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»Forums Index »NEW IQFEED FORUMS »Data Questions »Daily data range
Author Topic: Daily data range (2 messages, Page 1 of 1)

tarasov
-Interested User-
Posts: 12
Joined: Oct 24, 2020
Posted: Mar 9, 2021 09:00 AM          Msg. 1 of 2
Hello.
Can you explain me how calculates daily data for assets from CME, which traded since 6:00 p.m. to 5:00 p.m. ET next day. I suggest that daily data in this case includes all data for trading session and labled as second day (I mean 2021-03-08 includes 2021-03-07 18:00 ET - 2021-03-08 17:00 ET). Is it correct?

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014
Posted: Mar 9, 2021 10:21 AM          Msg. 2 of 2
Daily bars start with the open of the session and continue through the next calendar day till the close on that day and highs and lows are based on the entire session across the day with the date assigned to the second day. The close however is based on the settlement value which is not the last trade of the session.
Stephen Shockey
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