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I need to store OHLC data from the Forex Market. I live in the UK which is presently in British Summer Time +1. The Forex Market EST, which is normally -5 from GMT. I'm not sure how Eastern Daylight time Affects things.

I want to store the data in a format that is consistent across timezones etc and also to know when the daily trading session starts and ends.

This has got me totally confused: http://www.forex-market-hours.net/

There's a two hour difference between the EST times for summer and winter and a one hour difference between the GMT times...

Can anyone explain how I can store the data in a time-zone independent format and work out the session start time?

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  • $\begingroup$ I can only comment about New York: the New York FX trading day ends at 1700 local time, therefore 1700 EST in the winter and 1700 EDT in the Summer. These are GMT-0500 and GMT-0400 respectively. The formal open is 0900 local time, but in practice there is quite a bit of trading before then. $\endgroup$ – Alex C Jul 23 '16 at 14:44
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It does not matter which timezone you store timestamps in, though most systems use UTC/GMT), as long as you make the appropriate adjustments to ensure your Trade and Value dates are correct, remembering New York, UK and New Zealand move clocks on different days and directions.

More specifically: by convention, the institutional FX market operates continuously from 05.00 Sydney time on Mondays until 17.00 New York time Fridays - these are local times, e.g. NY is Eastern Daylight Time (EDT) in the NY summer and Eastern Standard Time (EST) in the NY winter (see the ACI model code https://acifma.com/model-code).

Within that week, trades conducted on Sunday carry a Trade Date of Monday; thereafter the Trade Date changes at 17.00 New York time on each of Monday through Friday. So a trade conducted at 16.00 New York time Monday is considered a Monday trade; a trade two hours later at 18.00 is considered a Tuesday trade. Again these are Eastern Daylight Time in the summer and Eastern Standard Time in the winter. Value Dates (mostly two days after Trade Date, CAD being one day) work the same way.

There is a single exception to that rule. New Zealand Dollar (NZD) and all its crosses change Trade and Value date at 07.00 New Zealand Time (NZDT in NZ summer, NZST in NZ winter).

Hope this helps and let me know if anything is unclear!
James Sinclair

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