Where does it go for a couple hours after 4 PM ET? My bid asks for ES are pretty much stagnant or disappear during this period? (Using IB)
From 4PM ET until 6 PM ET it drops off because it is the "in between" time. 4PM ET Wall Street close. 4:15 PM ET CME halt <---(This is where you see spreads go nuttier, because, well, there's no trading.) 4:30 PM CME ES trading resumption. Very very thin. 5PM ET CME ES trading close. <----(This is where you see spreads go nuttier, because, well, there's no trading.) 6PM ET CME ES trading opens for the following calendar day.
All I know is the market closes at 4 PM ET. Looks like you have got the information you are looking for.