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:



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