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I am trying to capture the vol of a few futures to use as an indicator, and would like to capture the vol on the reopen at 6pm est. It looks like from the debugger that the opening price starts at 930am est. How would you get the reopen at 6pm est from the day before? Should I be consolidating the option data?
Backtest attached. Thanks!
Upvote
Hi Daniel
To subscribe to data on extended trading hours as needed, you will need to set the extendedMarketHour argument as true:
self.AddFuture(Futures.Metals.Gold, Resolution.Daily, extendedMarketHour=True)
Best
Louis
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