CME Equities Trading Hours

As discussed in the original thread, Sunday is not considered a normal trading day. For now, let’s keep that the working definition and if appropriate I’ll come back to it later and open it as a separate enhancement.

CME lists the following for trading hours:

• Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday 5:45 p.m. - 6:00 p.m. CT

This is coded the exchange_calendar_cme.py as:

    regular_market_times = {
        "market_open": ((None, time(17), -1),), # offset by -1 day
        "market_close": ((None, time(16)),),
        "break_start": ((None, time(15,15)),),
        "break_end": ((None, time(15,30)),)
    }

This doesn’t match the CME link.

Not being from this domain, I’ve also just spent an embarrassing amount of time trying to find the actual equities trading times. There is another set of times at the same CME link called Globex. It gives this table for the S&P E-minis.

Product Name	Sunday 13 Feb 2022	Monday 14 Feb 2022	Tuesday 15 Feb 2022
ES E-mini S&P 500 Futures	TRADE DATE: Mon 14 Feb 16:00 preopen 17:00 open	TRADE DATE: Tue 15 Feb 16:45 preopen 17:00 open	TRADE DATE: Wed 16 Feb 16:45 preopen 17:00 open

I interpret this as break_start should be 16:45 and break_end should be 17:00 except for Sunday. However, let’s table different regular_market_times on different days for a future enhancement issue.

For now, if anyone has pointers as to what should be the equities market trading hours it would be appreciated. Thanks!

[glossner]

@Stryder-Git sorry to hear about that. I recovered from Covid a couple months ago. It was not fun. Get well!

@muttermachine I updated my fork with the naming and calendar factorization by Markets. I modified your class names to exactly match the way CME lists them on their website. I’m very sorry if that clobbers anything you’ve done since your last commit. Going forward this should also allow us to work on different markets without stepping on toes.

[glossner]

I’m closing this. I believe it is complete. We can reopen later if needed. Thanks.