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Daily open and close values
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Daily open and close values

  #1 (permalink)
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Daily open and close values

How are the daily open and close values calculated for e-mini futures? (ES)

It's not the same as the last or first tick (last) value of the day. It's sometimes not even near that value. Is it some kind of average of some sample of ticks from the end and beginning of the day?

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  #3 (permalink)
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rounder8 View Post
How are the daily open and close values calculated for e-mini futures? (ES)

It's not the same as the last or first tick (last) value of the day. It's sometimes not even near that value. Is it some kind of average of some sample of ticks from the end and beginning of the day?

If you want to know something about E-mini futures, you should have a look at the CME websites. Let us have a look at the values of last Friday. You can find them here:

E-mini S&P 500

As the link will not show the values of Friday, June 17 2011 forever, I have attached the current day as PDF below. You will notice that there is a LAST and a SETTLEMENT value. The last value is the last price traded prior to 3:15 PM Central Time. The settlement price is determined according to the rules for settlement price, which are


Settlement Price: All days with the exception of the last business day of the month

The general rules are listed here:

Settlements

You will note that the settlement price for E-minis is the volume weighted average price of all trades registered between 3:14:30 and 3:15:00 PM Central Time. In general the settlement price for the E-minis is very close to the last price traded. Yesterday's settlement for the front month 09-11 was 1266.00, the last price traded was 1265.75, so the difference was only one tick.


Settlement Price: Last business day of the month (specific rule for index futures)

The settlement price is calculated from the index at market close of the underlying, which is 4:00 PM EST, by applying a fair value procedure. Fair value procedure means that you take the index value, deduct expected dividends and add interest at the risk free rate until expiry of the futures contract. In rare cases the settlement value of the last business day of the month can well be outside the daily range of the future. I have just recently seen a settlement value for YM, which was below the low of the day, as it was calculated following the fair value procedure.

Because of the time difference of 15 minutes and the impact of the fair value procedure settlement and last prices will not match well on the last business day of the month.


Open value

I have to admit that I do not know how the open value is determined exactly. Some markets have an opening auction prior to the start of the continuous auction. In this case the open is the price resulting from the opening auction and not the first price traded during the continuous auction.


Daily data

If you have a quality data provider such as DTN/IQ, the daily data will not include the first and last price traded, but you will get the official open value and the settlement price instead. High and low of the daily data should correspond with high and low of intraday data, if the same session (ETH or RTH) is selected.

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Daily open and close values-e-mini-s-p-500.pdf  
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  #4 (permalink)
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Such a high-quality answer Thanks

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Daily Candle in Futures e-mini - time open and close

Daily Candle in Futures e-mini - time open and close

I do not understand very well the follow:

In Daily Candle in ES e-mini futures:
what are the time in open Candle and the Close candle?

Example, in this data:
in 2016-02-02 the open price 1928.5 at time this price is to do? And the close value at time?

Nornal follow date in some sites for ES daily candles.

Quoting 
Date Open High Low Last Change Settle Volume Open Interest

2016-02-02 1928.5 1929.25 1889 1896.75 33.75 1897.5 2097985 2888962
2016-02-01 1929.75 1940 1912.5 1928.75 1.25 1931.25 1740254 2878549
2016-01-29 1878.75 1933 1876.5 1931.25 49.25 1930 2395768 2872487
2016-01-28 miss open 1902.5 1865.75 1882 5.75 1880.75 2249377 2897826
2016-01-27 1885.25 1910 1864.5 1878 21 1875 2109008 2870149
2016-01-26 1871.75 1899.75 1851.25 1888 25.75 1896 1776173 2862213
2016-01-25 1899.5 1904.25 1855.75 1871.75 29 1870.25 1636585 2841461
2016-01-22 1858.5 1902.25 1855.75 1899.25 38.25 1899.25 2100487 2850850
2016-01-21 1854.75 1883.25 1836.25 1861.5 6 1861 2723416 2867832

I see this in CMe:

Quoting 
cme us index futures eth

Sunday - Friday 6:00 p.m. - 5:00 p.m. New York Time/ET (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with 15-minute trading halt Monday – Friday 4:15 p.m. - 4:30 p.m. New York time/ET (3:15 p.m. - 3:30 p.m. Chicago Time/CT). Monday - Thursday 5:00 p.m. - 6:00 p.m. New York Time/ET (4:00 p.m. - 5:00 p.m. Chicago Time/CT) daily maintenance period.

I am confuse, and tyy see a graph in yahoo, that have date, time and price, but not concluded.

Thanks for the help.

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jmagaia View Post
Daily Candle in Futures e-mini - time open and close

I do not understand very well the follow:

In Daily Candle in ES e-mini futures:
what are the time in open Candle and the Close candle?

Example, in this data:
in 2016-02-02 the open price 1928.5 at time this price is to do? And the close value at time?

Nornal follow date in some sites for ES daily candles.

I see this in CMe:

I am confuse, and tyy see a graph in yahoo, that have date, time and price, but not concluded.

Thanks for the help.


For ES you will find the official price data at CME website.

Open is the opening price at 6:00 PM Central.
High is the highest price over the entire trading day from 6:00 PM Central to 5:00 PM Central
Low is the lowest price over the entire trading day from 6:00 PM Central to 5:00 PM Central
Last is the last quoted price prior to 5:00 PM Central (it can be a transaction or a bid or an ask)
Settlement is the volume-weighted average price calculated over all transactions between 3:14:30 and 3:15:00 Central

On the last business day of the month, there is a different rule for determining the settlement price.

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