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ES, Minute The issue starts at the start of the data; and continues until now

Ticker ES
Security Type Future
Market USA
Resolution Minute
Status Waiting Review

Problem is that in some years the opening hours differ from what is currently stated inĀ 

https://github.com/QuantConnect/Lean/blob/master/Data/market-hours/market-hours-database.json

In some years, e.g. 2014, there was an extra 15 minutes beyond the 17:00 close. So the real close was 17:15 (I have data on my computer that runs until that very minute, e.g. for 2014-04-07).

In 2009 there seems to have been no hourly break at all, according to my data. In 2010 the break lasted only 30 minutes from 17:30 till 18:00 etc. etc. etc. The data might very well be available in your database, but the session file cuts it off (this is what I understand is happening anyway, I'm not getting the data outside these session times in my consolidated bars).

The real historical session times can probably be figured out from the data, or should be provided by your data provider.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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