Question for people who have built their own trading platform: How do you handle the overnight gaps when you calculate your intraday indicators? Do you just load the previous day bars at the beginning of the session? If so, do you include pre/after market data? Or you start from the beginning of the session and wait for the number of bars needed to calculate your indicator? This is fine for 1 or 2 minute bars but it won't work on longer intervals. Thanks!
I guess it depends on your strategy. For example, I have an emini system based on a 3 min chart, so i load premarket data to use in my calculations. My other trading system is based on a larger timeframe, 15 min, although i still trade it on the 3 min level. The theory for the system came from the larger timeframe which did not use pre/post market data, so therefore i let the gap be included in the 3 min indicators. hope that made sense.