Does anyone here analyze the action that happens overnight with the index futures? Is it worth collecting and analyzing, or is there not enough volume to mean much of anything? I was going to code up something for the IB TWS to collect it for me, since I can't find a good way to pull it up without programming something custom to do it (if someone knows something I'm missing, let me know).
If you run QuoteTracker with TWS and chart ES, NQ and the other eminis you can export time and sales data from each Quote Tracker chart. Look at the correlation from 3:00 AM EDT on (9:00 CET) with the FSTE and the DAX futures. ES is easily tradeable overnight for 10 lots or less.