SP #F=1 O-H-L good, C bad

[checkraise]

Why does the daily close for SP #F=1 equal the daily close for SP #F=2? Ditto for ND #F=1 and ND $F=2?

The sessions are different, the Open and High and Low vary depending on the session, but the Closes are identical regardless of which session I choose, RTH or Globex.

I'd like to have the correct daily close of the SP Globex session, which would be the closing price as of 8:15am Chicago Time, when the Globex session ends for the pit traded index futures.

[dloomis]

According to

http://www.cme.com/trading/prd/overview_SP701.html

the SP contract trades from 830 to 315 chicago time, so I am not sure how you figure the close of the Globex session is 815.

[checkraise]

dloomis - The big SP trades in the pit during the day and electronically overnight on Globex. Read your own link. The Globex Session (SP #F=1) ends at 8:15am, as your link points out. The pit or floor traded session (SP #F=2) ends at 3:15pm, as your link points out (all times Chicago time.) .

So my question, again, is....why is the close of the Floor/Pit Session being reported as the close of the Globex Session? The O-H-L are correctly resported: those from the Floor/Pit Session are in the data export from the daily SP #F=2, and those from the Globex Session are in the data export from the daily SP #F=1. But the CLOSES are not from their respective sessions, rather both closes are from the Floor/Pit Session.

ND has the same problem.

[checkraise]

It's been almost 2 weeks with no response on this problem. Will one of the esig specialists please take a look at this issue of bad closing session data?

[DuaneG]

checkraise,

I assume that you are determining the close of the session through the Cursor window. As we researched this, we came across what may be happening here.

Basically, the issue appears depending on what chart type you are currently viewing. In the case of bar charts, you can see that while the cursor level states a particular close, the actual price level of the bar in question is quite different.





In the case of a candlestick chart, we can see that the close of the candle is the same as reported by the Data window. It appears that an algorithm in the chart type is affecting this. We are looking at this to develop a possible solution. Once I have some information in regards to a resolution, I'll respond back to this thread. Thanks for the details.

[checkraise]

DuaneG -

Thanks for the reply.

The data is in the cursor windows in your pics is bad. In both cases, the Close is less than the Low.

I had been determining the close thru the Data Export feature.

According to the CME, the actual O-H-L-C prices of SP #f=1 for the date you highlighted, 1/21/05, are 1177.40-1180.30-1176.20-1179.00. Neither the candle chart nor the barchart indicate the correct Close.

The Data Export for both charts and the cursor window for both charts show the exact same data, ie, both have correct session O-H-L data, but incorrect Close data. The Close of the #f=2 session is being reported as the Close of the #f=1 session. Both candle and bar charts are wrong since neither of them indicate the correct session close. The candle chart seems to be including the out-of-range Close in the candle, while the barchart omits it and reports another wrong datapoint as the close.

So the issue appears no matter what type of chart one uses. And with the correct Close datapoint of 1179 for 1/21/05, both the candle and the bar should be green for that day, since the session closed above the session Open.