Daily OHLC

[Harry]

Do not think that midnight to midnight is very helpful. Midnight depends on your local time. All futures have sessions which are part of the instrument specifications, which are used to separate intraday from overnight trades, and which are used to determine the trade and the settlement date.

The settlement price of that session is used to calculate profits and losses and to determine the maintenance margin of the position. There is absolutely no point to use midnight of whatsoever time zone.

If you use midnight EST for stocks, that will do, because they are not traded overnight.

Harry, thanks for the comment. Yes, that is what I ended up doing; it was the only way I could get the numbers to line up.

As it turns out, the calculations from midnight to midnight vs. session start to session end may actually be more useful.

Decisions, decisions, what keeps this job so interesting.

[ScottB]

Good point!