Adjusting futures data for liquid hours

April 11th, 2012, 10:59 AM

Thanks Mikky, I think Mike and I weren't talking about the same issue. My issue is that RTH is not the best way for all products, not just gold futures. For example, it doesnt make sense to chart Yen Futures on our market hours since the yen moves heavily overnight. Each futures product has different characteristics.

Thanks guys

April 11th, 2012, 11:28 AM

kottgolf

Thanks Mikky, I think Mike and I weren't talking about the same issue. My issue is that RTH is not the best way for all products, not just gold futures. For example, it doesnt make sense to chart Yen Futures on our market hours since the yen moves heavily overnight. Each futures product has different characteristics.

Thanks guys

I thought you were looking at volume, not price.

Price moves more overnight than it does during the day many sessions.

I personally use only 24h charts for this reason. But some people only want to trade when volume is high, and that is clearly going to be the RTH cash session.

Mike

April 11th, 2012, 03:23 PM

If you look at the average true range for a tick or volume chart you will see it spikes overnight and drops during the day.

Adjusting futures data for liquid hours

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Adjusting futures data for liquid hours