TAIEX futures night close: which price should a backtest use?
The TAIEX futures night session ends at 05:00 Taiwan time with a last traded price, not a settlement price. Trade your backtest on last traded prices and count each night session as the start of the next trading day.
By Soren Huang · Published · updated · Editorial policy
Contents
- When does the TAIEX futures night session close?
- Is the night session close a settlement price?
- Which trading day does the night session belong to?
- How does the night close change daily bars and gaps?
- Should you split or merge the sessions in a backtest?
- What should you check before running a TAIEX night-session backtest?
- Frequently asked questions
The TAIEX futures night session closes at 05:00 Taiwan time, and its last trade is a last traded price, not an official settlement price. TAIFEX sets the daily settlement price at the end of the day session at 13:45. A backtest should trade on last traded prices and count the night session as the start of the next trading day.
When does the TAIEX futures night session close?
The night session of TAIEX futures (台指期) runs from 15:00 to 05:00 the next morning, Taiwan time, so the night session close (台指期夜盤收盤) is at 05:00. The day session runs from 08:45 to 13:45. That gives two breaks in each cycle: a short one from 13:45 to 15:00, and a longer one from 05:00 to 08:45.
| Session | Opens (Taiwan time) | Closes (Taiwan time) | Break after the close |
|---|---|---|---|
| Day session (一般交易時段) | 08:45 | 13:45 | 1 h 15 min, until 15:00 |
| Night session (盤後交易時段) | 15:00 | 05:00 next day | 3 h 45 min, until 08:45 |
The two closes have different jobs. The 13:45 close ends the trading day, and TAIFEX sets the daily settlement price from trading near that close. The 05:00 close ends overnight trading, which in Taiwan covers the European session and most or all of the US session. The NYSE cash session closes at 16:00 New York time. That is 05:00 in Taiwan when New York is on standard time (winter) and 04:00 when it is on daylight saving time (summer). In winter, the TAIEX night close therefore falls at the same moment as the US stock close.
Exchanges can change session hours and contract rules, so check the TAIEX futures contract page on the TAIFEX website before you set up a test. The free futures market hours tool shows the TAIFEX sessions in your own time zone.
Is the night session close a settlement price?
No. The night close is only the last traded price of the night, and TAIFEX does not settle accounts on it. Two terms are easy to mix up here:
- The last traded price is the price of the final trade before a session ends. It is a real price at which someone bought and someone sold.
- The settlement price (結算價) is the official daily price that TAIFEX calculates from trading near the end of the day session. The exchange uses it to mark open positions to market and to calculate margin. The calculation method is published on the TAIFEX contract page.
The settlement price and the 13:45 last traded price are often close, but they are not always the same number. When you look up the night close (台指夜盤收盤價) on a quote screen, you see the 05:00 last trade. No settlement happens at that moment. Your open position is next marked to market at the end of the following day session.
A common data error is a daily bar whose close is the settlement price, while its open, high and low are traded prices. A strategy that enters "at the close" of such a bar uses a price that may never have traded at 13:45. Check which close your data vendor stores. If you are not sure, compare a few days with the last 1-minute bar of the day session. The article on backtest data quality covers this and other bar-building checks.
Which trading day does the night session belong to?
The night session belongs to the next trading day. TAIFEX counts trades made in the night session toward the next business day. A trading day is the exchange's accounting day, not the calendar day. One TAIEX futures trading day starts at 15:00 on the previous business day and ends at 13:45.
Two practical results follow:
- Friday night belongs to Monday. The session from Friday 15:00 to Saturday 05:00 is part of the next business day, which is normally Monday. A calendar-day bar would put it on Friday and Saturday instead.
- Calendar-day bars split the night in two. If your data builds daily bars from midnight to midnight, the hours from 15:00 to 24:00 land on one date and the hours from 00:00 to 05:00 land on the next. That split does not match how the exchange counts days. It also changes every daily indicator value.
How does the night close change daily bars and gaps?
The night session changes where your gaps appear and how large they are. A gap is a jump between one bar's close and the next bar's open, with no trading in between. Which gap you see depends on the data:
- Day-session-only data jumps from the 13:45 close to the 08:45 open. The whole night move is hidden inside that gap.
- Full-session data (all sessions merged, often called 台指全) jumps from 13:45 to 15:00 and from 05:00 to 08:45. Both gaps are usually smaller, because the night session has already traded most of the overnight news.
Hypothetical example
Monday's day session ends with a last trade of 20,000 points. The night session opens at 20,010 and closes at 05:00 at 20,180. Tuesday's day session opens at 08:45 at 20,190.
On day-session-only bars, Tuesday opens 190 points above Monday's close. On a large contract worth 200 NT$ per point, that is 38,000 NT$ per contract. A gap strategy would see a large gap up. On full-session bars, the jump into the night session is 10 points, and the jump from the night close to the day open is also 10 points. The 170-point move happened during trading hours, where stops and entries could have filled.
This matters for three kinds of rules:
- Gap rules. A rule like "buy when the open is above yesterday's close" fires on different days with day-only and full-session data.
- Stops held overnight. On day-only data, a stop that the night session would have hit fills at the 08:45 open, often at a worse price. On full-session data, it fills during the night, close to the stop level, plus slippage.
- Daily indicators. A daily ATR on full-session bars includes the night range. The same setting on day-only bars gives a different number. Stops sized from it will differ too.
Should you split or merge the sessions in a backtest?
Decide which price your rules call "the close" for each session, and pick the matching data setup in the table below; the article on night sessions in futures backtests covers the day-only versus full-session comparison. A session filter is a backtest setting that allows signals and fills only inside chosen hours. It is the usual way to trade one session while still holding the full price history.
| Setup | Data | Use it when | The close your rules see |
|---|---|---|---|
| Day session only | Day-session bars | You trade only 08:45–13:45 and close by 13:45 | 13:45 last trade |
| Night session only | Full-session bars with a 15:00–05:00 filter | You trade only at night | 05:00 last trade |
| Merged | Full-session bars, trading-day daily bars | You hold positions across both sessions | 13:45 last trade ends the day; 05:00 is an intraday point |
| Separate rules per session | Full-session bars, two filters | Your rules behave differently by session | Each session's own last trade |
The guide to 台指全 all-sessions data explains how the merged series is built across contract rolls.
For a night-only strategy, decide what "yesterday's close" means before you write the rules. The 13:45 last trade is the price just before the night opens. The previous night's 05:00 close is the last night price. They give different references, and you should test the version you will trade. Because the day-session last trade and the previous night close give different references, the strategy databank in AlphaPrime (Valynox) can hold each version's results as its own batch for a side-by-side check.
What should you check before running a TAIEX night-session backtest?
Five checks settle most night-close questions:
- Confirm which close your daily bars store: the last trade or the settlement price.
- Confirm that daily bars follow the TAIFEX trading day (15:00 to 13:45), not the calendar day.
- Confirm the time zone of the bar timestamps. A UTC file shifts every session by 8 hours.
- Set a session filter that matches the hours you will really trade.
- Include costs for both sessions. Night liquidity is usually thinner than day liquidity, so test with more slippage at night.
In AlphaPrime, backtesting lets you set trading sessions next to fees and slippage, and always uses next-bar execution, so the session choice is part of every run. Once you have picked a session setup, keep it fixed while you compare strategies, so all results use the same definition of the close.
What this means if you use AlphaPrime: load the TAIEX futures bars you will trade on, set the trading session to match your real hours, and read daily results by trading day, so the night P&L sits on the right date.
Frequently asked questions
What time does the TAIEX futures night session close (台指期夜盤幾點收)?
The TAIEX futures night session runs from 15:00 to 05:00 the next morning, Taiwan time. The day session runs from 08:45 to 13:45. Exchanges can change these hours, so check the TAIFEX contract page for the current schedule.
Is the night session closing price the settlement price?
No. The 05:00 night close is only the last traded price of the night session. TAIFEX calculates the daily settlement price from trading near the end of the day session and uses it for marking positions and margin.
Which date do night session trades belong to?
TAIFEX counts night session trades toward the next business day. A Monday night session belongs to Tuesday's trading day, and a Friday night session normally belongs to Monday's. Daily bars in a backtest should follow the same rule.
Should I backtest TAIEX futures with day-session or full-session data?
Use the data that matches how you trade. If you open and close only between 08:45 and 13:45, day-session data fits. If you hold positions overnight or trade at night, use full-session data, so stops and gaps behave as they would in a real account.