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nt 7 closing dom prices and chart closing price differ


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nt 7 closing dom prices and chart closing price differ

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  #1 (permalink)
 anniebee321 
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have you noticed this? this is a backward step for ninjatrader advertised as a "new feature"!!! in order to get them the same you have to use 24/7 charting and thus big empty spaces on your chart for the evening, please help me change this back

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  #3 (permalink)
 Fat Tails 
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anniebee321 View Post
have you noticed this? this is a backward step for ninjatrader advertised as a "new feature"!!! in order to get them the same you have to use 24/7 charting and thus big empty spaces on your chart for the evening, please help me change this back

What do you need a closing DOM price for? I have never noticed that there is a closing price on the DOM. It seems to be just the last price, which is frozen.

If I look at the close, I make a difference between

- the last traded price, which I can detect on an intraday chart as the close of the last candle prior to session break
- and the official settlement price, which is determined as the weighted average price of all trades during the settlement period

For example, for crude oil the settlement period would be around 2:30 PM Est where as the last traded price would be determined at market close at 5:15 PM Est.

But what is this DOM story about?

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 anniebee321 
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in the past 2 years since using ninja closing price on chart and on dom have always agreed
that makes sense to me. for heavens sake why should you need to calculate closing price
it should be on your chart as a universal price. FGBL is not traded 24/7

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 Fat Tails 
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anniebee321 View Post
in the past 2 years since using ninja closing price on chart and on dom have always agreed
that makes sense to me. for heavens sake why should you need to calculate closing price
it should be on your chart as a universal price. FGBL is not traded 24/7

Let us take the current front month FGBL 3-11 for yesterday

Settlement

The official settlement price is determined between 17:14 and 17:15 CET. For yesterday the settlement price was 124.39. This price cannot be seen on your intraday chart, I take it from my daily data. Quality daily data usually shows the settlement price, Interactive Brokers data displayed on NinjaTrader does not show the settlement.

Last Traded Price

The last traded price was 124.60 I do not considered that this price is as important as the settlement price for several reasons: - The continuous trading on bond platforms stops around 17:30, so a price taken around that time reflects the close of the underlying market.
- The settlement price is used to adjust margins for all futures positions.

So which of the two universal prices do you wish to see on your chart, and what do you need it for?

Also, today my DOM does not show any close, or are you watching the DOM, when the market is closed?

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  #6 (permalink)
 anniebee321 
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my doms last price showed 124.56
my chart last price showed 124.60

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 Fat Tails 
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anniebee321 View Post
my doms last price showed 124.56
my chart last price showed 124.60

No idea, do you regularly synchronize your system clock?

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  #8 (permalink)
 anniebee321 
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i never synchronise my system clock
however -- seems from your previous reply that it may
be better to use chart price at close where there is a difference

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 Fat Tails 
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anniebee321 View Post
i never synchronise my system clock
however -- seems from your previous reply that it may
be better to use chart price at close where there is a difference

My supspicion is as follows. If your system clock is not synchronized, NT might have cut off your session early, thus missing out on the last few seconds of real-time data. When you reconnect, your real-time data will be replaced with historical time-stamped data, so the chart shows the close correctly.

I am now looking at my FGBL chart and the DOM, and they both show the same value for today's close, that is 125.18

But anyhow, you would never want to watch the DOM for the close. That is just a place to enter your orders, nothing else. The correct values are in your historical database, and those values are retrieved by your chart. The DOM typically only shows real-time data, which is never reliable as a data source.

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Last Updated on December 9, 2010


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