Pulling Session Times and Tick Values into Excel

Various markets have different times for their trading sessions. Some markets, such as the Bund contract (symbol: DB) traded on Eurex, has only one session. Other markets, such as the E-mini S&P 500 contract (symbol: EP) traded on the CME Globex, has three sessions.

Here are the RTD formulas for each session's open and close times:

=RTD("cqg.rtd", , "ContractData","EP","OpenTime","0") = 17:00

=RTD("cqg.rtd", , "ContractData","EP","CloseTime","0") = 8:30

 

=RTD("cqg.rtd", , "ContractData","EP","PrimarySessionOpenTime") = 8:30

=RTD("cqg.rtd", , "ContractData","EP","PrimarySessionCloseTime") = 3:15

 

=RTD("cqg.rtd", , "ContractData","EP","OpenTime","2") = 15:30

=RTD("cqg.rtd", , "ContractData","EP","CloseTime","2") = 16:00

In addition, you can call in the tick size and tick value for a market using these RTD formulas:

=RTD("cqg.rtd", ,"ContractData", "EP", "TickSize")

=RTD("cqg.rtd", ,"ContractData", "EP", "TickValue")

This Excel sample has the above formulas:

Downloads

File
SessionsandTickValues.xlsx

Disclaimer

Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. The opinions expressed here are solely those of the author and do not reflect the opinions of CQG, Inc. or its affiliates.