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Fesx- Session times used on mypivots


I follow the daily pivots for ES and now starting to follow them for fesx futures (eurostoxx 50 futures).

Can anyone please tell me the session hours in EST used for fesx pivot calculation. Is it like 2:00 am EST to 4:00 pm EST ? I looked up on eurex website,but a little confused as to what session to use for pivot calculation. I see on the eurex website it shows as 7:50 CET to 22:00 CET (which translates to 1:50 am EST to 4:00 pm EST). I always thought FESX opens at 2:00 am EST, does it open at 1:50 am EST ?

Also, what is the RTH session for fesx (like when stock market and cash index trades ),is it like 3:00 am EST to 12:00 noon EST?

And for market profile values(POC,VAH,VAL), is it possible for the author to add fesx MP values to the Market Profile tracker thread?

I appreciate it.

I too have a similar inquiry,

I have researched the trading hours on eurex and have determined that the various trading hours are as follows

07:50 - 22:00 (CET)

pre-market 07:30
post trading phase (auction) 22:30

However, data provided by tradestation only provides 0800-2200 hrs.

Comparing Daily closing values and closing values on 1-minute bars, I see a large discrepancy. I believe this is due to the post trading phase-auction

while comparing values on, it appears that the daily pivot calculation is derived from the high/low/close values on the daily bars.

I also am interested in obtaining Market Profile information (MP), VAH,VAL,POC.. and am curious of the appropriate time periods to use for this calculation, i.e.

0900-1730 Trading floor pit hours
0900-2200 complete trading hours, less pre-market up to US equity close 2200
0800-2200 complete trading hours, including pre-market up to US equity close

Any information or source for this information would greatly appreciate.

Thank you kindly

Originally posted by commodity_trader it possible for the author to add fesx MP values to the Market Profile tracker thread?

Unfortunately not but you can calculate the values yourself by using putting the half-hour highs and lows into this Market Profile Calculator
Day Trading,

Thank you for the link to the Market Profile calculator...

would you have any recommendation to the second part of his/my question?

The appropriate session times to use for the MP calculation... when comparing the two options.. full session 0800-2200 (0200-1600 EST) as opposed to the Equities session 0900-1730 (0300-1130 EST) I am unable to determine which is appropriate... and would appreciate your opinion
screen shot of the two options with ES MP as reference

Thank you kindly


hwkaiser: Which session has more volume? That is the session that you should generally use when doing the calculations. Also, which session are you going to be trading? You should use the same previous session's MP figures when trading that session - in general. The exception would be if there is continuous equal volume through all the sessions. Then, in my opinion, you would be best off using a rolling X period Market Profile. i.e. If you select 10 or 14 periods then you would look at the previous 10 to 14 periods and lag them if necessary.

Ultimately the best session to use depends on which Value Areas and Points of Control provide the most consistent points to kick off your Market Profile strategies. If you use the VAH and VAL as support/resistant areas with a 3 point stop then you have to calculate which session provides the best Value Area calculations to support that strategy. If you're a swing trader with bigger stops or you're a scalper with smaller stops then different values might work for you.

"Appropriate" needs to be taken in the context of your other personal trading parameters - i.e. money management, risk tolerance, trading objectives/targets, time available (at screen) etc.

Hope that helps and sorry I couldn't just pick one of the sessions for you.

Thank you kindly for your reply. Please don't apologize for not picking a session for me. I personally prefer to arrive at my own decisions in general. I was primarily checking to see if there existed an "industry standard" or rule of thumb that I may have missed..

I completely agree with your statement "appropriate" needs to be taken into context of other personal trading parameters... that has always been my personal approach and is advice well heeded...
I will be testing various session periods and their correlation with the ES to determine the most effective session periods to use and will post my findings here for anyone who may interested.

Currently, it appears that full session is the most effective. Using ES MP levels for correlation and confirmation... the greatest volume being the US AM session, approx 3-hrs or 1/3 of the FESX trading day. This appears too small of a sample size considering sufficient liquidity exists in the pre-US hours.

Thank you again for your reply and for providing us with this excellent resource.

Trade well and be well,

Commodity Trader,

Regarding your question to session period for Daily Pivots...

I have been monitoring reactions to both levels, PP as calculated by (which use daily bar H/L/C) and also PP as calculated by full session less post trading (0200-1600 EST / 0800-2200 exchange)

It appears that Price reacts to both levels nicely, I have been using the ES Daily Pivot as a confirmation point between the two and depending which is closer to the ES is the PP I give more weight on a particular day...

Today for example:
normal session(0200-1600) calc'd PP=2434
1st reaction=2439 (50%)

ES PP was 862.50 and during the globex hours had a similar reaction...

so perhaps a strategy which accommodates both levels may be in order
Hope this may help or give you some ideas... I look forward to any findings you may arrive at...

Trade well and be well
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