Timeframes, sessions, and where a daily candle begins

Two charts of the same index, same day, different high. Neither is wrong, and the difference is not a data error - it is a question nobody asked out loud: which hours is a day?

The cash convention

A cash index daily candle spans the exchange session: opening auction to closing auction. Everything outside those hours does not exist for that series, because the index is not being calculated.

This is the convention the financial press quotes. When a report says an index closed up, it means auction to auction.

The 24-hour convention

A futures series trades nearly around the clock, so its daily candle has to break somewhere, and where it breaks is a choice - exchange settlement time, platform local midnight, or something else.

The consequence is direct: an overnight move that the cash chart shows as a gap between two candles appears inside a single candle on the 24-hour series. Same information, different container.

What this changes when you read levels

• A high made overnight exists on the 24-hour chart and not on the cash one.
• A gap on the cash chart may be no gap at all on the future.
• Two platforms can disagree about a daily high because they break the day at different times.

So a level is not a property of the index. It is a property of a series, and quoting one without saying which series is the same incompleteness as quoting a correlation without its window.

Which to use

Whichever matches the thing you are actually trading, and consistently. If your position is in a product quoted around the clock, a cash-session chart is hiding hours during which your position was live and your stop was reachable.

The mistake is not choosing one. It is mixing them - drawing levels on one and executing against the other, then being surprised when a level breaks at a price the chart never showed.