trendisyourfriend 

It's a somewhat counter-intuitive to think the daily bar can close before the day is completed. Wait until i try to explain that to my wife

The bar does not close, it is just the settlement, which is taken at the close of the underlying. And your wife might understand as well that the settlement can take place prior to the end of the session.

Some observations regarding RUSSELL. If you use NT6.5 then set your chart properties for session begins/ends to 18:00/18:00 for Eastern time.

Link to get OHLC, settlement and volume:

https://www.theice.com/marketdata/nybotreports/getFuturesDMRResults.do?tradeDay=27&tradeMonth=8&tradeYear=2010&commodityChoice=TF&venueChoice=Electronic&view=print

You may change the day/month number after the parameter tradeDay=27 and tradeMonth=8 before clicking this link or better use Excel to automate this action.

For a quick idea about the settlement price you may check on a 15min chart the opening print of the bar at 16:30 (Eastern time). Most of the time it matches the settlement price.

Fat Tails 

TF trades at ICE/Nybot from 8:00 PM to 6:00 PM EST. So you basically have three subsessions for the day: Night session : 8:00 PM to 9:30 AM EST (early start of Sunday night session at 6:00 PM) Regular session : 9:30 AM to 4:15 PM EST. After-session: 4:15 PM EST to 6:00 PM EST. I use the session template attached. Further I take the settlement data from daily data (Kinetick-EOD), which I call on intraday charts.

Hi @Fat Tails

As you are the expert with session profile definition, i was wondering, how do you plan to define your session template for Russell on the CME? Are you gonna use the same session definition we are using for the ES/YM/NQ ?

Symbol: RTY - current front month Sept. 17 - RTYU17

Trading Hours: (Now Same as ES)

Contract Specs: $5.00 per tick

Also, i was wondering, how will the CME match or align the historical datas with this new symbol since the hours are a bit different? Or do we start from scratch?

trendisyourfriend 

Hi @Fat Tails As you are the expert with session profile definition, i was wondering, how do you plan to define your session template for Russell on the CME? Are you gonna use the same session definition we are using for the ES/YM/NQ ? Symbol: RTY - current front month Sept. 17 - RTYU17 Trading Hours: (Now Same as ES) Contract Specs: $5.00 per tick Also, i was wondering, how will the CME match or align the historical datas with this new symbol since the hours are a bit different? Or do we start from scratch?

I would only chart it once it has become liquid. So far we do not know anything about volume.

Once it is a liquid instrument, I would use the same session template or trading hours template as for ES.