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CL and GC daily charts
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CL and GC daily charts

  #1 (permalink)
Elite Member
chapel hill, nc
 
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CL and GC daily charts

Could someone familiar with CL (Crude Oil) and GC (Gold) clarify the following?

I am using ZenFire with NT7. Of course NT7 also has Kinetick EOD data.
I am only using daily charts.
What is the opening and closing price of a daily bar (CL or GC) on a daily chart using the 24-hr (globex) data?
I looked at daily charts from eSignal, Kinetick, ZenFire, and Tradingcharts.com.
Looks like they are not the same.

Is the open price of a daily bar the price (of CL/GC) at 6pm US Eastern time?
Looks like the closing price of a daily bar for CL is the price of CL at 2:30pm Eastern (CL Pit close),
and the closing price of a daily bar for GC is the price of GC at 1:30pm Eastern (GC Pit close).
The high/low of the daily bar is the range of price between 6pm to 5:15pm the following day.
Am I correct? Is this the way the daily charts of CL and GC supposed to be?

Looks like eSignal and Tradingcharts are like the way I describe above,
but why do Kinetick EOD and ZenFire daily charts differ from that of eSignal or Tradingcharts?

Also, is there any effect due to the NT config
(Options->Data->DoNotMerge/MergerBackAdjusted/...)
while using Kinetick or ZenFire daily charts?

Thanks very much.

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  #2 (permalink)
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  #3 (permalink)
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Lot of places to check price. All below look like 24 hours and Friday's HLC all matched up with each other
My Pivots
Daily Notes - Metrics for Day Traders

CME:
Light Sweet Crude Oil (WTI)

Commodity Charts:
CommodityCharts.com: Futures & Forex Quotes, Futures Charts, Custom Quoteboards, Commentary

If you want a daily chart using the Pit Hours (RTH) of Oil and Gold instead of the 24 hour bar/candle you will actually setup an intraday chart as explained below.

NinjaTrader session templates has a Nymex Energy RTH with a Monday - Friday 9 am to 2:30 pm EST that matches Crude Pit hours. Just right click on chart and select "Data Series" then if you want one bar/candle a day put in 330 minutes. That will get you a Daily chart with RTH for Crude Oil.
For Gold do the same but use the "Data Series" Nymex Metals RTH2 which runs from 8:20 am to 1:30 pm EST which matches Gold Pit hours. Then just do the same for daily bar/candle by making each one 310 minutes long.

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And use 1440 minutes with a specified the start time if you want to control the 24-hour period.

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  #5 (permalink)
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joe11 View Post
Could someone familiar with CL (Crude Oil) and GC (Gold) clarify the following?

I am using ZenFire with NT7. Of course NT7 also has Kinetick EOD data.
I am only using daily charts.
What is the opening and closing price of a daily bar (CL or GC) on a daily chart using the 24-hr (globex) data?
I looked at daily charts from eSignal, Kinetick, ZenFire, and Tradingcharts.com.
Looks like they are not the same.

Is the open price of a daily bar the price (of CL/GC) at 6pm US Eastern time?
Looks like the closing price of a daily bar for CL is the price of CL at 2:30pm Eastern (CL Pit close),
and the closing price of a daily bar for GC is the price of GC at 1:30pm Eastern (GC Pit close).
The high/low of the daily bar is the range of price between 6pm to 5:15pm the following day.
Am I correct? Is this the way the daily charts of CL and GC supposed to be?

Looks like eSignal and Tradingcharts are like the way I describe above,
but why do Kinetick EOD and ZenFire daily charts differ from that of eSignal or Tradingcharts?

Also, is there any effect due to the NT config
(Options->Data->DoNotMerge/MergerBackAdjusted/...)
while using Kinetick or ZenFire daily charts?

Thanks very much.

Step 1: Daily Data of a Single Contract

Before talking about continuous futures or mergebackadjusted or non-mergebackadjusted contracts, it is important to understand the value for a single contract. Let us take CL for example.

CL Globex (ETH) Session: 6:00 PM to 5:15 PM EST
CL Open Outcry (RTH) Session: 9:00 AM to 2:30 PM EST

Source: Light Sweet Crude Oil (WTI)

Official daily data is published by the exchange: Friday's data for the front month contract CL 02-12 was

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-> Open 99.20 -> open of the ETH session at 6:00 PM (prior day)
-> High 100.19 -> high of the ETH session
-> Low 97.70 -> low of the ETH session
-> Last 98.75 -> last price in the pit prior to 2:30 PM (can be transaction bid or ask)
-> Settlement 98.70 -> volume weighted average price between 2:29 and 2:30 PM

As the pit is no longer liquid the last price has no real meaning, sometimes it is not published anyhow. This means that official data from the exchange that can be used and should be used are

-> Globex High
-> Globex Low
-> Settlement Price (2.30 PM)

The settlement price is also used to calculate margin requirements for those holding positions overnight.

The above values are supplied by DTN/IQ or Kinetick.

Some feeds - this includes Zenfire and many broker feeds - do not offer genuine daily data, but have the daily data calculated from intraday data. In this case the data may either reflect RTH or ETH data.


Step 2: Daily data of merge backadjusted or continuous contracts

This data includes artificial data. Artificial means that the data does not show real-trades - maybe except for the days after the last rollover date, but that the data has been mnaipulated to suit specific needs. I do not want to go into details here, as this has already been explained in other threads.

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  #6 (permalink)
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chapel hill, nc
 
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Fat Tails View Post
Step 1: Daily Data of a Single Contract

Before talking about continuous futures or mergebackadjusted or non-mergebackadjusted contracts, it is important to understand the value for a single contract. Let us take CL for example.

CL Globex (ETH) Session: 6:00 PM to 5:15 PM EST
CL Open Outcry (RTH) Session: 9:00 AM to 2:30 PM EST

Source: Light Sweet Crude Oil (WTI)

Official daily data is published by the exchange: Friday's data for the front month contract CL 02-12 was

Attachment 59687


-> Open 99.20 -> open of the ETH session at 6:00 PM (prior day)
-> High 100.19 -> high of the ETH session
-> Low 97.70 -> low of the ETH session
-> Last 98.75 -> last price in the pit prior to 2:30 PM (can be transaction bid or ask)
-> Settlement 98.70 -> volume weighted average price between 2:29 and 2:30 PM

As the pit is no longer liquid the last price has no real meaning, sometimes it is not published anyhow. This means that official data from the exchange that can be used and should be used are

-> Globex High
-> Globex Low
-> Settlement Price (2.30 PM)

The settlement price is also used to calculate margin requirements for those holding positions overnight.

The above values are supplied by DTN/IQ or Kinetick.

Some feeds - this includes Zenfire and many broker feeds - do not offer genuine daily data, but have the daily data calculated from intraday data. In this case the data may either reflect RTH or ETH data.


Step 2: Daily data of merge backadjusted or continuous contracts

This data includes artificial data. Artificial means that the data does not show real-trades - maybe except for the days after the last rollover date, but that the data has been mnaipulated to suit specific needs. I do not want to go into details here, as this has already been explained in other threads.

Thanks Fat Tails.
What time time (earliest) does Kinetick provide the completed daily bar for the day? How many minutes/hours after 5:15pm ET?
or How long does Kinetick take before they provide the daily chart after CME publishes the settlement price?
(What time does CME publish the daily settlement price for CL and GC?)

Does Kinetick (or any other data provider) provide a "streaming" (tick by tick updated) daily chart?
ie, the current price gets updated with every tick on current day bar?

I am trying to test an automated strategy (that usually runs on an intraday chart) on a daily chart...
Ideally I would need a daily chart (with 24-hr globex prices) that gets updated tick-by-tick,
and has the closing price as the settlement price (or the price at 2:30pm).

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  #7 (permalink)
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Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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joe11 View Post
Thanks Fat Tails.
What time time (earliest) does Kinetick provide the completed daily bar for the day? How many minutes/hours after 5:15pm ET?
or How long does Kinetick take before they provide the daily chart after CME publishes the settlement price?
(What time does CME publish the daily settlement price for CL and GC?)

Does Kinetick (or any other data provider) provide a "streaming" (tick by tick updated) daily chart?
ie, the current price gets updated with every tick on current day bar?

I am trying to test an automated strategy (that usually runs on an intraday chart) on a daily chart...
Ideally I would need a daily chart (with 24-hr globex prices) that gets updated tick-by-tick,
and has the closing price as the settlement price (or the price at 2:30pm).

The settlement price would be already available at the end of the RTH session, but not high and low.
Both CL and GC markets close between 5:15 PM EST and 6:00 PM EST. I think that the daily data is updated during these 45 minutes, but I am not sure.

You would need to reload the daily data prior to the start of the new trading day.

NinjaTrader buids the current daily bars from intraday data, but when I am watching it, it often shows false values, so I do not use it.

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