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True High Low Close of Futures Contracts?!? Confused!
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True High Low Close of Futures Contracts?!? Confused!

  #1 (permalink)
Elite Member
Cheyenne,Wyoming...USA
 
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True High Low Close of Futures Contracts?!? Confused!

Hi all,
What sources do you use to find the true High, Low and Close for Futures contracts?
I have been thru several different providers and they are all different. I simply want to plots these prices on my charts for prior Year, Month, Week and Day. As well as having the correct info for Current HLC also.
I have thought that these prices are critical knowledge. However I am beginning to doubt this with so many different numbers floating around out there.
What do profession traders and institutions use for their reference?
If someone has an answer to this......Please Share!!!
Thanks for your time to look at this.
gever17

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  #2 (permalink)
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  #3 (permalink)
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gever17 View Post
Hi all,
What sources do you use to find the true High, Low and Close for Futures contracts?
I have been thru several different providers and they are all different. I simply want to plots these prices on my charts for prior Year, Month, Week and Day. As well as having the correct info for Current HLC also.
I have thought that these prices are critical knowledge. However I am beginning to doubt this with so many different numbers floating around out there.
What do profession traders and institutions use for their reference?
If someone has an answer to this......Please Share!!!
Thanks for your time to look at this.
gever17

@gever17,

the best source is always the cme website:

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_globex.html

and there you'll find:

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  #4 (permalink)
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Thank you for the reply @Silvester17!!

I have been all over the CME Group website. I found the charts that you show. However, where your chart shows Last, Change, High and Low at the top bar, when I pull that same chart up it shows only the contract and nothing else.
What am I missing there?

Thanks again for you time!!! I really appreciate you looking!
gever17

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Last edited by gever17; March 28th, 2013 at 07:43 PM.
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  #5 (permalink)
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gever17 View Post
Thank you for the reply @Silvester17!!

I have been all over the CME Group website. I found the charts that you show. However, where your chart shows Last, Change, High and Low at the top bar, when I pull that same chart up it shows only the contract and nothing else.
What am I missing there?

Thanks again for you time!!! I really appreciate you looking!
gever17

good question!

maybe because the market is closed? I don't know.

if you choose a volume instead of a price chart, the information is still there:

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  #6 (permalink)
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gever17 View Post
Hi all,
What sources do you use to find the true High, Low and Close for Futures contracts?
I have been thru several different providers and they are all different. I simply want to plots these prices on my charts for prior Year, Month, Week and Day. As well as having the correct info for Current HLC also.
I have thought that these prices are critical knowledge. However I am beginning to doubt this with so many different numbers floating around out there.
What do profession traders and institutions use for their reference?
If someone has an answer to this......Please Share!!!
Thanks for your time to look at this.
gever17

@gever17: I agree with @Silvester17 that the exchange should be the source. The exchange typically publishes a high, low and a settlement price. The settlement price is the volume weighted average price which is calculated by averaging all trades over the settlement period. The settlement period usually falls together with the last minutes or seconds of the regular session. The exchange does not always publish the last price traded.

Let us have a look at today's prices for CL 05-13 and for ES 06-13, which are the two front month contracts. And also today is a very interesting example, as this exercise will show.

First let us look at the the CL Settlements on the CME website:

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Today CL 05-13 made its high during the regular session, today's low prior to the regular open. The settlement price was determined at 2:30 PM EST about 3 hours prior to the close at 97.23 points. Funny enough traders pushed the price back up to the settlement value such that CL 05-13 closed at its settlement price at 5:15 PM, although the settlement price was established about 3 hours earlier. This is a pure coincidence. If you look at Wednesday's settlement price, it did not match the last price traded during the electronic session.

Now let us have a look at the ES Settlements as shown on the CME website:

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The table does show a last price, but this is not necessarily the last price traded. If it is followed by an "A" it is an ask price, if it is followed by a "B" it is a bid price. The important value therefore is the settlement price. This is also what you will usually see, if you look at a chart with daily data. Today's settlement price for ES 06-13 was determined at 1562.75. This value was within the range of the last bar of the regular session. Just another coincidence. Today is the last business of the months, and on those days the settlement price for ES is not determined during the 30 seconds prior to 3:15 PM Central but it is calculated as the fair value derived from the close of the underlying index at 4:00 PM EST, which is 15 minutes earlier.

You cannot see this for ES 06-13, as both values were close to each other, but you will have this confirmed if you have a look at the chart of YM 06-13.

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The table shows a settlement price of 14497 points and a last price of 14499 points (bid). Now open a 30 second chart of YM 06-13, amd you will find out that it is impossible that 14497 was the VWAP of the settlement period from 3:14:30 to 3:15:00 Central.

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By the way, if you look for the last price traded: Take any data feed and look where the last price bar closed prior to the session break. But this is too easy, don't you think so?

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  #7 (permalink)
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@Silvester17 @Fat Tails

Hi guys! I really appreciate and highly respect your input!!!!

I completely agree with you guys that the exchange would be the source but I have been all over the CME site this AM and I still can not find prior month or week HLC data. I dont know if I am just overlooking it or what!

And Yes, I thought this data would be easy to aquire! In fact, I have been using anaPivotsDaily, Weekly and Monthly for the prior week data and anaCurrentWeek and Month as well as anaVolatilityBands for current day. The data from these indys is spot on!!!! Thank you @Fat Tails!!!! However a couple days ago I was looking at ToS and noticed the HLC data was different. Thus ensued the search only to find that there was no consistency between platforms.

So, I am still at a loss.

Here are some examples......

Zenfire Weekly NQ
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ToS Weekly NQ
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Zenfire Monthly NQ
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ToS Monthly NQ
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I would really like to find what the Big Dogs are looking at!

Again, Thank You for your input! I have learned more valuable information from this forum than any other! The peoples on this forum are Top Notch and Extremely helpful!

gever17


Last edited by gever17; March 29th, 2013 at 01:19 PM. Reason: Typo
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gever17 View Post
@Silvester17 @Fat Tails

Hi guys! I really appreciate and highly respect your input!!!!

I completely agree with you guys that the exchange would be the source but I have been all over the CME site this AM and I still can not find prior month or week HLC data. I dont know if I am just overlooking it or what!

And Yes, I thought this data would be easy to aquire! In fact, I have been using anaPivotsDaily, Weekly and Monthly for the prior week data and anaCurrentWeek and Month as well as anaVolatilityBands for current day. The data from these indys is spot on!!!! Thank you @Fat Tails!!!! However a couple days ago I was looking at ToS and noticed the HLC data was different. Thus ensued the search only to find that there was no consistency between platforms.

So, I am still at a loss.


@gever17: This is really not complicated. Let us just have a look at the weeklys for NQ 06-13

First some remarks:

(1) The session template for NinjaTrader is only used to organize intraday data. It has no impact whatsoever on a daily chart. Daily data is shown as supplied by the data provider. Weekly data is built from daily data, so obviously the session template has no impact.

(2) Zenfire is a real-time data feed that does not come with historical data. NinjaTrader store Zenfire data on their servers. The daily data downloaded via Zenfire - from NinjaTrader's servers - is built from RTH intraday data. Basically this is unusable.

(3) NinjaTrader comes with the a free daily data feed, which is Kinetick EOD. Kinetick EOD is powered by DTN IQ feed and has quality daily data. The daily Kinetick EOD data shows high and low of the ETH session and the settlement price, as published by CME. There is no reason to use Zenfire data.

But now let us have a look at NQ 06-13 in detail. On your charts you have selected week 12 from March 18 to March 22. This is the prior week, my historical data base contains Kinetick EOD data. So it is easy for me to get the correct high, low and close. I just use my weekly pivots indicator. Of course the indicator is only as good as your daily data in the historical data base.


Correct ETH data with settlement price determined by weekly pivot indicator(setting: DailyBars + ETH):

ETH high (PW-H)= 2806.50
ETH low (PW-L)= 2748.25
ETH Close (settlement, PW-C) = 2793.50

If you visually check the data you will find out that the high was made during Wednesday's regular session and that the low was made on Monday morning during the night session.


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Correct RTH data with settlement price determined by weekly pivot indicator (setting: DailyBars + RTH):

RTH high (PW-H)= 2806.50
RTH low (PW-L) = 2755.25
RTH Close (settlement, PW-C) = 2793.50

You will notice that the Monday ETH low was made off-session and that Tuesday's regular session low marked the regular low of the week at 2755.25


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Both of the above charts use the settlement price. You can also set the pivots indicator to RTH & CalcFromIntradayData (chart not shown). In that case it will not display the settlement price = 2793.50, but the last traded price during the regular session, which was 2796.75


Comparing the above results to your two datafeeds:


As expected, Zenfire daily data shows the regular session high and low for the week. The close value is the last traded price during Friday's regular session. The settlement price cannot be calculated from intraday data, and Zenfire will only display the regular close.

You TOS datafeed shows the ETH high and low as shown on the first chart above. It also shows Friday's settlement price. TOS datafeed is identical with the Kinetick datafeed.

My recommendation is to use TOS or NinjaTrader/Kinetick EOD, as this is what is published by the exchange.
Don't use Zenfire daily data, unless you wish to see RTH high, low and close.

And the SessionPivots will let you see all variations, if you use them with Kinetick EOD daily data and a session template which is subdivided into the night session, regular session and the after session between 3:30 PM and 4:15 PM Central.

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  #9 (permalink)
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Bingo!!!

@Fat Tails

THANK YOU so much for clarifying this!!! I had no idea about these details you just shared!!! You have certainly cleared this issue for me! And now I see why you said it is simple in your previous post.

Just cant express how much I appreciate yours and @Silvester17 s input and help!

Have a fantastic weekend!!!

gever17

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  #10 (permalink)
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Just a quick update.

I have found that if I connect to Kinetick EOD first then connect to Zenfire I have the all the correct historical data.

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