How to interpret session data for specific instruments?

martin.grunwald

I am trying to match session information for JGBc1 retrieved via the RDP data library for .net (using the 3.2.06-Endpoint-TSIMetadata example) with the trading sessions shown by the EIKON instrument explorer. The first session for Monday, according to EIKON, starts on Friday 15:30 and an ends on Saturday 6:01 (as expected). For all other days it starts on the day before and ands on the respective trade day. But looking at the json data I cannot see how I am supposed to derive this information. I extracted and appended the relevant json data below.

What does the "trades" array mean and how is it connected to the "tradesText"? That is the part I suspect encodes the information but I don't see how I am supposed to interpret it.

{

"trades": [

null,

2,

3,

4,

5,

1

],

"tradesText": {

"tue": "tue",

"wed": "wed",

"thu": "thu",

"fri": "fri",

"mon": "mon"

},

"tradingPhase":
"Normal (Evening Session)",

"startTime": [

15,

30,

0

],

"endTime": [

6,

1,

0

],

"classificationText":
"Normal",

"classification": 1,

"isOvernight": true

}

nick.zincone

Hi @martin.grunwald

I've reached out to the internal team to see if there are any details related to the interpretation of the Trading Sessions as these rules are quite detailed. Based on what I know, the "isOvernight" flag will need to be taken into consideration.

The "TradingSessions" definition are designed to determine the rules to be applied based on the datetime of the trading activity. When the overnight flag is set set to false, the range of the trading window is literally between the start/end time defined for the current day based on the exchanges timezone (OSA). However, if the overnight flag is set to true, the range of the trading window spans a day. For example, based on the market activity, the trading window for the "Normal (Evening session) can be either (today:tomorrow), i.e. today (3:30 P.M) to tomorrow (6:01 A.M) or (yesterday:today) yesterday (3:P.M) to today (6:01 A.M).