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previous-day closing price of eurex futures

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  • previous-day closing price of eurex futures

    I'm using history requests (with a daily interval) in order the get the previous-day closing price of various symbols. This has been working well, but since a few weeks ago I noticed that for a couple of Eurex symbols I am getting a closing price that is different from the previous-day closing price that is listed in the eSignal application (the latter is the correct one of course).
    For example, two symbols with this problem are:
    AX Z9-DT (future for DAX index)
    ET Z9-DT (furure for DJ Euro-Stoxx 50 index).

    I looked a little into this and noticed that the price I am getting is indeed the last price traded the previous day, but that the official closing price for the day is determined a few hours before the last trade (when the relevant index' stocks are closed). I tried charting the daily data in the eSignal application and that brought the correct closing price on the daily bars, which left me puzzled as to why the bars I am getting in the desktop API are different.

    In any case, is there a way to get the correct (official) closing price for these (and similar) symbols in the Desktop API?

    Thanks
    Dror

  • #2
    The closing price shown in eSignal daily tabular table is the settlement price. However, the close price shown via the Desktop API RequestHistory method is the last trade price of the session.

    Unfortunately, the Desktop API currently does not support retrieval of the official settlement price for futures. Only the last trade price is returned.

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    • #3
      Ok, thanks.
      Dror

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