Last Traded Price vs Settlement Price

Discussion in 'Data Sets and Feeds' started by Michael888, Apr 18, 2012.

  1. Hi All

    Ive been doing a bit of a comparison between a few platforms recently and noticed an interesting difference in the closing price between some of them with trading futures and I am hoping someone can explain to me why.

    I'm sure it is not something new, but when comparing the closing price of the daily bars on a couple of the platforms, one would use the last price traded as the close of its daily bar while another would use the settlement price for the close of its daily bar.

    On the more liquid futures markets the difference is generally not much, but on some of the other markets it could be considered significant in my opinion.

    So why would different platforms have different closing prices on daily bars like this? To me it makes it totally confusing as to which one I should be using and also the affect this can have depending on your style of trading can mean alot.

    Another thing I noticed with forex daily bar charts are that some platforms use GMT close daily bars, while others use NY close daily bars, so if you are using these bars for price action they will look totally different. I don't understand why this is all not just stock standard and the same across the board.

    Aren't the markets hard enough??


  2. dom993


    Re. SET ws Last Trade price, I suspect this is not a platform issue, but a datafeed one ... some datafeed report the SET instead of Last Trade price for daily bars, which makes sense from an accounting point of view (SET is used for Mark-To-Market reporting).

    In most cases, the difference between the 2 is a few ticks & that should not impact your market analysis ...

    ... but if it does, get down to 1min chart, where you have the Last Price readily available and you can compute the SET price according to the exchange rules if you need it.
  3. JackR



    There is no general rule.

    Many settlement prices are based on "pit" trading hours. Pit trading hours often do not match "screen" trading hours. Different data vendors (or charting platforms) handle end-of-day/settlement differently. Some ignore settlement times altogether. Others show both.

  4. mmmm thanks guys - it still seems strange to me that there is no uniform price on the end of a daily bar and it is up to the discretion of the charting software /data feed to make the choice.

    From what I can tell most platforms that I have checked out anyway use the settle price as the final price for a daily bar.

    Anyway, thanks again and good trading!!