What intraday bar close to use for ES ETH / RTH daily close? - futures io
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What intraday bar close to use for ES ETH / RTH daily close?


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What intraday bar close to use for ES ETH / RTH daily close?

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  #1 (permalink)
 brakkar 
Paris + France
 
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Which intraday time bar to use for daily close of the ES, for the regular session, and the extended globex session?

for RTH, not sure if it should be 1600, 1615 or 1700.
for ETH, not sure if it is 1615 or 1700 or even something else.

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  #3 (permalink)
 tr8er 
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RTH close is at 4:15 pm ET
ETH close is at 5 pm ET

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  #4 (permalink)
 brakkar 
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tr8er View Post
RTH close is at 4:15 pm ET
ETH close is at 5 pm ET

Thanks, and ETH open 6:00 PM ET right?

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 tr8er 
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yes, this is correct, the open is at 6 pm ET (00:00 our time )

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 brakkar 
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Yes, same TZ

What about the little piece between 4:30pm -> 5:00pm?
Is it even worth considering?

On several charting plateform, you can only define 2 sessions:

Day RTH: 9:30am -> 16:15PM
Night: 6PM -> 9:29:59AM

So it implies that the ETH spans from 6PM to 16:15PM on the next day, missing that half hour between 4:30pm -> 5:00pm.

How to deal with this?

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  #7 (permalink)
 tr8er 
Europe
 
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brakkar View Post
Yes, same TZ

What about the little piece between 4:30pm -> 5:00pm?
Is it even worth considering?

On several charting plateform, you can only define 2 sessions:

Day RTH: 9:30am -> 16:15PM
Night: 6PM -> 9:29:59AM

So it implies that the ETH spans from 6PM to 16:15PM on the next day, missing that half hour between 4:30pm -> 5:00pm.

How to deal with this?

not sure what you mean? In general all platforms show the ES from 6pm - to 5pm (of course also the 30min after the 15min break)

I use TradeNavigator, there I can choose the day-session chart as well

But there are also platforms like Ninja, there you can use i.e. the RTH chart to get the day-session or others like Sierra (it seems you use it) there you can see the entire session (globex) or you can set each time-period you want

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 brakkar 
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Thank you for your answer.
I somewhat managed to set it properly for CME futures.

Now comes EUREX Futures :/
I'm even more confused. Maybe you can help since you are in Europe too.

Looking at this for FDAX:
https://www.eurexchange.com/exchange-en/trading/trading-calendar/trading-hours/Trading-hours-20280?frag=243686

on CET time, I looked at a daily EUREX chart to try to compare OPEN/CLOSE on the daily to synchronize with intraday.

I managed to find that the correct Open time is CET TES Block Trading at 01:15:00. This is Daily open.
However, I was not able to find the daily close at 22:00:00.

1) Question 1: what should be the intraday last time so intraday close = daily close, unless there is settlement issue that make it not correspond. In this case, should I use 22:00:00 as intraday close?

2) Is there anything as RTH AND ETH session as in US futures ? If yes, what are their respective time span?

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 tr8er 
Europe
 
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Hi,

yes, since a while the Eurex changed the open to 1:15 CET (winter-time) and 2:15 CET (summer-time) and the close is at 22:00 CET, they have changed it, to allow their most traded products (FDAX, FESX, FGBL and some more during the asian session) the "old" trading hours have been 8:00 to 22:00 CET.

The day-session (cash-session) for Eurex-futures is: 9:00 to 17:30 CET

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