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TPO and forex

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tr8er View Post
@Grantx,

no, the settlement-price isn't the closing-price at 5pm ET, the settlement-price is calculated by the CME once a day and for currency-futures it is calculated at 2pm ET (end of day-session) and is based on a VWAP (and some other rules) of the last 1 1/2 minutes before 2pm ET.

Right, except it's 2PM CT, so 3PM ET.

Either way @Grantx, open a cash EURUSD and open volume on it. As already discussed, this won't be a meaningful aggregate, but it will show that every day at 17:00 ET, the volume is at the lowest. And, as discussed before, this is the time just after US closes, and before Australia opens. Markets open Sunday around 5pm ET, and they all close by 4pm or 5pm ET Friday. So, the most logical choice for a "day" in forex is 5pm to 5pm. If there's a better choice, I'd be interested to hear reasons behind it.

At any rate, don't overthink it, and if using TPOs, are you sure you want to give equal weight to the 5pm hour as the hour when the market is active? Would just use a EURUSD cash chart with a volume profile and be done with it.

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