How to build futures daily bars with full sesion time?
Posted: Dec 19 2016
Hello.
I´m triying to build daily data from minute data. And I have the problem than the daily bars employs only determinate time sesion hours to generate it. Then daily bar doesn´t coincide with 1 minute bar range for this day.
I´d like to have daily bars from complete sesion, since 17pm until 16pm hours.
For example:
If you see the chartto sesion 01/11/2016, daily bar shows a high of 2125.50 but if you see the minute series the high was 2129.50.
I have view than is possible to choose how sesion is built, but choosing 24/5, 24/7, or CME:Equity Index Futures.
But choosing 24/5 the daily bar continues having a High in 2125.50. I think it takes it from 8h time.
¿How should I do to have daily bars with the complete hour range?
Could anybody helps me?
Thanks in advance.
I´m triying to build daily data from minute data. And I have the problem than the daily bars employs only determinate time sesion hours to generate it. Then daily bar doesn´t coincide with 1 minute bar range for this day.
I´d like to have daily bars from complete sesion, since 17pm until 16pm hours.
For example:
If you see the chartto sesion 01/11/2016, daily bar shows a high of 2125.50 but if you see the minute series the high was 2129.50.
I have view than is possible to choose how sesion is built, but choosing 24/5, 24/7, or CME:Equity Index Futures.
But choosing 24/5 the daily bar continues having a High in 2125.50. I think it takes it from 8h time.
¿How should I do to have daily bars with the complete hour range?
Could anybody helps me?
Thanks in advance.