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CME funny settlement ES Friday 120406
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CME funny settlement ES Friday 120406

  #1 (permalink)
Rristocrat
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CME funny settlement ES Friday 120406

CME funny settlement ES Friday 120406

How the CME is able to give us a settlement price on Friday of 1390.25
AFTER the mkt made a Low of 1372 is beyond my understanding.

Settlement price is used for constructing the Daily chart with
some vendors, with other it is not.

So depending on your data vendor your Friday looks very differently.
Adjust your analysis.

This will also affect the weekly charts.

E-mini S&P 500

Attached Thumbnails
CME  funny settlement ES Friday 120406-bild-1.png   CME  funny settlement ES Friday 120406-es06-12daily07_03_2012-06_04_2012.jpg   CME  funny settlement ES Friday 120406-es06-121440min06_04_2012-1.jpg   CME  funny settlement ES Friday 120406-bild-2.png  

Last edited by puma; April 8th, 2012 at 03:53 PM.
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  #3 (permalink)
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puma View Post
CME funny settlement ES Friday 120406

How the CME is able to give us a settlement price on Friday of 1390.25
AFTER the mkt made a Low of 1372 is beyond my understanding.

Settlement price is used for constructing the Daily chart.

So depending on your data vendor your Friday looks very differently.
Adjust your analysis.

E-mini S&P 500

The point is that settlement on holidays follows peculiar rules.

Good Friday is a separate trading day on CME with trade date Friday, April 6. That is not obvious, as there are 6 holidays with trade date next day. However, this is not the case for Good Friday, which is considered a separate trading day, although the exchange already closes at 8:15 AM CT (local time of exchange).

The settlement period for ES - with the exception of the last business day of the month - is the last 30 seconds of trading between 3:14:30 and 3:15:00 PM CT. On Good Friday the exchange was closed at that time, which means that a special rule is applied for settlement on Friday.

CME has decided to apply the settlement price of the prior day, that is Thursday April 5, as the exchange is closed during the settlement period. See attachment.

CME  funny settlement ES Friday 120406-holiday-settlement-times-good-friday-2012.pdf

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  #5 (permalink)
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TY Fat Tails,

you have the right explanation.

So be careful with your daily and weekly charts since they have different look for different vendors.

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  #6 (permalink)
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puma View Post
TY Fat Tails,

you have the right explanation.

So be careful with your daily and weekly charts since they have different look for different vendors.

Yes, but it this is true for every day. For futures there are different ways of building daily data:

(1) Official high, low and settlement from CME group
(2) Regular trading hours with settlement price
(3) High and low of the ETH session with last traded price
(4) High and low of the RTH session with last traded price of RTH session

For example Kinetick supplies (1), while daily data loaded from Zenfire / NinjaTrader servers supplies (4). My broker - Interactive Brokers - supplies (3).

Just know your tools!

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  #7 (permalink)
Rristocrat
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puma's Avatar
 
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Fat Tails View Post
Yes, but it this is true for every day. For futures there are different ways of building daily data:

(1) Official high, low and settlement from CME group
(2) Regular trading hours with settlement price
(3) High and low of the ETH session with last traded price
(4) High and low of the RTH session with last traded price of RTH session

For example Kinetick supplies (1), while daily data loaded from Zenfire / NinjaTrader servers supplies (4). My broker - Interactive Brokers - supplies (3).

Just know your tools!

TY

TOS uses your number #3 as it seems.

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