Can anyone help me on this question..? I have downloaded data from CBOT and Pitrading.com and also looking at data charts from IB and data from Turtletrading.com and the Open,High,Low, Close are almost never the identical for those markets that trade over midnight, e.g 10 T-notes, Eurodollar and forex spot etc. 1. When do you suggest the "cut-off" time to determine Open,High,Low, Close. for ( 24hrs markets (cross midnight markets)? Midnight? Eastern or Chicago midnight time? 2. How about those markets that trade Outcry during daytime and then Electronic once the Outry has closed ( Gold, Corn etc). What counts here..? Highest from the Highest of both markets? Lowest dito? Or only use Outcry or only use Electronic for Open,High,Low, Close?