I was just looking at my ES and NQ charts for today (Friday, May 28th) and I am seeing something weird. According to the CME website, my CSI data feed, as well as the Esignal daily resolution charts, the ES closed at 1120.25. However, if I zoom in to the 1 min resolution in Esignal, the price clearly closed at 1123.00 at 1:15pm EST. Switching to tick charts, the picture is even stranger. After the last trade at 1:15pm takes place at 1123.00, there is one more tick at 1:25pm(!!!) that takes the price down to 1120.25. You can see the exact same thing on NQ as well, where the price drops from 1471 to 1467 at 1:25pm on a single tick. Does anyone have any idea what that tick at 1:25pm represents, and what's the "actual" closing price? -bbc
I am not sure if this is related, but I had what appeared to be blocks of no data yesterday, i.e., there were periods where the were no quotes and no trades, with the trade and quotes jumping after the block out period. For me, the first block out happened at 9:10:27 AM CST and lasted until 9:12:24 AM CST. Again I am not sure since one cannot tell whether the problem is the data vendor or the connection from the data vendor to the exchange, or the exchange itself, but I believe the exchanges had a data delivery problems yesterday. nitro
The closing price and the actual settlement price are usually a few points different (by "fair value") because of the end-of-month settlement procedures - see this link for more info: http://www.cme.com/prd/eq/fairvaluefaq2544.html This happens at the end of every month.
Thanks Quah. I read about the procedure, and it's truly bizzare. So basically every day of the month the closing price is where the futures close at 1:15pm. But once a month, the closing price completely ignores all the trading between 1 and 1:15pm and instead is computed from the cash close at 1pm. It would seem that for system trading purposes, it makes much more sense to ignore this transformation and use the real closing price at 1:15pm every day of the month. Does anyone know if the next morning's opening price is usually closer to the price at 1:15pm or to the reported close? -bbc
I haven't really noticed where they typically open post-eom settlement. However, you will often see people complaining that the +/- from the previous day is incorrect because they are basing it off the :15 close and not the actual settlement, which is the value used to calculated the +/- the next day.
Oh no, my Pivot Point levels are off for Tuesday, what should I do? Do I use the actual closing prices or the settlement prices? I better not trade! Lemme spend all Memorial Day writing new EL code.
I don't know if it matters or not - however, if you use the closing price in any calculations then I guess it *should* matter - you want to use the "right" one, don't you?