I remember with the SPI it used to start at the night session (ie 5.10pm) and finish @ 4.30 the next day. It's probably different for each contract.
I'm unsure if you can 'adjust the settings' so to speak to have it start/end when you wish.
Found this
1. Electronic Trading Hours (ETH) vs Regular Trading Hours (RTH) on electronically traded futures charts:
The session manager templates for managing the start and end times for different markets is an awesome addition. It just needs a little work on giving accurate ETH templates for the electronically traded futures markets like the e-mini S&P 500 (ES), Nasdaq (NQ), Dow (YM), Russell 2000 (TF) index instruments, US 30 Year Bonds (ZB), T-Notes (ZN) financials, as well as any other electronically traded grains or metals.
For example, the instrument default for the S&P 500 (ES) is currently the CME Globex Index Futures RTH template which starts at 8:00 am and ends at 3:15 pm central. The regular trading hours templates are nice to have, but the electronic futures contracts should really have electronic trading hours templates (ETH). I think the ETH hours are defined differently for each instrument depending on the exchange so they should be looked at individually. They aren't just 24 hours 12:00 am to 12:00 am either.
After looking at trading hours information for ES at the CME website I think the CME ES session hours should look like the following (big question mark):
Monday session opens on Sunday at 5:00 pm and closes on Monday at 3:15 pm central.
Tuesday session opens on Monday at 3:30 pm, and closes on Tuesday at 3:15 pm central,
Wednesday session opens on Tuesday at 3:30 pm, and closes on Wednesday at 3:15 pm central, and so on.
I've attached a graphic of a sample session template.
I (and possibly others) will want to see all the data available, not just the pit hours.
It would be great if you (or the data provider if they are responsible) could change the default session templates to electronic trading hours for the electronically traded contracts in the instrument manager.
I know editing the templates to get the full session would be over the head of many of my friends to whom I've recommended NinjaTrader. My main concern is for them.
2. Day Bars not using template hours
Constructing daily bars from the minute bar data is also a great advantage to the new version when using Zenfire. Daily bars are very important for giving context. The only problem is that even after changing the session template in the data series window for the chart to electronic trading hours the OHLC of the bars on the daily time frame are still constructed using the daytime regular trading hours. The open, high, low, close should be built from the specified session hours if at all possible.
You can compare daily HLC to values for the current (March 2010) ES futures contract using ETH hours at this site:
http://www.mypivots.com/dn/?symbol=250.
(I removed the Pivots indicator comment since no action is required, it was just an observation that it will work better when the day bar HLC is corrected.)