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The CME eliminated the 4:15pm ET 15 minute trading pause for equity futures and options effective 2021-06-28. Team BPA continues to use the close of B81 as the day’s RTH close. I continue to wonder why that is. Including the 3 extra bars after the close of cash market trading at 4 pm ET affects EMAs, trend lines and MM targets. In my opinion, since the change, B81 is just another ETH bar from the RTH close to the end of the business day at 5 pm ET and the use of its close as the defintion of the day’s close is completely arbitrary. I imagine that Team BPA wanted to remain consistent with the definition of RTH since before the change. However, in order to better assess the potential significance of the B81 close before and after the change, I looked at the volume of the final minute of B81 . The results are shown below for the 2 year period before and after the change. The scale on both distributions is the same for comparison. To me it’s clear that the market, both humans and machines, place no significance at all on the close of B81. What was the median of the pre-change volume distribution is now an outlier. I think that the close of B90 at 5 pm ET would be a better choice for the close of RTH but I also think that the best choice is the actual close of RTH, the last tick of B78, or perhaps the CME-determined settlement at 4 pm ET. (The CME calculates the volume-weighted average price (“VWAP”) of all trades executed on CME Globex between 15:59:30 and 16:00:00 ET, rounded to the nearest .25 index point.) For my own RTH charts I define RTH as the time that the cash market is open, from 9:30 am to 4 pm ET, 78 bars. Every trader can define the close of the day’s activity in any way they choose but I choose to use 78 bars. Just my 2 cents.
I was wondering about the exact same thing too. I think all the tools I use (e.g. Tradingview, edgeful etc) see 10PM as the close, so this would make bar 78 the last bar. I am deciding to go to 78 bars too now, but BPA still using 81 bars makes it a bit confusing. Would be helpful if someone of the admin team would reply to this. Very significant for the reasons stated by Mike.
I asked that question just now using AI from Opera ARIA 😮
Al Brooks' decision to utilize 81 bars during the session opening may stem from either personal preference or a specific strategy he has honed over time. He likely perceives 81 bars as the ideal quantity for capturing the most significant price action and market dynamics without complicating his analysis unnecessarily.
The absence of the 6 bars could be indicative of how Brooks segments his trading day or the particular time frames he concentrates on. Each trader employs different methods, and what proves effective for one may not yield the same results for another.
Additionally, Brooks' focus on the 9:30 AM to 4:15 PM time frame might be shaped by historical trading practices. In earlier times, trading hours and methodologies varied, leading some traders to establish strategies around those traditional timeframes. The additional 15 minutes beyond the standard session could reflect a legacy of such practices or a personal choice to capture extra market activity following the official close.
Over time, trading strategies often adapt, and seasoned traders like Brooks may adhere to techniques that have consistently delivered results, even amidst changing market conditions or official trading hours.
Did some little research. They used to allow "open outcry" trading until 4:15 ET (people on the floor shouting). That ended for CME in May 2021.
It appears there used to be a 15 minute halt from 4:15 PM - 4:30 PM ET as well.
The designation of RTH/overnight hours signifies when circuit breaker limits are in effect. The day-time circuit breaker limits used to go til 4:15 ET and then overnight limits after that.
So, the answer would be, 81 bars historically has been the correct number of bars, and Al likely doesn't see a need to change anything now.
https://www.cmegroup.com/education/files/eq-trading-hours.pdf
Thank you all. I have also seen in Tradingview that they see the RTH as ending 4.14PM, so I did not state this correctly in my first post.
Anyhow: thank you all for the replies. I have decided to stick to the 4.15PM time (81 bars), but I must say that it is a bit unsatisfactory that CME is not crystal clear on this (i.e. no mentioning of 4.15PM on the contract specs https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.contractSpecs.html). And it is very relevant, since the more traders have consensus on what the RTH is, the more they base their info on it (indicators like EMA, VWAP etc) and so the more relevant it is (esp. gaps).
I don't think it's worth spending time and effort worrying about this issue. Al has a methodology that works for him and that includes using 81 5-minute bars. When he started there was no Globex and now there is no trading pit. Staying with the same chart makes everything done before consistent and easier to relate to. Unless you use the entire day's data there will be gaps in the chart and having those gaps the same also makes all the prior analysis relevant. Al has said many times you can use other chart configurations because price action works on all of them. The best reason to use the 81 bar chart is that you can compare your read of the day's price action with Al's charts.
