If I understand it correctly, intraday bars are displayed based on the Start Time of a particular day in a given Session Template.
For example, using default NT settings for the CME US Index Futures ETH session template the hourly bars on any normal Monday would close at the hour because the Start Time for that particular day is Sun 17:00 CT but hourly bars for Tuesday through Friday would close at the half hour because the Start Time for those days is 15:30 CT. This is, I am sure, expected behaviour but it is odd nonetheless.
I have decided to create a custom session template in which the Monday session starts on Sun 15:30 instead of Sun 17:00. I am aware the exchange trading hours are different, but using IQFeed I get the desired results - i.e. bars for Monday's session will end at the half hour (as is the case during the rest of the week) with the first bar closing at 17:30 CT instead of 18:00 CT.
Users - Have you approached this problem in a similar way?
NT team - Do you anticipate any problems for backtesting, etc.? Or should it be fine?
Thanks,
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