Settlement data and trading US, CL, GC

Discussion in 'Data Sets and Feeds' started by chanelops, Apr 27, 2010.

  1. I've been swing trading the ES using a mechanical trading model, and am now broadening my reach to the electronic version of the US, CL, and GC contracts. In the ES world, the trading day ends and the settlement price is released shortly thereafter, and it's usually pretty close to the last trade, unless it's the end of the month.

    But with these other contracts, it looks like settlement prices occur at various times that are basically when pit trading hours end. So if you're trading the electronic contract, the settlement price for the day will come before the last electronic trade is made. It seems to me that this is a problem if you are using OHLC data to do backtesting. Now your C is no longer your "close", but is some fixed time that could be several hours before electronic trading ends.

    So that brings up several questions: 1) why is this done this way? I'm guessing it's because the settlement price was always set right after the pit trading closed, and that practice has never changed. Or is there some other reason?

    2) if you want to trade the equivalent of market-on-close, (which I do), how do you deal with this? Do you build your models to treat the settlement price as the close price, and make your trades at the settlement time, instead of at the close? That might work, but it seems pretty weird. You'd have to treat the remaining part of the (electronic) trading day as the start of the next day, which is confusing. And if the low or high occurred after settlement, you wouldn't have that data to feed your trading model to calculate the next day's trades, because you would have already entered those trades at settlement time.

    3) are there data vendors that provide actual close data (last trade of the day) for these contracts, and don't use the settlement data? I've been using Pinnacle, and they use the settlement price. If I could find a historical data provider with the actual close prices, that might solve my problem.

    4) for those of you out there already doing this, how do you handle this? I kinda have a feeling I'm missing something here.
  2. TraDaToR


    You can trade the settlement contract on CL and GC.
  3. Not sure I follow that. What I'm talking about is how to handle data that provides a daily settlement price instead of a close price, and where the trading day extends beyond the time the daily settlement price is set.
  4. TraDaToR


    It was just to inform you that you can get the exact settlement price if you want, but you are right, if high and low are after settlement time and you need them to compute your entry "at Close", then there is no way of getting the close = settlement price.
  5. Thanks. What I really need is a data vendor that supplies true OHLC data for futures, instead of OHLSettle data.

    Anyone know of one?
  6. TraDaToR


    No, but why don't you convert intraday datas into OHLRealClose datas ?
  7. What is the official close time for CL, GC?
  8. If I understand what you're saying, I've thought about that. Since the current data is available from CME, maintaining it going forward would be no problem. Going backwards a few years would mean some work, but it's doable. ANF Futures sells minute-by-minute futures data for a few contracts at a reasonable price, and I've used their ES data before, but unfortunately they don't carry the US, CL, or GC contracts.

    I'll keep looking. I suspect I can get it from the exchange directly, only the price may not be attractive. I believe TradeStation has it available going back quite a ways, although I've never used them. I'm sure there are others, too.
  9. For CL Open Outcry: Monday – Friday 9:00 AM to 2:30 PM (8:00 AM to 1:30 PM CT)
    On the Globex: Sunday - Friday 6:00 p.m. - 5:15 p.m. New York time/ET (5:00 p.m. - 4:15 p.m. Chicago Time/CT) with a 45-minute
    break each day beginning at 5:15 p.m. (4:15 p.m. CT)

    For GC on the Globex: Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT)
    GC Open Outcry: Monday – Friday 8:20 a.m. - 1:30 p.m. (7:20 a.m. - 12:30 p.m. CT)

    So you can see there's a 2hr 45min period where oil continues to trade after the day's settle price is set, and 3hrs 45min similar period for gold. That's a lot of time.
  10. TraDaToR


    Chanelops, you can get down to minutes data from a lot of data providers. If you want top notch quality, go for reuters, CQG or the exchanges, but depending on what quality you need, you can even get them for free. I haven't backtested in a long time so I don't know where you can find it now, but I'm sure there are some website with free 1 min datas for these contracts.
    #10     Apr 29, 2010