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CME settlement price calculation


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CME settlement price calculation

  #1 (permalink)
 bob304 
Memphis, TN
 
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Does anybody know how CME calculates the settlement price for the eminis?

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  #3 (permalink)
 
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 Fat Tails 
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bob304 View Post
Does anybody know how CME calculates the settlement price for the eminis?

The daily settlement price is the volume weighted average price of all trades between 15:14:30 and 15:15:00 Central Time. That is the time period starting 30 seconds prior to close.

You can find the daily settlement prices here:

E-mini S&P 500

Below I have attached a document specifying the daily settlement periods for CME traded instruments.

Attached Thumbnails
CME settlement price calculation-daily-settlement-time-ranges.pdf  
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  #4 (permalink)
 
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 trendisyourfriend 
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Fat, what do the hours on the right side of the page represent (see red numbers)?

Livestock: 12:59:30-13:00:00 CT 13:30, 14:05, 14:45, 15:15, 15:55, 18:00 CT

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 Fat Tails 
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trendisyourfriend View Post
Fat, what do the hours on the right side of the page represent (see red numbers)?

Livestock: 12:59:30-13:00:00 CT 13:30, 14:05, 14:45, 15:15, 15:55, 18:00 CT

It is explained below. CME regularly updates the website.

If they have determined the settlement price for Livestock (which can theoretically be done shortly after the settlement period), they will publish it at 13:30 earliest. If it is not ready for publication, they will publish it at 14:05 or later.

The settlement price can be published prior to High, Low and Close of the session.

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 Snoop 
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Settlements

daily settlement in csv or txt files

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 Big Mike 
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Snoop View Post
Settlements

daily settlement in csv or txt files

Nice, an NT indicator could download the file and parse it then use the data

Mike

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  #8 (permalink)
 zt379 
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Big Mike View Post
Nice, an NT indicator could download the file and parse it then use the data

Mike

I started this thread on Ninja forum a while ago which may be of interest.
https://forum.ninjatrader.com/showthread.php?t=20562

I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made.
Hope the thread is self explanatory and may help.

PS: seems the web site the links refer to has been updated.
https://trading-evolution.com/?lang=en_us
https://trading-evolution.com/forum/portal.php

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 Fat Tails 
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zt379 View Post
I started this thread on Ninja forum a while ago which may be of interest.
Volume Levels - Page 2 - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made.
Hope the thread is self explanatory and may help.

You could have a look at the dValueArea for NinjaTrader 7 indicator here:

Value Areas - dValueArea - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

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  #10 (permalink)
 zt379 
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Fat Tails View Post
You could have a look at the dValueArea for NinjaTrader 7 indicator here:

Value Areas - dValueArea - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum


Hello Fat Tails.
Yes that indicator was discussed in the NT thread and I have used it. (for NT 6.5)
However, the "eVolution" indicator by Volume Trader, as far as I recall from then, was not so much about
value areas.
I was particularly interested in how it showed the total volume traded,
as a horizontal line and histo, for each of:
Total Volume for contract,
Volume for Month,
Volume for Previous Week,
Volume for this week
Volume for Day.
For each and every CME contract.

Don't mean to ramble just thought it might be of interest to the OP.
thx

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