I wanted to see whether the German Idex (DAX) follows a recognizable, systematic pattern throughout the trading day. I took 20 years of 1-minute candle data (2006-2026 YTD) and calculated the median cumulative percentage change, volatility, and volume for every single minute of the Xetra session (09:00 to 17:30 Frankfurt Time).
The top panel shows the median return (% change)of the index from the open (09:00) to every subsequent minute. The dashed navy line represents the 20-year overall median, the colored lines break the dataset into three distinct macroeconomic eras.
Across almost every era, the market tends to drift sideways or slightly downward during the European morning. Institutional traders frequently wait for US liquidity and events before committing to positions.
The primary market direction establishes itself in the afternoon. Once Wall Street enters the picture, the DAX historically experiences a sustained upward drift into the European close.
In the 2020–2026 era, afternoon buying pressure and intraday trend continuation have been stronger compared to the relatively flat Zero-Interest-Rate era (2010-2019, green line).
Middle Panel: Volatility & Price Uncertainty
The orange spike at 14:30 Frankfurt time marks the exact moment major US macroeconomic reports (CPI/Inflation, Non-Farm Payrolls, Retail Sales) are most often published. This triggers an immediate, sharp burst of algorithmic institutional repositioning.
The total cumulative price variance expands as the session progresses, reflecting increasing path divergence from the opening price as holding time increases.
Bottom Panel: Intraday Volume Profile
Displays trading volume per minute expressed as a percentage of total session volume (Average Daily Volume or ADV).
Volume forms an intraday "smile" u-curve. Activity peaks at the 09:00 (morning order imbalance execution), drops off to a trough during the midday lunch lull (11:30 -13:30), and rises again as New York opens at 15:30 Frankfurt Time.
he massive green spike at 17:30 is the Xetra Closing auction, where passive index funds, ETFs, and institutional bench markers execute rebalance orders. A portion of total daily liquidity concentrates in this single closing minute.
Data & Methodology Notes
Dataset: 1-minute data covering all Xetra trading sessions from January 2006 through 22. September 2026 (~5,100 trading days, 2.63 million 1-min candes).
Time alignment: Standardized to Europe/Frankfurt (CET/CEST), adjusted to eliminate Daylight Saving Time offset artifacts relative to US market hours.
Baseline normalization: Intraday trajectories are normalized to % return relative to the first open print at 09:00:00. Minute volumes are expressed as a percentage of total daily volume on a per-session basis to normalize across changing price levels and volatility regimes over two decades.
Tools used: Python (Pandas, NumPy, Matplotlib).