Daily candle open and the strange behavior of spreads at the new day

[Fairman]

Daily candle open and the strange behavior of spreads at the new day

The daily bar opens at 17:00 New York on most platforms, which coincides with rollover. But brokers use different server times, so on some platforms the new day begins at midnight server time, and on others it begins when Sydney opens.

Strategies referencing the daily open, daily high and low, or daily pivots can behave differently from one broker to the next. A level that matters on one platform sits somewhere else on another.

Spreads and quote stability around the daily open vary as well, because some brokers settle accounts and recalculate overnight positions at that moment. Execution during these minutes tends to be poor.

For consistent results, define the day yourself, such as 22:00 UTC to 22:00 UTC, and compute levels from tick or minute data accordingly. That removes dependence on the broker's candle boundaries.

When comparing backtests across brokers or data vendors, check that daily bars are aligned. A mismatch of even an hour can alter highs and lows and change which trades are taken.

What day boundary does the system use, and was it ever mismatched against the data?