"Use Settlement for Daily Charts"

[arvane]

I have had this enabled since discovering it back in Dec.

Currently (Sun morning looking at Friday's closes):

Daily in 6E #F my daily chart shows 1.3635, while the futures went out > 1.3680.

Daily in CL #F shows 71.19, but futures went out ~ 71.80

GC #F is correctly displayed per this option as is SI #F and HG #F

It doesn't appear that any of the currencies show the daily chart correctly with this option enabled - and fwiw yesterday GC, SI, and HG showed the daily settlement data (as opposed to where the mkts finished late trading at.) I shut down eSignal a couple of times thinking it might corret this, but to no avail.

Could someone take at look at CL #F, and possibly 6E #F to confirm my observations?

Thanks,
James

[ACM]

Re: "Use Settlement for Daily Charts"

James
To my knowledge that option is not available for all futures. FWIW this was mentioned in the release notes for version 10.5 (see quote below) which were posted here
Alex

- A new selection under Advanced Chart Properties is available called “Use Settlement for Daily Charts”. If this is unchecked, then the last price will be used instead of the settlement. Please note that this feature only affects symbols that have large trading periods after the settle is released such as DAX, GB futures.

Originally posted by arvane
I have had this enabled since discovering it back in Dec.

Currently (Sun morning looking at Friday's closes):

Daily in 6E #F my daily chart shows 1.3635, while the futures went out > 1.3680.

Daily in CL #F shows 71.19, but futures went out ~ 71.80

GC #F is correctly displayed per this option as is SI #F and HG #F

It doesn't appear that any of the currencies show the daily chart correctly with this option enabled - and fwiw yesterday GC, SI, and HG showed the daily settlement data (as opposed to where the mkts finished late trading at.) I shut down eSignal a couple of times thinking it might corret this, but to no avail.

Could someone take at look at CL #F, and possibly 6E #F to confirm my observations?

Thanks,
James

[arvane]

As usual thanks for the reference Alex.

I suppose we need a better definition of large trading periods after settlement?

Copper's settlement time is 13:00ET
Gold is 13:30ET
Crude Oil is 14:30ET
Currency is 15:00ET

It would appear that the cutoff is somewhere between 1.5 hours to 2.5 hours before EOD - good info to know.

[ACM]

James

I suppose we need a better definition of large trading periods after settlement?

It may be related to how and when the exchanges transmit the settlement. If you look at the enclosed screenshots as an example [all times are EST] it appears that NYMEX retransmits the settlement also at later times whereas Eurex does not
Mind you mine is just a guess
Alex

Originally posted by arvane
As usual thanks for the reference Alex.

I suppose we need a better definition of large trading periods after settlement?

Copper's settlement time is 13:00ET
Gold is 13:30ET
Crude Oil is 14:30ET
Currency is 15:00ET

It would appear that the cutoff is somewhere between 1.5 hours to 2.5 hours before EOD - good info to know.

[arvane]

Alex I suspect that the answer is definitely related to that settlement transmission.

In HG #F, I see the final settlement transmitted @ 17:19:51 ET on 5 Feb. =285.75

While the daily chart shows 289.20 on the 'close' for 5 Feb.

[ACM]

James
That would appear to be the case by looking also at the T&S for the other two contracts you mentioned. With regards to 6E specifically it seems that the CME transmits the settlement only after the close of the session
Alex

Originally posted by arvane
Alex I suspect that the answer is definitely related to that settlement transmission.

In HG #F, I see the final settlement transmitted @ 17:19:51 ET on 5 Feb. =285.75

While the daily chart shows 289.20 on the 'close' for 5 Feb.