time at settlement price

[atham]

I am currently using the Desktop API. Is there anyway for me to know the exact time market reaches a settlement price (either by quotes, history or time&sales or any other method)? I have to run the historical data (up to the completed trading day) through my software engine for analysis BEFORE next trading day starts.

get_RequestHistory() will add the new trading day at the top of the list only when the trading day starts but that will be too late for me. I also thought of tracking the closing price but since the closing price for the present day is always changing to the last Bid price, there's is no way I can tell from that when the settlement price has been finalised. Reason why I need the exact time for settlement price is because it's time sensitive as some markets are back-to-back like the forex. I need to load orders before market opens.

Please point in me in the right direction. Any help will be appreciated. Thanks in advance!

[StarrM]

Hi atham,


If you are using requestHistory for tick data, you will only get Trade updates...no bid/ask. So the close should not change to the Bid price, and you should be able to narrow down the settlement afterhours. You would make your request similar to this:

esignal.RequestHistory(sym, "1T", btDAYS, 1, 0, 0)

Or, you could use a Time & Sales request. See page 4-7 of the documentation for details on setting up a time & sales filter.

Starr
eSignal Developer Support

[atham]

Thanks for the reply StarrM.

Using the historical ticks, how do you suggest I narrow down the settlement price or know the time at which the settlement price was reached? I know this is not a technical question but I have been stuck with this for sometime now. I can measure the amount of activity by ticks nearing the after hours but that would require me to know track the start and end times of every market, something which I am trying to avoid because the different timezones and daylight savings can be very confusing and non-automatic. Most ideal is for esignal to trigger me. Any advice from you will be most helpful.