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Last Traded Price vs Settlement Price
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Last Traded Price vs Settlement Price

  #1 (permalink)
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Futures Experience: Intermediate
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Last Traded Price vs Settlement Price

Hi

Just curious what traders thoughts are about data into charts for a daily chart, one showing last price traded as final close and one showing settlement price as a final close once adjusted.

I am looking at 2 different platforms with 2 different data feeds. One shows the close of the daily bar as settlement price and one shows it as last price traded. Thought this was interesting as to which is right or wrong or neither, and what would be the most common that traders look at?

Cheers

MS

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  #3 (permalink)
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This a question relative to futures contracts. I personally think that the settlement price is more important, and for my indicators, such as the floor pivots, I always use the settlement price.

Here are my arguments:

(1) The settlement price is used to calculate the daily P&L of your futures position. It is also used to calculate your maintenance margin.

(2) If you go to the website of CME and look at the data available,

-> you will easily find the data for the settlement price
-> the daily change is calculated from the settlement price
-> last price shown can be a bid or an ask, it is not the last transacted price
-> the last traded price is not available

(3) All professional data providers use the settlement price, only the cheaper broker feeds (including feed from my broker) build daily charts from intraday data, therefore showing the last traded price.

(4) Professional traders use the settlement price for calculating Floor Pivots, Camarilla Pivots. You will also see this confirmed on various websites such as Emini Day Trading.

The only futures contracts, where it can be debated, what information should be used are FOREX futures. The FOREX market is much larger than the market for currency futures. The currency futures settle at 2:00 PM CT, which is two hours earlier than the close of the FOREX market at 5:00 PM EST in New York. I think for currency futures it would also make sense to use the closing price instead of the settlement price.

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  #4 (permalink)
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Fat Tails View Post
This a question relative to futures contracts. I personally think that the settlement price is more important, and for my indicators, such as the floor pivots, I always use the settlement price.

Here are my arguments:

(1) The settlement price is used to calculate the daily P&L of your futures position. It is also used to calculate your maintenance margin.

(2) If you go to the website of CME and look at the data available,

-> you will easily find the data for the settlement price
-> the daily change is calculated from the settlement price
-> last price shown can be a bid or an ask, it is not the last transacted price
-> the last traded price is not available

(3) All professional data providers use the settlement price, only the cheaper broker feeds (including feed from my broker) build daily charts from intraday data, therefore showing the last traded price.

(4) Professional traders use the settlement price for calculating Floor Pivots, Camarilla Pivots. You will also see this confirmed on various websites such as Emini Day Trading.

The only futures contracts, where it can be debated, what information should be used are FOREX futures. The FOREX market is much larger than the market for currency futures. The currency futures settle at 2:00 PM CT, which is two hours earlier than the close of the FOREX market at 5:00 PM EST in New York. I think for currency futures it would also make sense to use the closing price instead of the settlement price.

Thanks for that Fat Tails.

It really is doing my head in trying to work out what charts I am looking at, including settle versus last price traded close and also what actual contract, eg - specific month such as Crude Oil June 2012 or just the Crude Oil Continuous contract. I have tried to do a comparison between a few different platforms and data feeds and seem to be getting all different results.
I trade discretionary price action with support and resistance and i look at weekly, daily, 240 min and 60 min sometimes. My main chart is the daily time frame.
I have tried Trade Navigator with their data feed which uses last price traded as close price, I have tried Sierra with IQ Feed which uses settle price which is all good but they do some weird stuff with the daily bar after the close, I have tried Ninja with EOD data from kinetic and seem to get different results again. I have also tried Sierra with Interactive Brokers data and this gives you last traded price as final price also. So what to do?? I am confused!!
My preferred charting software is Sierra but i really cant get the data feed sorted correctly for my daily bar style trading.
Anyone have any suggestions??
Thanks for your help
MS

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  #5 (permalink)
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Platform: NinjaTrader, MultiCharts
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Posts: 9,638 since Mar 2010
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Market Sniper 88 View Post
Thanks for that Fat Tails.

It really is doing my head in trying to work out what charts I am looking at, including settle versus last price traded close and also what actual contract, eg - specific month such as Crude Oil June 2012 or just the Crude Oil Continuous contract. I have tried to do a comparison between a few different platforms and data feeds and seem to be getting all different results.
I trade discretionary price action with support and resistance and i look at weekly, daily, 240 min and 60 min sometimes. My main chart is the daily time frame.
I have tried Trade Navigator with their data feed which uses last price traded as close price, I have tried Sierra with IQ Feed which uses settle price which is all good but they do some weird stuff with the daily bar after the close, I have tried Ninja with EOD data from kinetic and seem to get different results again. I have also tried Sierra with Interactive Brokers data and this gives you last traded price as final price also. So what to do?? I am confused!!
My preferred charting software is Sierra but i really cant get the data feed sorted correctly for my daily bar style trading.
Anyone have any suggestions??
Thanks for your help
MS


I have already answered. The last traded price is not even published by CME, so I would not take it. If you look on their website, they publish a last price, but it could be a bid or ask.

For indicators that use daily data, I would take the settlement price. Only exception currency futures, as the FOREX market is larger and closes at 5:00 PM EST.

If you talk about a continuous contracts, it is synthetical data. The price can be even between two ticks, nothing ever traded there.

You only talk about platforms. With most platforms you can select between last traded and settlement price. This only depends on the datafeed. If you get different results, look up the values on the website of CME under settlement prices. Those are the only correct prices.

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