how are the close prices calculated on daily charts for CME emini's?

[clearpicks]

how are the close prices calculated on daily charts for CME emini's? are they the last trades for that session?

For NQ Z8, according to CME website http://www.cmegroup.com/daily_bullet...es_2008189.pdf

the settlement for NQ Z8 on 09/30 should be 1604.50, however in esignal the close price for NQ Z8 on 09/30 on daily chart is 1594.25. On 1min chart of NQ Z8 (time frame is set to 0:00 - 24:00), at 16:25 yesterday, there is a bar with OHLC all set to 1594.25. How is that price calculated, what does that bar mean?

Also is the daily openning price still calculated by the first price after 0:00? If I open esignal after 16:15 but before 0:00am, the open price of the last daily bar of those futures such as NQ and CL would be the first trade after esignal is started, which means the last daily bar does not cover the trades before I open esignal.

Moreover if the historical daily bars all use the first trades after 0:00am as openning price, then those historical daily bars would not reflect those trades between 4:15pm and 0:00am.

- Clearpicks

[ACM]

Re: how are the close prices calculated on daily charts for CME emini's?

clearpicks
That trade is the end of month Settlement which uses a different procedure than the end of day Settlement.
If you search the CME's site you should find an explanation of how both Settlements are calculated
The daily Open is the first price of the session for the trade date and not the first price after 00:00
Alex

Originally posted by clearpicks
how are the close prices calculated on daily charts for CME emini's? are they the last trades for that session?

For NQ Z8, according to CME website http://www.cmegroup.com/daily_bullet...es_2008189.pdf

the settlement for NQ Z8 on 09/30 should be 1604.50, however in esignal the close price for NQ Z8 on 09/30 on daily chart is 1594.25. On 1min chart of NQ Z8 (time frame is set to 0:00 - 24:00), at 16:25 yesterday, there is a bar with OHLC all set to 1594.25. How is that price calculated, what does that bar mean?

Also is the daily openning price still calculated by the first price after 0:00? If I open esignal after 16:15 but before 0:00am, the open price of the last daily bar of those futures such as NQ and CL would be the first trade after esignal is started, which means the last daily bar does not cover the trades before I open esignal.

Moreover if the historical daily bars all use the first trades after 0:00am as openning price, then those historical daily bars would not reflect those trades between 4:15pm and 0:00am.

- Clearpicks

[clearpicks]

Hi Alex,

The URL is the daily reported generated from CME website.

This link is for 09/29/2008.

http://www.cmegroup.com/daily_bulletin/Section11_Equity_And_Index_Futures_2008188.pdf

Which one do you imply is monthly settlement price? The one in the CME URL or the close price 1594.25 in esignal?

Is it because yesterday was the last trading day of september so esignal used monthly settlement price as the close price on daily charts instead of using daily settlement price?

Regarding to the opening price, if esignal is started before midnight, it can not build the last daily chart correctly.

- Clearpicks

[ACM]

clearpicks
The end of month Settlement for NQ was initially determined at 1594.25 [which is the trade you see between 15:15 and 15:30 CT] but was later revised by the CME to 1604.50 due to cancellations of erroneous trades at NASDAQ that affected the Nasdaq100 Index (btw the same occurred with the S&P500 futures which also were revised). As far as I know eSignal is aware of this but has not yet processed the revised Settlements.
In the mean time you can easily edit the bar using the Bar Editor
Alex

Originally posted by clearpicks
Hi Alex,

The URL is the daily reported generated from CME website.

This link is for 09/29/2008.

http://www.cmegroup.com/daily_bulletin/Section11_Equity_And_Index_Futures_2008188.pdf

Which one do you imply is monthly settlement price? The one in the CME URL or the close price 1594.25 in esignal?

Is it because yesterday was the last trading day of september so esignal used monthly settlement price as the close price on daily charts instead of using daily settlement price?

Regarding to the opening price, if esignal is started before midnight, it can not build the last daily chart correctly.

- Clearpicks

[clearpicks]

Alex,

Thank you.

- Clearpicks

[ACM]

clearpicks
You are welcome
Alex

Originally posted by clearpicks
Alex,

Thank you.

- Clearpicks