According to the contract spec, trading hours are: Sunday – Friday, 7:00 p.m. – 7:45 a.m. CT and Monday – Friday, 8:30 a.m. – 1:20 p.m. CT It looks like the market closes twice on a given CT day. When I get a closing/settle price from Quandl/Interactive Brokers, what time is that exactly? What I'm trying to determine is when to poll the server for the next closing price.
14:20 east coast time is the close. It opens at 20:00 et and that is when the daily gain or loss begins. The night session ends at 8:45 and then the RTH opens at 9:30, but the daily move is not reset, it just continues on the RTH open. Most charts only cover the RTH 9:30 to 14:20 that's why there is a big gap everyday. The close then would be the 14:20 price.
That's very helpful, thanks. I'm trying to figure out why the historical prices I pull from Quandl and those I pull from Interactive Brokers are different. Any insight would be very helpful!
I would consider the close published every day by the CME to be the official price. That's what is called the settlement price. ib may only be providing you with last trade which can be way off. Don't know for sure, but the cme settlement price is accurate.
Your trouble here is purely about settlement prices or not. If you're trading daily/weekly, you could just go off of settlement and go from there. If you want more "data" you could consider everything and just pull overnight+RTH on RTH close.