I've been reading a book recently about trading ORB (Opening Range Breakout) in the futures market. I haven't been able to figure out when exactly the open is for futures. I know the futures market opens on Sunday at 5pm CST but am wondering what open should be used for a daily trading. Would the open be when trading resumes at 5pm every day after the market pause? When is the open for futures markets that pause twice a day? If anyone has any experience with Opening Range Breakout or has a better understanding of the futures market open than I, some direction would be awesome.
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Markets have changed since Toby Crabel invented ORB (in, I believe the late 1980's). In those days the S&P futures opened at 9:30am NY time. Nowadays the futures trade almost 24 hours a day. When data services report OHLC for emins, the "open" price is usually the 6pm NY price the day before, but that is a very inactive time of day. You can still try to use 9:30am as the open time since trading increases sharply at 9:30, but it is probably not as significant an event as it used to be. It used to have a strong influence on the rest of the day. Still that would the the classic ORB trade: at 9:30am NY (8:30 Chicago).
Note: As always, when you read about trades that worked many years ago, you have to investigate for yourself whether they work in recent data.
