Hello all! I am new here, new at futures but have been an active and full-time fund manager in spot FX for more than 13 years. I use a systematic approach for FX which I like to test and use on a basket of highly liquid futures. I have put toghther a basket comprising 13 different futures but representing two STIR's, two energy futures, two stock indext futures, and so on. They will be both US and European futures. If it will help, I can list them all. My problem and lack of knowledge pertains to three main issues. I hope my questions make sense : 1) When trading or testing in the FX market we use daily data which is defined as simply 00:00-00:00 GMT. What exactly is meant by a "daily" bar in the different futures? What is "end of day"? Does that mean 00:00? But what time-zone? If you have to use daily data in a system, from when to when would this "day" be? It is especially confusing as I see some futures trade 23 hours or 23.5 hours. Would that "break" represent end-of-day? When would you enter new orders or update stops if you are trading a daily system? 2) Would this "daily" bar include only electronic trading, day session or combined? Which is best to use? I would guess "combined" is the most robust. More confusion. 3) Near the end of the contract-date, at what point to you roll your position to the next contract? What are the mechanics involved if you are using a system? One has to be able to immediately update stops and potential entries based on a certain data-set. Do you manually adjust your own data to represent a continious set that would "work" for the next contract spread? I see that historic data is represented as a continious set, but how do you manage that in real-time when switching over to the new contract? I am thankful and appreciate expert input.