Since this Q&A was first added, we have introduced new periodicities
that allow the user to create daily, weekly, monthly, quarterly, and
yearly bars from intraday data, and thus honor the session of the chart.
This makes the process much easier. Watch
this video for more
details and eliminates the need to create and maintain the custom
This is best done with a Custom Instrument. From
the file menu, select "Setup: Custom Instruments" and fill in the Custom
Instrument window similar to what is seen below.
Notice that this custom instrument is nothing more than a duplication
of the e-mini ticker symbol. The key is that we're going to setup
this custom instrument with the RTH day session. Once you've
completed the setup of the custom instrument and click the "Save"
button, click the "More Setup" button. A "Setup Instruments"
window should appear with your custom instrument already filled in.
Change the session to the proper RTH session (general setup as session
"0. US Stocks"). Now click the "Modify" button at the lower right
corner of window. Now go back to the Custom Instrument Setup
window and click the "Save and Close" window. This will force data
to be regenerated considering the proper day session only. (Note: It's
important that you have intraday / 1-minute data on the underlying
e-mini symbol before you begin the process described above. The
custom instrument data will be built using the data of the underlying
Now you should have access to the ticker symbol ES_Day. You can
add this ticker to any quotepage, intraday or daily chart, etc. It
can be used just like any other ticker symbol. This ticker symbol
should reflect the high, low, open, close and volume of the RTH day