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If my previous post appeared vague and elusive, I assure you that was not my intention.
This can become a complicated subject, but if you understand the 3 forces at work here the mysterious disparity will at least become understandable. Time, price and volume.
The simple answer to, "explain the disparity between the last price on Zen-Fire and the last price on the CME web site. 13 ticks of difference" is time. The settlement period for currency futures is between 13:59:30 and 14:00:00 PM CT. Within this 30 second time period is when the data for the last and settle price posted on the CME Site is accumulated and calculated. The last (on CME) is the last trade in this time period, the settle is the volumeweighted average price of all trades traded in this 30 second period.
This is two hours prior to the close of the FOREX markets at 16:00 PM CT when your chart prints the last trade for the day. This is where the disparity between the last price on Zen-Fire (or any other data server) and the last/settle price on the CME web site originates.
Why? That's not my area.
I warned you, "This can become a complicated subject." I'm sure you're pondering many questions, I suggest using the futures.io (formerly BMT) search feature. Many of these questions and issues have been aired out extensively on other threads.
The last traded price of January 9 is the price of the last transaction, which occured prior to 4:00 PM CT.
Last Price Shown by CME
The last price shown on the CME website is not the last price of the Globex session, but the last price of the Open Outcry session, which ends at 2:00 PM CT. So it is known 2 hours earlier than the last price of the Globex session.
Further the last price is not necessarily a price of a transaction, but it can be an ask price (A) or a bid price (B)
Settlement Price Shown by CME
The settlement price is the volume-weighted average price of all Globex transactions for the front month that occured during the settlement period. The settlement period is the timespan between 1:59:30 PM CT and 2:00 PM CT, that is the 30 seconds prior to the end of the Open Outcry session.
Solving the Puzzle for January 9
Last Traded Price (Globex, 4:00 PM) : 1.2773
Last Traded Price (Open Outcry, 2:00 PM) : 1.2761
Last Price (CME, Open Outcry, 2:00 PM): 1.2760B
Settlement Price (CME, 1:59:30 - 2:00 PM): 1.2761
I had forgotten the end of the RTH session was 2:00 PM CT for the 6E but i still have a question. Where can i see the last price that occured at 4:00 PM CT on the CME web. It's not here at this URL: CME 6E
And regarding the anaPivotDailyV38 indicator, what do you suggest as settings to get the correct daily pivots, the pivot levels a Forex trader would most probably use as as far as i am concerned the settlement price does not apply to the Forex market.
The last price 4:00 PM CT is not shown on the CME website under Settlements.
Pivots were a floor trader tool, and obviously they work better with floor traded instruments then currencies.
But to answer your question. The default settings of the anaPivotsDailyV38 indicator use
- the settlement price a 2:00 PM CT
- the high and low of the Globex session
to calculate the pivots. But decide yourself. The charts below show
(1) ETH pivots with settlement price
(2) RTH pivots with settlement price
(3) ETH pivots with ETH close
(4) RTH pivots with RTH close
The indicator allows you to display the pivots in all ways. (1) is the default option, as I believe that the regular trading hours at CME have little importance for FOREX instruments. An alternative would be option 3.
Common sense would dictate option 3 is the most logical choice i suppose. But what about if Zen-Fire does not 'fire' the correct price at 4:00 PM CT, what option do we have to counter check the last price aside from our broker datafeed if it's not available at the CME web side ?
Zenfire does always fire the correct price at 4.00 PM CT, because it is just the close of the 4:00 PM CT bar. You just need to select the appropriate session template.
Interactive Brokers send quotes for EUR/USD forex with the bid, the ask, and so they say, the last trade. But since this is forex, whose trades are they talking about? Their own customers?
Anyway I checked out the data coming through and in fact the last price is always the ask price. At least during the time when I was checking it out.
What's the deal with the futures? Can you chart bid, ask and last and see 3 seperate things?
You can discover what your enemy fears most by observing the means he uses to frighten you.
The are different types of FOREX brokers. The better ones do not trade against you, but just offer access to an ECN (Electronic Communications Network). Interactive Brokers is one of the better ones, so they offer access to IDEALPRO, which is an ECN.
An ECN basically works like an exchange. If you want to know whether your FOREX brokers is an ECN broker, just check for market depth. If you have an order book with Level 2 data, you are trading via an ECN, which works in a similar way as an electronic exchange. The screenshot below shows market depth for $EURUSD.
Charting Last, Bid and Ask
When you open a chart, NinjaTrader allows you to plot the last price traded, the bid or the ask. Up to you to specify what you want to see. The chart below shows bid and ask for $EURUSD.
