N
USDJPY 20030321 0 1603 12030 B N N
USDJPY 20030321 0 1603 12035 A N N
USDJPY 20030321 0 1603 12029 B N N
USDJPY 20030321 0 1603 12033 A N N
USDJPY 20030321 0 1603 12029 B N N
USDJPY 20030321 0 1603 12035 A N N
USDJPY 20030321 0 1604 12028 B N N
USDJPY 20030321 0 1604 12033 A N N
USDJPY 20030321 0 1604 12028 B N N
USDJPY 20030321 0 1604 12034 A N N
USDJPY 20030321 0 1604 12029 B N N
USDJPY 20030321 0 1604 12033 A N N
USDJPY 20030321 0 1604 12028 B N N
USDJPY 20030321 0 1604 12033 A N N
Immediately we can see that the prices are correct, but the first sample shows a data beginning 20030320 1600 and the second a date beginning 20030321 1600. The reason for this is that data from 1600 to 2359 daily belongs to the 20030321 trade date.
To repeat, the time stamps for Time and Sales data are by trade date, and time stamps for all other intraday data (1 minute bars, 5 minute bars, etc.) are chronological.
The .ts file, when opened in a text file, is in the correct sequence as to be chronological. However, some scripts will assume the '20030321' portion of the time stamp means the tick occurred at 20030321 1600, which is not the case.
The next sample shows the transition from one day to the next, that is, over midnight Central US Time. One minute previous to midnight is included. The .b01 (one-minute bar) file is next.
Contract Date Time Open High Low Last #_Ticks_in_Bar (not trade volume)
USDJPY 20030320 2359 12041 12046 12040 12046 4
USDJPY 20030321 0000 12041 12048 12038 12044 19
USDJPY 20030321 0001 12040 12051 12037 12049 43
USDJPY 20030321 0002 12040 12051 12038 12048 40
USDJPY 20030321 0003 12041 12051 12040 12050 33
USDJPY 20030321 0004 12042 12051 12040 12047 23
This was built from the underlying .ts file, which follows:
Contract Date (S) Time Price (T)(M)(C)
USDJPY 20030321 0 2359 12041 B N N
USDJPY 20030321 0 2359 12044 A N N
USDJPY 20030321 0 2359 12040 B N N
USDJPY 20030321 1 0000 12045 A N N
USDJPY 20030321 1 0000 12044 A N N
USDJPY 20030321 1 0000 12041 B N N
USDJPY 20030321 1 0000 12046 A N N
USDJPY 20030321 1 0000 12041 B N N
USDJPY 20030321 1 0000 12046 A N N
USDJPY 20030321 1 0000 12038 B N N
USDJPY 20030321 1 0000 12048 A N N
USDJPY 20030321 1 0000 12041 B N N
USDJPY 20030321 1 0000 12046 A N N
USDJPY 20030321 1 0000 12041 B N N
USDJPY 20030321 1 0000 12045 A N N
USDJPY 20030321 1 0000 12042 B N N
USDJPY 20030321 1 0000 12045 A N N
USDJPY 20030321 1 0000 12041 B N N
USDJPY 20030321 1 0000 12047 A N N
USDJPY 20030321 1 0000 12040 B N N
USDJPY 20030321 1 0000 12044 A N N
USDJPY 20030321 1 0001 12040 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12044 A N N
USDJPY 20030321 1 0001 12041 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12038 B N N
USDJPY 20030321 1 0001 12048 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12047 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12048 A N N
USDJPY 20030321 1 0001 12043 B N N
USDJPY 20030321 1 0001 12047 A N N
USDJPY 20030321 1 0001 12043 B N N
USDJPY 20030321 1 0001 12045 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12041 B N N
USDJPY 20030321 1 0001 12051 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12047 A N N
USDJPY 20030321 1 0001 12040 B N N
USDJPY 20030321 1 0001 12045 A N N
USDJPY 20030321 1 0001 12041 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12042 B N N
USDJPY 20030321 1 0001 12047 A N N
USDJPY 20030321 1 0001 12039 B N N
USDJPY 20030321 1 0001 12045 A N N
USDJPY 20030321 1 0001 12040 B N N
USDJPY 20030321 1 0001 12045 A N N
USDJPY 20030321 1 0001 12037 B N N
USDJPY 20030321 1 0001 12047 A N N
USDJPY 20030321 1 0001 12041 B N N
USDJPY 20030321 1 0001 12044 A N N
USDJPY 20030321 1 0001 12040 B N N
USDJPY 20030321 1 0001 12044 A N N
USDJPY 20030321 1 0001 12041 B N N
USDJPY 20030321 1 0001 12046 A N N
USDJPY 20030321 1 0001 12039 B N N
USDJPY 20030321 1 0001 12049 A N N
USDJPY 20030321 1 0002 12040 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12040 B N N
USDJPY 20030321 1 0002 12050 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12045 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12043 B N N
USDJPY 20030321 1 0002 12045 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12047 A N N
USDJPY 20030321 1 0002 12042 B N N
USDJPY 20030321 1 0002 12046 A N N
USDJPY 20030321 1 0002 12041 B N N
USDJPY 20030321 1 0002 12051 A N N
USDJPY 20030321 1 0002 12038 B N N
USDJPY 20030321 1 0002 12048 A N N
USDJPY 20030321 1 0003 12041 B N N
USDJPY 20030321 1 0003 12046 A N N
USDJPY 20030321 1 0003 12040 B N N
USDJPY 20030321 1 0003 12046 A N N
USDJPY 20030321 1 0003 12042 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12042 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12042 B N N
USDJPY 20030321 1 0003 12048 A N N
USDJPY 20030321 1 0003 12041 B N N
USDJPY 20030321 1 0003 12051 A N N
USDJPY 20030321 1 0003 12043 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12044 A N N
USDJPY 20030321 1 0003 12043 B N N
USDJPY 20030321 1 0003 12048 A N N
USDJPY 20030321 1 0003 12044 B N N
USDJPY 20030321 1 0003 12045 A N N
USDJPY 20030321 1 0003 12043 B N F
USDJPY 20030321 1 0003 12053 A N F
USDJPY 20030321 1 0003 12043 B N N
USDJPY 20030321 1 0003 12046 A N N
USDJPY 20030321 1 0003 12042 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12041 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12040 B N N
USDJPY 20030321 1 0003 12050 A N N
USDJPY 20030321 1 0003 12042 B N N
USDJPY 20030321 1 0003 12047 A N N
USDJPY 20030321 1 0003 12041 B N N
USDJPY 20030321 1 0003 12051 A N N
USDJPY 20030321 1 0003 12040 B N N
USDJPY 20030321 1 0003 12050 A N N
USDJPY 20030321 1 0004 12042 B N N
USDJPY 20030321 1 0004 12048 A N N
USDJPY 20030321 1 0004 12041 B N N
USDJPY 20030321 1 0004 12051 A N N
USDJPY 20030321 1 0004 12040 B N N
USDJPY 20030321 1 0004 12047 A N N
USDJPY 20030321 1 0004 12041 B N N
USDJPY 20030321 1 0004 12047 A N N
USDJPY 20030321 1 0004 12042 B N N
USDJPY 20030321 1 0004 12046 A N N
USDJPY 20030321 1 0004 12044 A N N
USDJPY 20030321 1 0004 12041 B N N
USDJPY 20030321 1 0004 12046 A N N
USDJPY 20030321 1 0004 12040 B N N
USDJPY 20030321 1 0004 12050 A N N
USDJPY 20030321 1 0004 12041 B N N
USDJPY 20030321 1 0004 12047 A N N
USDJPY 20030321 1 0004 12042 B N N
USDJPY 20030321 1 0004 12047 A N N
USDJPY 20030321 1 0004 12040 B N N
USDJPY 20030321 1 0004 12050 A N N
USDJPY 20030321 1 0004 12042 B N N
USDJPY 20030321 1 0004 12047 A N N
The step from 23:59 to 00:00 in the first example above shows a change from the date portion of the time stamp from 20030320 to 20030321; whereas in the second example the date was already, and remained, 20030321. At the same time, the session indicator incremented from 0 to 1.
It is therefore possible to use the session indicator to order time and sales time stamps into the correct sequence chronologically.
To sequence the prices, when comparing two with the same date stamp such as...
USDJPY 20030321 0 2359 12046 A N N
USDJPY 20030321 1 0000 12041 B N N
... the larger time (2359) occurs with the smaller sequence number (0), then this price appeared first chronologically.
The above algorithm may be standardized as follows.
"To standardize time stamps to US Central time, compare ticks with a given date and more than one session. In the case that a larger time (e.g. 2359) occurs with the smaller sequence number (e.g. 0), then this price appeared chronologically before ticks with a larger session indicator. The date portion of all ticks with the smaller session indicator must be decremented by one. In the case there is only one session indicator or in which all trading halts previous to 00:00 US Central Time, the date portion of ticks for all sessions must be decremented by one."
Futures
A similar pattern will be observed with futures contracts such as EP and SPA, which trade overnight. However, there is one additional consideration for the fact that a session spans midnight. This is not evident in the previous example, because the first session ended at 23:59.
The sessions for EP (E-mini S&P 500 futures) are:
1545 - 0829 Globex Night
0830 - 1515 Globex Day (plus settle)
The first session spans midnight. Since the CQG database archives data by chronological date, data for this session is drawn from two different files. Therefore the DF will mark session 0 as 1545 -- 2359 and session 1 as 0000 - 0829. The second session (Globex Day) will be marked as session 2.
Special Cases
Question:
I am now having problems with the JGB dates. Sometimes the day changes when the time passes midnight, sometimes it doesn't as in the following two examples.
JGB DEC00 Contract
Example 1: Date does not change after midnight
Tick#
29068 27-Oct-00 23:58
29069 27-Oct-00 23:58
29070 27-Oct-00 23:59
29071 27-Oct-00 23:59
29072 27-Oct-00 23:59
29075 27-Oct-00 00:00
29076 27-Oct-00 00:00
29077 27-Oct-00 00:00
29078 27-Oct-00 00:00
29079 27-Oct-00 00:01
29080 27-Oct-00 00:01
Example 2: Date changes after midnight
Tick #
48108 7-Dec-00 23:54
48109 7-Dec-00 23:54
48110 7-Dec-00 23:58
48111 7-Dec-00 23:58
48112 7-Dec-00 23:59
48113 7-Dec-00 23:59
48114 8-Dec-00 00:30
48115 8-Dec-00 00:32
48116 8-Dec-00 00:37
48117 8-Dec-00 00:37
48118 8-Dec-00 00:39
48119 8-Dec-00 00:47
48120 8-Dec-00 00:48
These differences are causing me major problems trying to read the data (I can't read the times). Are you familiar with this problem?
Answer:
Because of the time difference between Tokyo and the US, the Tokyo trade date crosses midnight in Chicago. US Daylight Savings hours (which are not observed in Japan) add to the confusion.
In regards to the first example (trade date 20001027) the date portion of the time stamp is representing the trade date, and not the chronological date. This is the case for all Time and Sales files. Therefore in your example, the two ticks...
29073 27-Oct-00 23:59
29074 27-Oct-00 00:00
...follow each other immediately. It appears that these dates in 2000 were the last of the US Daylight Savings hours. The Data Factory extract indicates a session indicator that increased. This means that the tick from the new session belongs to the same trade date as the tick from the previous session.
F.US.JGBZ00 20001027 2 2359 13294 A N N
F.US.JGBZ00 20001027 3 0000 13293 B N N
In the second example, you indicate a date that increases...
48113 7-Dec-00 23:59
48114 8-Dec-00 00:30
The Data Factory extract shows the following:
F.US.JGBZ00 20001207 2 2359 13603 A N N
F.US.JGBZ00 20001208 0 0030 13603 T N N
Both the date and the session indicator are indicative of a new trade date. The date increased, and the session reset to 0. This pattern is observed in US winter hours. The observation you made indicates that, due to US Daylight Savings, the sessions from a single trade date will appear differently.
The current sessions for JGB (summer hours), in CDT, are:
0130 - 0400
1900 - 2100
2230 - 0100
The winter session hours for JGB, in CST, are
0030 - 0300
1800 - 2000
2130 - 0000
Additional Support
Use our Symbols and Exchanges search to view updated symbols lists and session information.
Two important notes:
- For the electronic platforms of CME and CBOT, please refer to Globex and e-CBOT respectively.
- The search lists sessions beginning with session 1, 2, etc., whereas the Data Factory begins with 0, 1, etc. Recall that the DF inserts an additional session at midnight for sessions that span midnight.
Saturday Time Stamps for Certain Contracts
Contracts such as SPA (CME) and DFA (CBOT) have evening sessions Sunday - Thursday that open the trade dates Monday - Friday like this (as defined by the exchange):
Day of week S M T W R F S
Evening Session X X X X X
Day session (inc. settle) X X X X X
Sessions of the same color belong together in one trade date. It can be seen that the evening session is immediately prior to the day session in each case.
Contracts such as JGB (TSE) and AP (SFE) have evening sessions Monday -- Friday:
Day of week S M T W R F S
Evening Session X X X X X
Day Session (inc. settle) X X X X X
While Monday's evening session opens Tuesday's trade date, Friday's evening session opens the Monday trade date. This means that the Friday evening session is exceptional in that it does not occur immediately prior to the day with its settlement; that is, there are two calendar dates (Saturday and Sunday) in between.
Sydney is 15 hours ahead of Chicago and our systems run on US Central Time. Given that Sydney contracts trade on a more or less 24 hour basis, the beginning of a session will be up to 37 hours ahead; or in the case of the Friday session, up to 85 hours ahead. This comes up against system limitations. In order to capture the evening sessions for contracts such as AP and JGB in their correct sequence (that is, evening session first, day session second, not the reverse) we have to 'trick' our system into accepting the session by pushing the session forward one trade date. This should be transparent to the user except in the case of a non-sequential session progression, that is, the trade date made up of Friday-Monday sessions.
This means that the Data Factory must necessarily capture Friday evening sessions with a Saturday time stamp.
Data delivery by FTP
CQG offers data delivery by FTP. This allows for quicker delivery and eliminates shipping costs. Before data can be posted to ftp, five conditions must be satisfied. 1) A valid order including specific symbols, dates, and formats must be received. 2) For new customers, a billing account must be created. 3) Billing (preferably to credit card if non-CQG customer) must be completed satisfactorily. 4) CQG's IT department needs to create an ftp login. 5) The data extraction from the database needs to be completed, and the file posted to ftp.
FTP downloads may be completed as follows. The customer will be provided with a unique login and password.
1) Using an Internet browser, the customer may type ftp://ftpb.cqg.com into the address line.
2) Then, pull down the file menu and click on Login as ... . Alternately, it is possible to type the address line as follows: ftp://login:password@ftp.cqg.com. Naturally, the password is case sensitive.
3) Watch for characters such as & and (,). This document and other important Data Factory documents are located at: ftp://sample:CQG@ftp.cqg.com.
Extracted data files will be in the login.Daily/Weekly.YYYYMMDD.order_id.part_number.zip and will be in folders named 20021117, 20021118 etc. These folders will be removed after fifteen days. Downloads from ftp must be done in binary (BIN), not ASCII format. If you are having problems logging in, check that you are in binary mode. In addition, it is generally not possible to login directly to a sub-directory such as login/20021117. Finally, if you do not see your folder update, refresh the browser.
Data File Compression
The data files compressed by CQG to approximately 1/5th to 1/20th of their normal "decompressed" size. The files must be decompressed before they can be used. Compressed files are delivered in *.zip format.
To decompress the data files, use "pkunzip" or "WinZip" which are available free on the Web at http://www.pkware.com and http://www.winzip.com.
The Zip format is a standard several decades old. Microsoft compression on XP uses a different standard. If Microsoft uncompress on XP does not recognize the format, please install a standard format compression such as Winzip.
When the data files are decompressed they become ASCII text files on the hard drive. The ASCII text files can be loaded into standalone systems, spreadsheets, or other types of software packages for analysis.