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Point Roberts, WA, USA
Experience: Advanced
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Trading: ES
Posts: 4,034 since Dec 2010
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This is continuation of Part 1 which I posted in the wrong place instead of this existing thread.
Part 1 was my understanding of the hours and this Part 2 is a continuation of that with the implications for pivot points and ETH close ect
(I may be covering the same ground others have in this thread  )
So you may have figured out that the ETH session for Monday doesn't end at 15:15 Monday.
There is a little fragment tacked on to the ETH session after the RTH close - not part of Tuesday but added back to Monday. From 15:30 to 16:15 = 45 mins this fragment of time is added to Monday's ETH session
here is a chart (the vertical line is at the end of the fragment)
so the ETH high and low are possibly changed if the fragment has a value outside of the range from 17:00 Sunday to 15:15 Monday
This was the case on Monday 19 Nov 2012 - as the ETH high was 1385.75.
The RTH high was 1384.75 and greater than the o/n high of 1371.50 (so under the old system the RTH high would have been the ETH high -- but no longer!!)
ETH Session data:
So you cannot gather the data for the ETH session for Monday until the fragment has traded 15:30 to 16:15
This can change things like pivot points on the ETH session.
also the ETH close.
(The VWAP is still 15:14:30 to 15:15 I think(??) - go figure!!)
The next screensnap is the RTH data for Monday (source IB - so...)
So the RTH close is 1382.75 (which would have been the ETH close under the old system) however now the ETH close is the fragment close 1381
..........
peace, love and joy to you
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