Fix market close for Cboe indices - #9830
Merged
Martin-Molinero merged 1 commit intoSep 25, 2026
Merged
Conversation
JosueNina
force-pushed
the
bug-vix9d-market-hours
branch
from
September 24, 2026 17:57
25045b4 to
fbcd53e
Compare
JosueNina
force-pushed
the
bug-vix9d-market-hours
branch
from
September 25, 2026 18:36
fbcd53e to
0838e9d
Compare
Martin-Molinero
approved these changes
Sep 25, 2026
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Description
Sets the market close of 21 Cboe indices to 15:15 CT (16:15 ET), the end of their regular session, in line with VIX, VIX3M and SPX. Affected indices: VIX9D, VIX6M, VIX1D, VIX1Y, VVIX, RVX, VXN, VXD, VWA, VWB, VXTH, COR1M, COR3M, COR6M, COR9M, COR1Y, COR30D, BXD, BXM, BXN and CLL.
Related Issue
Motivation and Context
These entries closed at 15:00 CT (16:00 ET), so the minute bars between 16:00 and 16:15 ET were dropped as outside market hours and the hour and daily bars were consolidated without them. Cboe's official close for these indices is the 16:15 ET value, so our daily bars did not match Cboe or Yahoo. The closing value is published at 16:15:01 ET, so matching it exactly also needs the data converter to fold it into the last bar of the session, which is outside the scope of this PR.
Requires Documentation Change
N/A
How Has This Been Tested?
It was tested using unit tests.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>