I am trying to use Amibroker to implement futures strategies concerning Chinese futures market. For most commodities, there’s day session which starts from 9:00am and ends at 3pm of the trading day, as well as night session which starts from 9 pm the day before and ends at 2:30 am of the trading day. And the market doesn’t open on weekends.
Ami is treating the night and day sessions just fine except on weekends. It treats the data from 9:00pm Friday till 2:30am Saturday as a single daily bar of Saturday. However, I need that part of the data combined into the daily bar of the next Monday. So how should I tell Ami to treat the day and night sessions as I expected?
I’d appreciate any hint from you. Thanks a lot!