Daily Futures Data during US holidays

[rcamrn123]

Can anyone give a reason why daily futures data is merged into next day data from globex trading during US holidays?

I really don't understand why that is as there is intraday data separted by dates then surely the daily data should be same even though the session is short.

It messes up trader pivots and more often than not what happened during the short trading session is revisited at some point during the full trading session.

Robert

[ACM]

Robert
That is because the exchange defines to which trade date the trading activity is for.
For Globex see the CME President's Day Schedule (you can find schedules for other holidays at the CME's site)
Alex

Can anyone give a reason why daily futures data is merged into next day data from globex trading during US holidays?

I really don't understand why that is as there is intraday data separted by dates then surely the daily data should be same even though the session is short.

It messes up trader pivots and more often than not what happened during the short trading session is revisited at some point during the full trading session.

Robert

[rcamrn123]

Dear Alex,

Thanks for the link.

For ES would be covered under Equity products?

If so, it shows normal open and close between 6:15-10:30CT for the holiday yesterday February 18, 2013? There is certainly intraday data for the day but not daily data to show on daily charts and it has been merged into data from this day session (from 17:00CT yesterday)

Am I reading this right?

Robert

[ACM]

Robert
You may want to read again which trade date that session refers to
BTW the 6:15-10:30 session is only for USD-Ibovespa futures. The Equity Index futures actually started the session at 17:00 on 2/17/13 as per the schedule
Alex

Dear Alex,

Thanks for the link.

For ES would be covered under Equity products?

If so, it shows normal open and close between 6:15-10:30CT for the holiday yesterday February 18, 2013? There is certainly intraday data for the day but not daily data to show on daily charts and it has been merged into data from this day session (from 17:00CT yesterday)

Am I reading this right?

Robert