I've been trying to calculate intra-day VWAP for a Futures contract lately and couldn't get the correct values.
After digging deeper I found that
handle_data is only being called between 10:31 UTC and 21:00 UTC (Euro FX Futures Contract 6E / EC in this case).
The official trading hours are 22:00 - 21:00 according to the contract specs (http://www.cmegroup.com/trading/fx/g10/euro-fx_contract_specifications.html) though which is the only thing that makes sense (at least for the currencies) given that it tracks the 24/5 FX spot market.
Can we expect this data to be available anytime soon to match the official trading hours cited in the contract specifications?