Any platform I have tried has used Open, High, Low, Close for chart candles. On the quote board there is often the Settlement price listed for the previous day, or if I want to know the Settlement from a few days ago I can go to that page on the
CME website for the product. But charts show OHLC (though if somebody said that using Settlement was an option on Sierra Charts I wouldn't be surprised as that platforms seems to be capable of just about anything).
Same with indicators that use OHLC such as
pivot points, it's the close not the Settle.
I also haven't ever used a chart package that allows "people to aggregate their chart at the market open". Perhaps they are only charting the Regional Trading Hours so 9:30am-4:00pm ET for the US Equity index futures to correspond to the stock
market hours. That way it would be easy to see the first hour or two from the open. Especially if using a Market Profile chart where the first hour is the
Initial Balance, and the bars could be coloured differently for the second hour and fourth hour.
If using full data charts showing the 24 hour day and the 23 hours Extended Trading Hours ES session then if I have ever looked at the 4hour bar chart I think it has just reset at 12, 4, 8, 12 o'clock. Personally I would have a look at the CME charts on their website and if those charts on the product Quotes Page, use those standard 4 hour reset times be happy with the same yourself.
Regarding
continuous contracts, my Daily chart is continuous so that I can stick a couple of long term simple moving averages on there simply as a bit of a reference. A non
continuous contract often doesn't really have enough days data for a 200SMA when the
contract becomes the front month.
But depending on your platform a contract can be back adjusted or not when 'stitching' together the contract months which can change the price of past swing highs or lows.
Ninjatrader for instance has the option to to use back adjusted data or not for continuous contracts so it is easy to compare the difference.
Personally if price had just rolled over in a contract and I wanted to know an exact swing high/low price from the week before I would use the new current month contract non continuous chart for checking the level.
So my long-term continuous
ETH Daily chart is a 'big picture' view, and for recent historical swings highs/lows I can get them off my non continuous contract Market Profile chart which has
RTH profiles (for the NQ). Those Market Profiles show the close at 4:00pm and the Settlement is now at that time too which usually very close in price. And if I was using
pivot point indicators, it would be whatever indicator was on the platform which would use OHLC info from the full data Daily chart.
Therefore it is a mix. IMHO I don't think there is really a 'correct' answer. Just use whatever is convenient and makes sense to you for the product and timeframe you are trading (eg: day trading the US equity indexes in the US session, one might just refer to RTH data, or if trading US Crude which also has reasonable trade volume outside the traditional RTH hours, then look at the full ETH session etc).
