settlement price

[Thomas79]

Hi

i get the real time data from Esignal.

On the future Eurostoxx (FESX), when i lookt at a chart on a daily and an other chart on the hourly, i don't have the same close.

It looks like on a daily chart, this is the settlement price used, and on the hourly chart this is the last trade price used.

I searched on NT but impossible to find where i can change the preference for the daily close, to use the last trade and not the settlement price.

On the script, which price is used when i call Add (PeriodType.Day, 1);

and which one when i call Bars.GetDayBar(1).Close

is it the settlement price or the last trade of yesterday ?

Can you help ?
Thx.
Thomas

[NinjaTrader_PatrickH]

Hello Thomas79,

Thank you for your post.

Right click in your charts > select Data Series > change the Session Template to Eurex Equity Index Futures > OK.

Please let me know if this corrects the difference in the close.

[Harry]

Professional data feeds such as eSignal, DTN/IQ or Kinetick supply the daily data published by the exchange. For the daily close you will get the settlement price. This is an advantage, as you cannot derive the settlement price from intraday data.

NinjaTrader displays daily data as supplied by the data provider. Therefore the daily close will always show the settlement data of the selected instrument, if you use eSignal. This is true for all futures contracts, whether they are traded at CME, NYMEX, ICE or EUREX.

For FESX you can display 3 different "closes". You may use

- the settlement price from daily data (accessible via Add(PeriodType.Day, 1))
- the last traded price at 10:00 PM CET (accessible via Bars.GetDayBar().Close)
- the regular close at 5:30 PM CET

In order to access the regular close at 5:30 PM, you need to subdivide the trading day into three different sessions. This requires a specific session template. In a second step you can use an indicator to retrieve the last traded price of the regular session (9:00 - 5:30 PM).

Now let us show an application of this data. If you wish to display regular session pivots for FESX, you would calculate them from the regular high, the regular low and the official closing price (settlement price). Attached is a chart which shows regular session pivots (floor pivots) for FESX 09-15. A simple pivots indicator is available in the download section (search for SessionPivots).

You can only calculate the correct values, if you have a data feed that comes with the daily settlement price. With other datafeeds - such as Rithmic or CQG - you can only estimate the pivot values by substituting the regular close for the settlement price. The floor pivot values will then be a few ticks off.

[Harry]

Hello Thomas79,

Thank you for your post.

Right click in your charts > select Data Series > change the Session Template to Eurex Equity Index Futures > OK.

Please let me know if this corrects the difference in the close.

No this will not correct the difference in the close. Also there is nothing to be corrected.

If you use daily data, you will get the settlement price, which is the volume-weighted average price calculated from all trades between 5:29 PM and 5:30 PM CET. The session template does not have any impact on daily data.

If you use intraday data in combination with the session template Eurex Equity Index Futures you will get the close at 10:00 PM, which is the last traded price of the trading day and can be retrieved via Bars.GetDayBar().Close.

Those two values are (nearly) always different!

[Vispilio]

so is there any way to display the last traded price for the session as the Daily Close value (as opposed to the settlement price of the exchange), on the Day section of the historical data manager of NT7, short of manually entering these values ourselves ?..

[NinjaTrader_PatrickH]

Hello Vispilio,

Thank you for your response.

You could use a 1440 Minute chart and the desired Session Template, this would report the close at the session end.

[ttodua]

are these restrictions still?

@Harry

The Add() method has two restrictions when applied to daily bars:

-> it does not insert the daily bars correclty, if you use a session template with subsessions
-> you cannot load daily data from the period prior to the first day for which chart data is loaded

Both can be achieved with the approach shown for the Pivots indicator. However, the pivot indicator can not be called from a strategy or another indicator, when set to daily bars and when connected to a datafeed.

[Harry]

are these restrictions still?

These restrictions apply to NinjaTrader 7, not to NinjaTrader 8.

If you wish to load a secondary bar series of daily data, I suggest to study the code of the pivots indicator. In NinjaTrader 7 the pivots indicator loads daily data asynchronously. With NinjaTrader 8 synchronous loading is possible. However accessing the daily bars that have been loaded still requires a small workaround.