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Topic: Sunday daily bars (2 messages, Page 1 of 1) |
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jlanawalt Posts: 88 Joined: Feb 12, 2009 |
What data is making the Sunday daily bars on Contracts like DX-MM9 for the 22nd and 29th of March 2009?
I had always thought the exchange considered the data starting Sunday night to be "marked to the market" and dated Monday afternoon/evening. Looking at the historical end of day data from The ICE, they list no market data on Sundays. |
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SergeK -Developer- Posts: 475 Joined: Jan 26, 2007 
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We calculate daily data based on session start time - i.e. from 7 PM CT previous day to 7 PM CT current day. On Sunday trading seem to start 2 hours earlier, and these 2 hours form extra "Sunday" bar.
We are working on a solution of that problem. |
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