Please help.
I’m trying to model a strategy that uses high volume hours of the futures exchanges – notably on the 10 year treasury future.
I’m looking to model open and closes. I’m a bit focused as to the data i’m seeing. I’ve included a chart here that appears contra to logic. I think I must be misunderstanding the charting of these instruments.
The chart I’ve included charts both daily and 5 min data for the ZN – 10 Year Treasury note contract. I’ve used the session manager to define the session to the regular trading hours – i.e. CBOT Interest Rates RTH.
However, the open and closes of the daily and 5 min sessions don’t appear to align. If we take the 17th March example shown in the screen shot the open closes don’t appear to align. On the 5 min chart the close of the 16th March is above the open on the 17th March. However, if you look on the Daily section of the chart, the open of the 17th March is above the 16th close. I have set both data series to CBOT Interest Rates RTH.
I am based in GMT time zone.
Thanks and regards,
drolles
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