API Support Forum
OEC API > Market Data > Sunday daily bars
Author Topic: Sunday daily bars
(2 messages, Page 1 of 1)
Moderators: VPfau
Posts: 88
Joined: Feb 12, 2009

Posted: Mar 30, 2009 @ 01:53 PM             Msg. 1 of 2
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.
Posts: 475
Joined: Jan 26, 2007

Posted: Mar 30, 2009 @ 04:13 PM             Msg. 2 of 2
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.