docs: update documentation for v3.4.0 release with ETH vs RTH feature

- Updated version to v3.4.0 in all relevant files
- Added comprehensive CHANGELOG entries with experimental warnings
- Created new docs/guide/sessions.md with complete usage guide
- Updated README with session filtering examples and warnings
- Enhanced docs/api/trading-suite.md with session configuration
- Added experimental feature warnings throughout documentation
- Reorganized examples into ETH_RTH_Examples directory
- Emphasized that feature is not thoroughly tested with live data

Related to PR #59

Author: TexasCoding

.secrets.baseline

@@ -133,7 +133,7 @@
         "filename": "CHANGELOG.md",
         "hashed_secret": "89a6cfe2a229151e8055abee107d45ed087bbb4f",
         "is_verified": false,
-        "line_number": 1745
+        "line_number": 1812
       }
     ],
     "README.md": [
@@ -142,7 +142,7 @@
         "filename": "README.md",
         "hashed_secret": "89a6cfe2a229151e8055abee107d45ed087bbb4f",
         "is_verified": false,
-        "line_number": 257
+        "line_number": 300
       }
     ],
     "docs/authentication.rst": [
@@ -334,5 +334,5 @@
       }
     ]
   },
-  "generated_at": "2025-08-28T05:23:40Z"
+  "generated_at": "2025-08-28T11:01:46Z"
 }

CHANGELOG.md

@@ -14,6 +14,73 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - Migration guides will be provided for all breaking changes
 - Semantic versioning (MAJOR.MINOR.PATCH) is strictly followed
 
+## [3.4.0] - 2025-08-28
+
+### 🚀 New Feature: ETH vs RTH Trading Sessions (Experimental)
+
+**IMPORTANT**: This is an experimental feature that has not been thoroughly tested with live market data. Use with caution in production environments.
+
+This release introduces comprehensive trading session filtering, allowing you to separate Electronic Trading Hours (ETH) from Regular Trading Hours (RTH) for more precise market analysis and strategy execution.
+
+### ✨ Added
+
+**Trading Sessions Module** (`src/project_x_py/sessions/`):
+- **SessionConfig**: Configure session type (ETH/RTH/BOTH) with product-specific schedules
+- **SessionFilterMixin**: High-performance data filtering with caching and lazy evaluation
+- **Session-Aware Indicators**: Calculate technical indicators on session-specific data
+- **Session Statistics**: Separate performance metrics for ETH vs RTH periods
+- **Maintenance Break Exclusion**: Automatically filters out daily maintenance periods (5-6 PM ET)
+
+**TradingSuite Integration**:
+- New `session_config` parameter for automatic session filtering
+- Seamless integration with existing components (OrderManager, PositionManager, DataManager)
+- Backward compatible - defaults to BOTH sessions when not specified
+
+**Example Usage**:
+```python
+# RTH-only trading (9:30 AM - 4:00 PM ET)
+rth_suite = await TradingSuite.create(
+    "MNQ",
+    timeframes=["1min", "5min"],
+    session_config=SessionConfig(session_type=SessionType.RTH)
+)
+
+# ETH-only analysis (excludes RTH and maintenance breaks)
+eth_suite = await TradingSuite.create(
+    "ES",
+    session_config=SessionConfig(session_type=SessionType.ETH)
+)
+```
+
+### 📚 Documentation & Examples
+
+- New comprehensive example: `examples/sessions/16_eth_vs_rth_sessions_demo.py`
+  - Demonstrates all session filtering capabilities
+  - Shows performance comparisons between ETH and RTH
+  - Includes session-aware technical indicators
+  - Provides backtesting examples with session filters
+
+### ⚠️ Known Limitations (Experimental)
+
+- Session boundaries may need adjustment based on contract specifications
+- Overnight session handling requires further testing
+- Performance impact with large datasets not fully optimized
+- Some futures products may have non-standard session times
+
+### 🔧 Technical Details
+
+- Implemented with Polars DataFrame filtering for performance
+- Caching of session boundaries reduces computation overhead
+- Lazy evaluation prevents unnecessary filtering operations
+- Fully async implementation maintains SDK consistency
+
+### 📝 Related
+
+- PR #59: ETH vs RTH Trading Sessions Feature
+- Issue tracking further improvements and testing needed
+
+---
+
 ## [3.3.6] - 2025-08-28
 
 ### 🎯 Major Quality Assurance Release

README.md

@@ -21,9 +21,11 @@ A **high-performance async Python SDK** for the [ProjectX Trading Platform](http
 
 This Python SDK acts as a bridge between your trading strategies and the ProjectX platform, handling all the complex API interactions, data processing, and real-time connectivity.
 
-## 🚀 v3.3.6 - Comprehensive Testing & Quality Assurance
+## 🚀 v3.4.0 - ETH vs RTH Trading Sessions (Experimental)
 
-**Latest Version**: v3.3.6 - Comprehensive testing initiative with 1,300+ tests, complete code quality compliance (0 type errors, 0 linting issues), and 175+ bugs fixed through strict TDD methodology. All critical components now have extensive test coverage. See [CHANGELOG.md](CHANGELOG.md) for full release history.
+**Latest Version**: v3.4.0 - Introduces ETH (Electronic Trading Hours) vs RTH (Regular Trading Hours) session filtering for futures trading. This feature enables traders to analyze and trade based on specific market sessions, with up to 366% more data available in ETH sessions.
+
+⚠️ **Experimental Feature Warning**: The ETH vs RTH sessions feature is new and has not been thoroughly tested with live market data. Use with caution in production environments. See [CHANGELOG.md](CHANGELOG.md) for full release history.
 
 ### 📦 Production Stability Guarantee
 
@@ -148,6 +150,47 @@ if __name__ == \"__main__\":
     asyncio.run(main())
 ```
 
+### Session Filtering (NEW in v3.4.0 - Experimental)
+
+Filter market data and indicators by trading session (RTH vs ETH):
+
+```python
+import asyncio
+from project_x_py import TradingSuite, SessionConfig, SessionType
+
+async def session_example():
+    # RTH-only trading (9:30 AM - 4:00 PM ET)
+    rth_suite = await TradingSuite.create(
+        "MNQ",
+        timeframes=["1min", "5min"],
+        session_config=SessionConfig(session_type=SessionType.RTH)
+    )
+
+    # ETH trading (24-hour excluding maintenance breaks)
+    eth_suite = await TradingSuite.create(
+        "MNQ",
+        timeframes=["1min", "5min"],
+        session_config=SessionConfig(session_type=SessionType.ETH)
+    )
+
+    # Compare data availability
+    rth_data = await rth_suite.get_session_data("1min")
+    eth_data = await eth_suite.get_session_data("1min")
+
+    print(f"RTH bars: {len(rth_data):,}")  # ~390 bars per day
+    print(f"ETH bars: {len(eth_data):,}")  # ~1,410 bars per day (366% more)
+
+    await rth_suite.disconnect()
+    await eth_suite.disconnect()
+
+if __name__ == "__main__":
+    asyncio.run(session_example())
+```
+
+⚠️ **Note**: Session filtering is experimental. Test thoroughly in paper trading before production use.
+
+📚 **Full Example**: See `examples/sessions/16_eth_vs_rth_sessions_demo.py` for comprehensive demonstration of all session features.
+
 ### Trading Suite (NEW in v3.0+)
 
 The easiest way to get started with a complete trading setup:
@@ -277,6 +320,7 @@ TradingSuite supports optional features that can be enabled during initializatio
 |---------|-------------|-------------|
 | **OrderBook** | `"orderbook"` | Level 2 market depth, bid/ask analysis, iceberg detection |
 | **Risk Manager** | `"risk_manager"` | Position sizing, risk validation, managed trades |
+| **Session Filtering** | Built-in (v3.4.0) | RTH/ETH session filtering (experimental) |
 | **Trade Journal** | `"trade_journal"` | Trade logging and performance tracking (future) |
 | **Performance Analytics** | `"performance_analytics"` | Advanced metrics and analysis (future) |
 | **Auto Reconnect** | `"auto_reconnect"` | Automatic WebSocket reconnection (future) |

docs/api/trading-suite.md

@@ -49,6 +49,51 @@ async def advanced_setup():
     await suite.disconnect()
 ```
 
+### Session Configuration (v3.4.0+)
+
+!!! warning "Experimental Feature"
+    Session filtering is experimental and not thoroughly tested with live data. Use with caution in production.
+
+```python
+from project_x_py.sessions import SessionConfig, SessionType
+
+async def session_setup():
+    # RTH-only trading (9:30 AM - 4:00 PM ET)
+    rth_suite = await TradingSuite.create(
+        instrument="MNQ",
+        timeframes=["1min", "5min"],
+        session_config=SessionConfig(session_type=SessionType.RTH)
+    )
+
+    # ETH-only analysis (overnight sessions)
+    eth_suite = await TradingSuite.create(
+        instrument="ES",
+        session_config=SessionConfig(session_type=SessionType.ETH)
+    )
+
+    # Custom session times
+    from datetime import time
+    import pytz
+
+    custom_config = SessionConfig(
+        session_type=SessionType.RTH,
+        custom_times=SessionTimes(
+            rth_start=time(9, 0),
+            rth_end=time(15, 30),
+            timezone=pytz.timezone("US/Eastern")
+        )
+    )
+
+    custom_suite = await TradingSuite.create(
+        instrument="CL",
+        session_config=custom_config
+    )
+
+    await rth_suite.disconnect()
+    await eth_suite.disconnect()
+    await custom_suite.disconnect()
+```
+
 ### Configuration File Setup
 
 ```python
@@ -108,6 +153,7 @@ from project_x_py.types import (
     OrderbookConfig
 )
 from project_x_py.risk_manager import RiskConfig
+from project_x_py.sessions import SessionConfig, SessionType
 
 async def custom_configuration():
     # Custom component configurations
@@ -129,11 +175,18 @@ async def custom_configuration():
         max_drawdown_percent=10.0
     )
 
+    # Session configuration (v3.4.0+)
+    session_config = SessionConfig(
+        session_type=SessionType.RTH,
+        product="MNQ"  # Product-specific session times
+    )
+
     suite = await TradingSuite.create(
         "MNQ",
         order_manager_config=order_config,
         position_manager_config=position_config,
-        risk_config=risk_config
+        risk_config=risk_config,
+        session_config=session_config  # New in v3.4.0
     )
 
     await suite.disconnect()
@@ -250,6 +303,37 @@ async def data_access():
     await suite.disconnect()
 ```
 
+### Session-Aware Data Access (v3.4.0+)
+
+```python
+from project_x_py.sessions import SessionType
+
+async def session_data_access():
+    # Create suite with session configuration
+    suite = await TradingSuite.create(
+        "MNQ",
+        timeframes=["1min", "5min"],
+        session_config=SessionConfig(session_type=SessionType.RTH)
+    )
+
+    # Get session-specific data
+    rth_data = await suite.data.get_session_bars("5min", SessionType.RTH)
+    eth_data = await suite.data.get_session_bars("5min", SessionType.ETH)
+
+    # Session trades
+    rth_trades = await suite.data.get_session_trades(SessionType.RTH)
+
+    # Session statistics
+    from project_x_py.sessions import SessionStatistics
+    stats = SessionStatistics(suite)
+    rth_stats = await stats.calculate_session_stats(SessionType.RTH)
+
+    print(f"RTH Volatility: {rth_stats['volatility']:.2%}")
+    print(f"RTH Volume: {rth_stats['total_volume']:,}")
+
+    await suite.disconnect()
+```
+
 ## Event Handling
 
 ### Real-time Events

docs/changelog.md

@@ -5,6 +5,41 @@ All notable changes to the ProjectX Python SDK will be documented in this file.
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
+## [3.4.0] - 2025-08-28
+
+### 🚀 New Feature: ETH vs RTH Trading Sessions (Experimental)
+
+**IMPORTANT**: This is an experimental feature that has not been thoroughly tested with live market data. Use with caution in production environments.
+
+This release introduces comprehensive trading session filtering, allowing you to separate Electronic Trading Hours (ETH) from Regular Trading Hours (RTH) for more precise market analysis and strategy execution.
+
+### Added
+- **Trading Sessions Module** (`src/project_x_py/sessions/`) with SessionConfig, SessionFilterMixin, and session-aware components
+- **TradingSuite Integration** with new `session_config` parameter
+- **Session-Aware Indicators** for calculating technical indicators on session-specific data
+- **Session Statistics** for separate ETH vs RTH performance metrics
+- **Maintenance Break Exclusion** (5-6 PM ET daily)
+- **Comprehensive Example** in `examples/sessions/16_eth_vs_rth_sessions_demo.py`
+- **Documentation** in `docs/guide/sessions.md`
+
+### Known Limitations
+- Session boundaries may need adjustment based on contract specifications
+- Overnight session handling requires further testing
+- Performance impact with large datasets not fully optimized
+- Some futures products may have non-standard session times
+
+### Related
+- PR #59: ETH vs RTH Trading Sessions Feature
+
+## [3.3.6] - 2025-08-28
+
+### Major Quality Assurance Release
+- Complete code quality compliance with zero mypy errors, zero linting issues, zero IDE diagnostics
+- Order Manager module complete overhaul with protocol compliance
+- Fixed TradingSuite duplicate subscription issues
+- Added 100+ new comprehensive tests for edge cases
+- Complete test coverage with all 1,300+ tests passing
+
 ## [3.3.4] - 2025-01-23
 
 ### Added