My problem is getting my head around how these indexes can trade after hours without the benefit of info on what the underlying stocks in the index are doing.
Trades till 8pm, then restarts at 400am. Likely arbed from futures PA. And in the case of early AM how they are trading overseas.
Correct. To expand on that: Earnings, news, how Asian stocks are trading. Additionally, before the 9:30AM open there may be Economic news. QQQ and SPY both trade from 4AM to 8PM, nonstop. The ES and NQ futures do not trade from 16:15 to 16:30, and from 17:00 to 18:00.
Asian and European markets drive some of this, as well as pre and post market trading. Also the algos move the price action(PA) around and have programing that is more complex than just the current price based on 'people buying and selling'. The volume profile tells much of the story. If you love charts and magic crayons, the trading day starts at 1800hrs EDT.
SIP feed won't have the data off the ECN - generally the off-hours ECNs will provide their data over a private feed to their customers. ECNs will report fills via the TRFs, but not real-time in nonRTH. Sometimes it's worth opening an account just to get the data, otherwise you're blind during the time the ECNs are active.