I've read everywhere that the normal trading times for the NQ is 9:30 to 16:15 and that the afterhours market is from 16:45 to 9:30 of the next day. So, presumably, the greatest liquidity is during the normal trading hours. However, I bought the NQ03M data from www.anfutures.com, and in their data volume tends to spike up at 8:30 and then dry up after 15:10. How can this be? I can understand volume picking up before the open, but in the equity markets volume increases towards the close all the way until the closing bell. For volume to dry up an hour and five minutes before the close of the NQ seems just plain wrong. Is ANFutures data messed up? Or, is ANFutures reporting their data on Central Standard Time? I'm concerned about this because I'm backtesting a strategy that requires that I get out of my positions at the 16:15 close, which would be difficult to avoid major slippage if there is minimal liquidity during that time. Can any experienced NQ traders shed some light on this? Cheers.