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It is my understanding that index futures and NYMEX traded instruments will now close 15 min early at 4:00 PM Central. This should not cause any problem.
I even recommend NOT to change any session template. If you do not change the templates
-> all session indicators should work with past data (which is important for backtesting)
-> all session indicators should also work with future data (even if the last 15 minutes of the chart are not populated)
If you adjust the session templates to reflect the new closing time, then you will get truncated charts for all trading days prior to September 20, 2015.
And if you follow those instructions, the session template cuts off all data between 4:00 PM CT and 4:15 PM CT for all trading days prior to September 20, 2015.
Backtests of all stategies that did not have a time filter for the newly excluded period would be false.
I have been asked several times to put this information into a thread in a condensed form along with the class of indicators that I have coded for sessions. So here it comes. The idea is to explain, why it is useful to use sessions, how to set up the …
Does it still apply?
In terms of trading times: there is a difference between the attached pic from the session template (afternoon starts 15.30) and the text (15.15). I assume 15.15 is correct?