Sessions
Trading hours, and what a session template changes
Equity index futures trade nearly around the clock, which means the word "day" has at least three meanings: the exchange's trading day, the regular session, and whatever your charting software has been told a day is. When those disagree, your indicators quietly compute something other than what you think.
The exchange day for equity index futures
ES, NQ, YM, RTY and their micros trade on CME Globex from Sunday 5:00pm Central through Friday 4:00pm Central, with a 60 minute halt each day from 4:00pm Central. In Eastern time that is a 6:00pm Sunday open and a 5:00pm to 6:00pm daily break.
The consequence that trips people is that the trading day starts the evening before the date it is named after. Monday's session begins on Sunday evening. A trade you take at 8:00pm on Tuesday belongs to Wednesday's trading day as far as the exchange is concerned.
| Window | Central | Eastern | What it is |
|---|---|---|---|
| Globex open | Sun 5:00pm | Sun 6:00pm | Start of the trading week |
| Daily halt | 4:00pm to 5:00pm | 5:00pm to 6:00pm | Maintenance break, Mon to Thu |
| Regular session | 8:30am to 3:15pm | 9:30am to 4:15pm | Equity index RTH |
| Cash equities | 8:30am to 3:00pm | 9:30am to 4:00pm | The underlying stock market |
Why the futures session outlasts the cash session
Equity index futures keep trading for fifteen minutes after the stock market closes. That quarter hour is thinner than what came before it and it is still a real market, which is a combination worth respecting: the same size that moved price one tick at midday can move it several here.
What a session template actually changes
A session template tells your platform where one day ends and the next begins. Changing it does not change the data, it changes what every calculation built on top of "today" resolves to:
- Bar boundaries. Daily bars, and the first bar of any intraday series, form where the session says they do.
- Daily high and low. Including "yesterday's high", which is a level a great many people draw and not all of them are drawing the same one.
- VWAP. It anchors at session start. A VWAP anchored at 5:00pm the previous evening and one anchored at 8:30am are different lines, and the difference is largest exactly when the overnight moved.
- Anything that resets daily. Opening range tools, daily pivots, session volume profiles.
There is no correct template, only a consistent one. Whether you anchor to the full Globex day or to the regular session is a choice about what you are measuring. What is not optional is that your chart, your indicators and your notes all use the same one. A level drawn under one template and traded under another is a level taken from a different market.
How this shows up in your records
Your export carries entry timestamps, and anything that groups those into days has to pick a boundary. The Trade Lab groups on the calendar date of the entry, in your machine's local time. That is the right answer for the overwhelming majority of sessions and the wrong one for a specific case worth naming: if you trade the overnight, a position opened at 11:30pm and another opened at 12:30am land in two different sessions even though you would call them one sitting.
If that is how you trade, read the Lab's per session numbers with that in mind. It is a limitation of splitting on the calendar, not a bug, and saying so is better than quietly producing a debrief that splits your night in half without mentioning it.
Hour by hour is where this gets useful
Once the timestamps are in, the interesting question is not what the session hours are but which of them your trading actually worked in. That is a measurement, not an opinion, and it needs enough trades in each hour before it means anything. The Lab reports a best and weakest hour only once there are enough hours with enough trades behind them to be worth stating.
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