Calculating closing price in EFS

[ozfader]

Hello,

I trade Eurex. The PrevClose.efs formula calculates closing
price using the Daily Settlement Price which can be several points
different to actual closing price. Not only is the Gap affected, but so
are the daily pivots. Is there any way to correct this so that the actual
closing price is calculated?

Thanks

PS: I tried to attach example but no luck. Must have missed something in the faq!

[eSignal_JasonK]

Hello ozfader,

In the Prev Close.efs the close(inv("D")) will return the settlement price of the previous day from the daily chart by default. To get the last close from the last bar of the previous day you will need to do several things. First, set your chart's time template to only show the bars within your desired range of time for the session of the symbol you are charting. This will allow you to detect within your EFS as it loads what the last bar of the previous day was based on the bars loaded in the chart. In your formula, use the day() function to accomplish this with the following conditional statement.

var nPrevClose = null;

function main() {
    if (day(0) != day(-1)) {
        nPrevClose = close(-1);
    }
    
    return nPrevClose;
} 

This condition evaluates to true on the first bar of the day and sets the nPrevClose variable to the close from the last bar of the previous day. Let us know it this helps.

[ozfader]

Many thanks Jason.

Alan

[eSignal_JasonK]

Hello Alan,

You are most welcome. You may also want to check out this post from earlier today regarding the Eurex settlement. I believe this will resolve this issue as well. Try the Prev Close.efs after Aug 11 and let us know if this resolves the issue as well.

[ozfader]

Works a treat on the Prev Close.efs formula Jason, many thanks again.

How can I to apply that to PivotPointAll.efs?

Alan