I'm looking at the ES daily chart and I'm wondering what hours are used for this data? I suspect it's not regular trading hours. If I want regular trading hours (cash market) should I use the big pit contract or SPX instead?

Since @ES trades in a single session, we use the exchange trading hours for the daily bars.

From the CME website: Mon/Thurs 5:00 p.m.-3:15 p.m. & 3:30 p.m.-4:30 p.m.; Shutdown period from 4:30 p.m. to 5:00 p.m. nightly; Sun & Hol 5:00 p.m.-3:15 p.m.

You can use the pit contract if you are only looking for the regular market hours, but the price won't always match that of the electronic contract. If you want custom time values for a daily chart, you would need to generate your own daily bar off of intraday data. You could use a long term (n)Minute intraday bar to generate a "custom" bar chart based on the time you would like.

---

Jay Froscheiser
DTN - Trading Markets

This is a great suggestion about using n-minute bars to make a daily, but unfortunately the ES minute data only goes back to end of 2005 and I'd like to test over a longer period of time. :)

Thanks for the info.