There are two indicators which will accomplish this: Session Statistics (SESST) and Mixed Periodicity Data (MPD). Session Statistics is a more reliable and efficient method and will be discussed first. One thing to keep in mind when trying to decide between the two methods is that MPD uses the daily bars while SESST uses the actual intraday data. Thus, MPD will always reflect the data present in the daily bars (which is generally the globex session data for futures) while SESST values will reflect the session to which the chart is assigned (can reflect either day session or globex session data for futures contracts).
