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Does the Daily Bar Adhere to Session Times?

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    Does the Daily Bar Adhere to Session Times?

    Does the daily bar times for say Crude Oil Future adhere to the session times of the instrument?

    Crude Oil (CL) opens at 4 PM (Mountain time)-and continues through 15:15 the next day. Will the Open for the Daily bar be the open at 4 PM? If not--what will it be?

    Likewise, will the Close be at 15:15 Bar?

    Thanks...
    Jim-Boulder
    NinjaTrader Ecosystem Vendor - Elephant Tracks

    #2
    What daily bars show depends on your data provider. For example

    For CL Kinetick typically shows

    - the full session open (6:00 PM EST)
    - the full session high and low (between 6:00 PM EST and 5:15 PM EST next day)
    - the settlement price (volume weighted average price around 2:30 PM EST)

    while Rithmic / CQG show

    - the regular session open (9:00 AM EST)
    - regular session high and low (between 9:00 AM adn 2:30 PM EST)
    - the regular close (2.30 PM EST)

    If you look at it, you may get four different values on some days.

    The open, high, low and close shown on an intraday chart depend on the session template that you have seleceted. The session template does not have any impact on daily data.

    Comment


      #3
      Thanks Harry--that explains the differing 'opens' I am seeing!
      Jim-Boulder
      NinjaTrader Ecosystem Vendor - Elephant Tracks

      Comment

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