Why do session-based indicators occasionally extend daily sessions on US futures?
Some indicators on TradingView calculate on a specific time period (session) and reset at the end of each period. For example, the Session Volume Profile and Session Time Price Opportunity indicators accumulate the data within a daily trading session (a trading day from its market open to close) to produce a session analysis, which then resets once a new daily session starts. Other indicators like Pivot Points Standard, Volume Weighted Average Price, and periodic Time Price Opportunity allow users to define a custom period of days, weeks, or months for the indicator to analyze, starting from a 1 day session or longer.
Occasionally, these indicators can extend daily sessions on intraday charts to include several intraday trading sessions in one long "daily" session. For example, in the screenshot below, the Session Volume Profile indicator extends a daily session that starts on January 19 until January 21, even though there's a session break in between on January 20. This behavior is not a bug in the indicator, but rather an intentional adjustment by the exchange that sets the instrument's trading sessions schedule.
Why this happens
First, it's important to distinguish between a trading session, trading day, and calendar day. For instance, for symbols with overnight sessions, the "daily" trading session spans two calendar days, and starts on the calendar day before its associated trading day. Therefore, a daily session for the "ES1!" symbol that belongs to a "Monday" trading day starts on Sunday at 17:00 CT (Central Time) and ends on Monday at 16:00 CT.
Session-based indicators reset their calculations once per trading day, which can often correspond to once per calendar day, given the daily timeframe. However, occasionally, an exchange might alter the length of an instrument's daily trading session by reducing or extending it, which can vary the number of calendar days within the session. Consequently, session-based indicators might not reset their calculations daily despite the calendar days progressing.
For US-based futures under the CME Group (CBOT, CME, NYMEX, and COMEX exchanges), the exchanges observe US federal holidays, shortening the trading sessions on those days. The CME Group lists their annual holiday trading hours here, listing the different session changes for each holiday and commodity. The exchanges often also combine the shortened sessions into one extended trading day, which results in a single "daily" session that can include intraday trades from up to three calendar days.
For example, the CME Group holiday calendar shows that the exchange observes Dr. Martin Luther King, Jr. Day with shortened trading hours on Monday, January 20, 2025. For equity futures, the exchange announced that the intraday trades from Sunday, January 19, at 17:00 CT, to Tuesday, January 21, at 16:00 CT, will all belong to an extended trading session for Tuesday:
We can see the modified holiday session when we add the Session Volume Profile indicator on the "ES1!" symbol's intraday chart. Monday's trading session (typically Sun 17:00–Mon 16:00 CT) is now shortened for the holiday, ending at 11:00 CT, and is combined with Tuesday's trading session (Mon 17:00–Tue 16:00 CT) as one long "daily" session. Although the indicator appears as though it misses a session reset here, it is in fact correctly representing the trading session dates set by the exchange:
We can also verify that the sessions defined by the indicator match the daily data coming from the exchange by looking at the symbol's daily chart. The daily bar for Friday, January 17 (the session before Sunday) is followed immediately by the daily bar for Tuesday, January 21, which covers all the intraday price activity from Sunday to Tuesday (see our intraday labels all appearing on this candle):
Bearing in mind the distinction between trading days and calendar days, it's easier to see that when a session-based indicator combines multiple calendar days into a single daily trading session, for example on a US holiday, it's not an error in the indicator. Rather, it's an intended adjustment from the exchange assigning the trading dates for its "daily" data. Our session-based indicators simply provide the daily session data as the exchanges provide it.
An additional consideration is that a shortened trading session often has significantly less trading volume than a typical daily session, so using the incomplete session as a separate "daily" session would inaccurately skew the interpreted daily volume trends. Instead, having an extended session maintains the session volume reasonably within the typical daily range.
If users have access to a session-based indicator's source code, they can use a "1440" timeframe in the script to express a fixed 24-hour session (1440 minutes) instead of using a daily "1D" session. The "1440" timeframe builds its sessions from the instrument's intraday data, rather than relying on the daily sessions defined by the exchange. Therefore, it divides the data at fixed intervals independent of the exchange's session changes and resets on each calendar day.