Dual DST Differences for Funds and CTA's

edited February 2016 in Historical Data
Depending on the location of your trading operation(s) Dual-DST differences are a primary headache to intraday data creation for many funds.  CQG Datafactory and Portara raw databases are all timestamped in Chicago time REGARDLESS of the exchange in which the data derived from.  This is a potential nightmare for Funds residing in the US, for instance who wish their overseas markets to display exchange timestamps.  See how Portara resolves these differences for all global exchanges regardless of your funds location.  There's more here than meets the eye... Direct: or Portara main Tutorials: http://www.portaracqg.com/tutorials-professional-development/

Comments

  • edited February 2016

    How does Portara handle special DST settings that doesn't affect a whole
    exchange and that are only applied to specific contracts?

    For example:- 
    1. The ICE Europe Brent contract always follows a different set of
    trading hours during the US and UK DST transition, can Portara handle this kind
    of nuance? 

    2. Is Portara aware of the additional trading hours that were applied to
    some LIFFE during the US/UK DST transition?

  • Tricky questions! - but good points raised:
    1.  If that is a concern then yes, you may set a series of multi session markers to follow the opening hours exactly of the exchanges.  In reality however, what is normally the case is that a trader may have set/static trading hours/routines/algorithms across a general robust set of instruments in which they want to trade.  So a single opening and closing session that suits them may suffice.  Or just look at everything the exchange throws your way.
    2. There are two points here:
    a. No, not aware, but the point is Portara doesn't need to be.  Whatever data comes from the exchange gets handled within Portara according to the settings you give it inherently.
    b. Some LIFFE products have differentials related to the timezones too.  For instance Paris traded commodities differ in timestamps compared to London across the same exchange.  Portara handles these nuances without you needing to even be aware of them.

    Hope that's helpful, and thanks.
  • Yes it does, thank you.
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