Get daily high/low values and times they occurred for ES futures outside regular US cash session hours

eth_high_low.py

#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""
eth_high_low.py
==============
Calculates daily high/low occurrences for ES futures outside regular US cash session hours
using Databento API.

Fetches second-by-second OHLCV data for ES continuous futures from Databento, 
filters to exclude regular US cash session (9:30 AM - 4:00 PM ET), then computes 
the max high and min low for each day along with their timestamps.

This approach relying on OHLCV data is the fastest down to 1-second resolution. If you need 
sub-second resolution for the event times, you should use `trades` instead. If you need to
incorporate highest bid or lowest ask - which is useful for instruments with inactive
trading - you can use `bbo-1s` or `mbp-1`.

Note that CME futures trade nearly 24h from Sun-Fri without explicit pre-market/after-hours 
sessions, so the time range exclusion is user-defined.
"""
import datetime as dt

import databento as db


client = db.Historical()

data = client.timeseries.get_range(
    dataset="GLBX.MDP3",
    schema="ohlcv-1s",
    stype_in="continuous",
    symbols=["ES.n.0"],
    start="2024-11-01",
    end="2024-12-01",
)

df = data.to_df(tz="US/Eastern")

# Exclude US cash session (9:30 AM - 4:00 PM ET)
df_filtered = df[(df.index.time < dt.time(9, 30)) | (df.index.time >= dt.time(16, 0))]

daily_extremes = df_filtered.groupby(df_filtered.index.date).agg({
    'high': ['max', 'idxmax'],
    'low': ['min', 'idxmin']
})

# Flatten the column names
daily_extremes.columns = ['max_high', 'ts_max_high', 'min_low', 'ts_min_low']
daily_extremes = daily_extremes.reset_index()
daily_extremes.rename(columns={'ts_event': 'date'}, inplace=True)

print(daily_extremes)

"""
         index  max_high               ts_max_high  min_low                ts_min_low
0   2024-10-31   5749.75 2024-10-31 23:46:20-04:00  5732.50 2024-10-31 22:13:10-04:00
1   2024-11-01   5769.50 2024-11-01 08:42:03-04:00  5740.50 2024-11-01 03:27:50-04:00
2   2024-11-03   5774.75 2024-11-03 23:45:42-05:00  5740.00 2024-11-03 18:00:00-05:00
3   2024-11-04   5776.50 2024-11-04 01:43:09-05:00  5735.00 2024-11-04 20:27:32-05:00
4   2024-11-05   5894.75 2024-11-05 22:04:27-05:00  5743.00 2024-11-05 00:00:00-05:00
5   2024-11-06   5968.75 2024-11-06 23:54:10-05:00  5866.25 2024-11-06 00:10:49-05:00
6   2024-11-07   6009.50 2024-11-07 16:21:16-05:00  5959.25 2024-11-07 02:29:00-05:00
7   2024-11-08   6029.00 2024-11-08 16:23:56-05:00  5990.25 2024-11-08 06:07:12-05:00
8   2024-11-10   6038.50 2024-11-10 18:21:04-05:00  6029.50 2024-11-10 18:01:13-05:00
9   2024-11-11   6053.25 2024-11-11 07:48:03-05:00  6022.00 2024-11-11 21:51:31-05:00
10  2024-11-12   6031.75 2024-11-12 03:54:04-05:00  6002.00 2024-11-12 21:32:33-05:00
11  2024-11-13   6030.25 2024-11-13 08:42:18-05:00  5993.00 2024-11-13 01:35:39-05:00
12  2024-11-14   6025.25 2024-11-14 07:00:42-05:00  5954.75 2024-11-14 21:06:31-05:00
13  2024-11-15   5963.00 2024-11-15 00:18:00-05:00  5896.50 2024-11-15 16:00:00-05:00
14  2024-11-17   5915.50 2024-11-17 23:53:20-05:00  5891.75 2024-11-17 18:01:48-05:00
15  2024-11-18   5933.75 2024-11-18 23:30:04-05:00  5886.50 2024-11-18 08:23:43-05:00
16  2024-11-19   5954.00 2024-11-19 19:22:43-05:00  5855.00 2024-11-19 09:01:22-05:00
17  2024-11-20   5957.75 2024-11-20 03:21:09-05:00  5911.00 2024-11-20 16:20:41-05:00
18  2024-11-21   5977.00 2024-11-21 22:17:00-05:00  5905.25 2024-11-21 04:28:17-05:00
19  2024-11-22   5991.25 2024-11-22 16:48:06-05:00  5940.75 2024-11-22 05:10:34-05:00
20  2024-11-24   6015.25 2024-11-24 20:38:30-05:00  6005.50 2024-11-24 18:00:02-05:00
21  2024-11-25   6033.75 2024-11-25 09:17:00-05:00  5976.25 2024-11-25 20:03:05-05:00
22  2024-11-26   6047.00 2024-11-26 21:28:45-05:00  5997.00 2024-11-26 03:38:05-05:00
23  2024-11-27   6041.50 2024-11-27 02:33:37-05:00  6013.75 2024-11-27 16:07:50-05:00
24  2024-11-28   6035.00 2024-11-28 23:16:37-05:00  6018.00 2024-11-28 19:51:17-05:00
25  2024-11-29   6035.50 2024-11-29 00:01:27-05:00  6018.75 2024-11-29 08:45:05-05:00
"""