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Date/Time: Wed, 27 Nov 2024 02:42:15 +0000
Post From: Previous OHLC-Variable Period Study not working?
| [2014-07-11 02:18:29] |
| jsoviero - Posts: 84 |
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Thank you SC Support for the following thorough explanation of why the CLOSE price of any SC OHLC Study on CME Group futures contracts may be different from the reported "Last" price reported as the Last traded price from the CME Group. 43.6 - Differences Between Close Prices on Historical Daily Charts Compared to Intraday Charts [link] - [Top] Usually there will be a difference between the close price of a bar on a Historical Daily chart compared to the close price of a bar at the corresponding time on an Intraday chart. When the market is open for a symbol, the close/last trade price of the last bar in a Historical Daily chart should match the close/last price of the last bar in an Intraday chart of the same symbol, as long as the Session Times for the Intraday chart are set to display all 24 hours of trading. This particular section, describes comparing the close price of bars other than the last bar in a chart. There can be various reasons why you see a difference between the close price of a bar on a Historical Daily chart compared to the close price of a bar at the corresponding time on an Intraday chart. These can include time stamping differences, the fact that the Historical Daily charts use the official settlement price and this usually is different compared to Intraday charts, and incomplete data transmission from the data server or not receiving all of the data, and not comparing the closing prices at the exact corresponding times between the two charts. The primary reason you will see a significant difference between the close price on a Historical Daily chart compared to the close price of a bar at the corresponding time on an Intraday chart, is because the Historical Daily chart uses the official settlement price. The official settlement price from the exchange is calculated using a certain algorithm. This algorithm can be found in the futures contract specifications on exchange website. This official settlement price is not the same price as the last trade price at the end of the trading session. In general the close prices will not exactly match between Historical Daily charts and Intraday charts. It is not possible to adjust the Session Times in Chart >> Chart Settings for Historical Daily charts. They are not used because they are set by the exchange or data provider the data originates from. Date Time Of Last Edit: 2014-07-11 02:26:48
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