Serious Problems with Globex - Dave Green
The commodity exchanges have recently added markets that previously traded during the day only, to the Globex, for trading during the evening and late at night. Most of the data vendors and newspapers (Wall Street Journal, etc) are reporting the day session and Globex prices, combined together. In fact, the exchange itself ONLY reports the COMBINED session and I have been told does not even maintain or keep a record of the day prices!
Quite possibly, a reason the exchanges do not want to report the day session separately is because they think by only maintaining combined prices it may force traders to eventually start trading the Globex. However, every trader I have spoken with over the past few months have said they have never and likely will never trade Globex, for following reasons: (a) Globex does NOT allow limit orders, good until canceled orders, or allow stop-loss orders, thus placing the trader at great risk because of no stop-loss protection; (b) Orders are good for one Globex session only, and do not even carry-over to the day session, thus forcing orders to be constantly replaced. For example, if a trade lasts 5 days, just 1 open-order is necessary for the normal day session for the 5-day period, but a total of 6 separate orders would have to be entered by both you and your broker to effectively trade both night and day, during the same 5-day period; (c) Very likely poor liquidity and subsequent poor fills, with great slippage potential. That's because there's very few speculators and private traders using Globex. Most of the volume consists of occasional large block trades from overseas banks, etc.; (d) It's mentally exhausting and stressful simply trading during normal business hours. Few traders (myself included) have the desire, time or energy to trade around-the-clock!
If the trader is not actually trading around-the-clock, but night session data is included in his data files, many trading systems are subject to incorrect trading reports, and more likely losing trades! For example, there have been some actual trades where the Globex/night data has a high price about 100 points higher (made late at night) than the high made during the DAY session.
When running P&L Reports, the trading system may report incorrectly that either the target or stop-loss was hit, resulting in either a large loss or large winning trade, when actually neither target or stop were touched during the day session! The major difference in daily ranges can also cause incorrect signals, targets or stops, with many different and diverse trading systems and methodologies.
Some clients have told me that due to Globex/night data, on some recent real-time trades, a System may report a loss of $1,250.00 but the trader actually made $1,250.00 (a $2,500.00 swing difference) on the same trade (the opposite can also occur). In addition, the exchange reported opening price is almost always different than the actual day session open, sometimes by huge amounts, because the prior night-ending price is reported as the days open. Once again there is great likelihood of serious distortions in trades and P&L Reports, unless the trader is actually trading Globex/night session.
The current day/night session markets are: JYen, DMark, SFranc, BPound, Canada$, US$ Index, TBonds, Eurodollar, TNotes-10yr, TBills. Other markets such as S&P and possibly other exchanges and other markets may soon be trading on Globex. Note: US$ Index is not on Globex, but has its own night session. Night session TBonds still distort the data but not quite as seriously as it will when TBonds also gets listed on Globex, because the Globex hours are much longer.
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