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Yes. CSI has both and you can also configure the strangeness generated when they
do the closing range pricing, if that's your bag.
Tim Morge
tosk wrote:
> Does any EOD data vendors provide daily data based on Regular Trading Hours
> (RTH) only? I see that most (all?) are including the night session.
> Difficult to complain as even the exchanges are including the night session
> as part of their "official" prices.
>
> Case in point:
> A buy is generated in Japanese yen to be placed on 6/19. CME shows daily
> bar open as 95.59 - actually if you waited for the "real" open on Monday
> morning you would have been filled at 96.27. So let's say you are working
> on a system showing two day trades. By the close on Tuesday yen is a 96.42.
> You system reports a profit of .83 - not bad. But in actuality, your profit
> is only .15!
>
> I've seen a lot of discussion of data vendors and system testing on this
> list but have not seen this issue addressed. To continue the yen example,
> how many of us are looking at and placing orders in the half hour between
> the end of the RTH and the start of Globex trading? I know I'm not.
>
> Tom Lisk
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