Sessions 101

This support page discusses how “Full Session” and “Day Session” are being defined in the instrument setup window, which is important to know when later used within specific indicators (Session statistics, Session Prices, Mixed Periodicity Data etc) for generating key market levels and statistics. Sessions are also used as key input for selecting chart display viewing periods.

Part 1 - Full and day sessions within the instrument setup

1.1)  Symbol “Full session” 
For a given market, this is the most crucial reference as it dictates the period of the day for which Investor/RT will collect quotes from the data source: this full session should therefore typically match the market opening hours.
Since 2020, most of the US futures markets (Equity Index and currencies, US Treasuries, Energy and Metals futures) will trade as per the most recent Globex session hours, ie from 6.00 pm to 5.00 pm Eastern Time (the main exceptions being the Agricultural products)

1.2)  Symbol “Day session”
Defining a day session within an instrument setup is not compulsory within I/RT, but strongly recommended to benefit from the multiple indicators (Session Prices, Session Statistics, MPD, charts button, etc) that do rely on the generic “Full”  and "Day" Session references.
Within the Session preferences window, any Full Session # can be associated with a specific Day session. This is the way a Day Session is being defined for a given instrument. Please note that having a Daysession defined (even if you don't intend to use it) won't have any negative impact on your day-to-day charting and analysis activities

When considering any adjustment in full and day session settings, please keep in mind note 3 important facts:

• Only a single Day Session # can be linked with a given (Full) session number. This is why IRT now offers, by default, different session numbers (31 to 35) that all match the same Globex session hours, but are associated with different day session hours.
• A given Session # can be used as a day session for different full sessions. For example,  Session #00 can be simultaneously used as the “Day Session” for both the full session of the Nasdaq stocks (Session #01) and of the US equity Index futures (Session #31). 
• Timezone wise, your PC and Investor/RT Session settings should always match. Session hours are defined as per the Timezone settings which can be found in the File > Preferences > Sessions menu. If both settings aren't similar, you will get a warning message from I/RT at startup. However, if you are travelling and want to keep your usual session hours being display within I/RT, just adjust your PC clock (so that it stays synchronized with your home address) - The table below will highlight default session hours as per Eastern Times. 

1.3) Comments about Overnight, Pre and Post-market sessions 
Some Investor/RT indicator may refer to an “Overnight session” (Paint Bars, Session Statistics, Session Prices,..)  By definition, this “Overnight session” (even if it doesn’t appear in the Session Preferences list)  is always defined as the period starting with the first start of the Full session and ending with the last trade completed before the  start of the Day session (as defined in each in instrument setup window)
Similarly, some indicators may refer to “generic” pre- and post-market sessions. The premarket session is in fact identical to the Overnight Session, while the postmarket session covers the trade taking place after the close of the day session, until the close of the Full session

Part 2 – Investor/RT default session settings

Some general comments

There is no right or wrong choice when it comes to a Day Session definition. Here are some general guidelines we have used for Investor/RT default settings:

For equity index futures (US, EU, UK markets), the default day session corresponds to the underlying stock cash session opening hours. For example, E-mini ES or NQ Full GLOBEX session (Session #31) is associated by default with the US cash session (Session #00 : see next paragraph for more), DAX and Eurostoxx 50 (Full session #48) are associated with the German market cash session (Session #18), etc

For US commodities or Treasuries, the day session corresponds to the former pit sessions. For example : 

• COMEX full session (Session #33) is associated with the former Gold pit session hours (Session #03)
• NYMEX full session (Session #34) is associated with the former Crude Oil pit session hours (Session #04 )
• US treasuries and CME currencies (Session #35) are associated with the former CBOT pit session (Session #05)
• CBOT agricultural products full session (#36) is associated with the corresponding former pit sessions (Session# 06)

Even if all “physical” pits are now closed and transactions are exclusively electronic, using the corresponding pit hours as day session still makes sense, especially when the daily settlement price is still estimated at the end of the former pit session hours. This is typically the case for Gold, Oil, Currencies or US Treasuries, but no longer the case for ES or NQ, whose Settlement prices are now set up at 4.00 pm ET (and not 4.15 pm ET as until 2020)

About “Splitting” the full US Globex session for Equity Index futures (ES, NQ, YM, RTY)

Prior to 2020, the daily Globex “break” was taking place from 4.15 pm until 4.30 pm (ET), providing a very convenient way to split the whole trading session into 2 sessions, i.e. an overnight session from 4.30 pm to 9.30 am and a day session that was matching the former S&P pit session hours, ie. from 9.30 to 4.15 pm. (Note: These legacy sessions still appear in the new default session list as Session #2 and Session #30) 
With the daily Globex session close having shifted to 5 pm ET, the pit having been closed, and the settlement time set at 4 pm ET, this creates a 3rd (odd/short) trading period from 1600 to 1700 ET.
Some indicators, such as the Volume Profile, are able to split a full Globex session natively into 3 periods.
However, if you want to keep simple market levels reference and/or statistics (and still split the full session içnto 2 separate sessions), you might want to use what we might refzer as an “Extended” Day Session from 9.30 to 5 pm ET (Session #08), which basically merges the cash session togetehr with this last hour of trading Globex break).
If you have been through a fresh the latest I/RT 16 version, this is what can be achieved by using the full Globex session #32, which is, by default, associated with the day session #08.

About the current EUREX Full and Day Session hours

Regarding Eurex, until December 2018, most of the EUREX key futures markets were trading from 8.00 am to 10.00 pm Frankfurt time (ie 2 am to 4 pm Eastern Time). At that time, to boost his attractiveness (and arbitrage opportunities), Eurex decided to add an asian overnight session, with an open that would be synchronized with the Singapore market opening time. However, as there is no Daylight Saving Time in Singapore (while there is one in Europe), this means that the Eurex Market reopens (after the 10 pm daily break) at 01.15 am (local time) during winter time, and 1 hour later in summer time. To cover the whole year, the opening time for the full Eurex session is therefore set at 01.15 am (Frankfurt time), ie 7.15 pm ET
Regarding the Day Session hours, I/RT uses the underlying stock market session hours for Equity index futures (Eurostoxx 50, DAX). For German bonds, as there is no real Day Session marker in Europe (or former Pit session hours), we have picked 8 am to 6 pm (local time) as a reference (as this remains the period with the highest trading activity).

Part 3 - Using a specific session as a Viewing period for a chart

In the "chart session" hours pop-up list (available in the Chart preference settings window, which can be accessed through CTRL+N or the right-click / Setup menu on a chart), I/RT will automatically display every session that is a subsession of the full session of the main instrument of the chart.
Practically speaking, the most commonly used options are either the Full Session, the Day Session, the Overnight session or any other relevant subsession (of the Full Session)
If you frequently switch between sessions, you will likely use the “Change Session” button on the Chart Button: the Full and Day sessions can be identified with the generic “Full” and “Day” while any other sessions would have to be identified with the corresponding Session number. 
This way, whenever you change the instrument of the chart (from ES to DAX to FTSE) with such a button to Full or Day, you don’t need to indicate the precise session number corresponding to that instrument. The chart will adjust automatically to the Full and Day sessions as defined in the corresponding instrument definition.

Part 4 - Sessions used for stocks, Forex and other non-futures markets (DTN IQ feed / IBKR)

For US Stocks Instrument setup, session #01 (4 am to 10 pm ET) corresponds to the full extended Nasdaq trading session and is associated with the US cash session (Session 00) 
For Forex instrument setup: The “boundless” Session #26 should be used for setting up any Forex instrument
Please refer to this page for more information on forex instrument setup.