Closing price different

[Jakub]

Hi ,

I using Kinetic data feed and my data are strange. I have closing price different then should be. I already tried change session temple but still wrong closing price.I am made also my own session temple and nothing happens. I trade e-mini Dow Jones.
Last closing price is 12,773 (cme,barchart) and I have 12,771. Closiing time is 15:15 (my time is London 21:15). Those wrong closing price I have every day.

How can I resolve it ?

Thanks
JakeSnake

[Harry]

Hi ,

I using Kinetic data feed and my data are strange. I have closing price different then should be. I already tried change session temple but still wrong closing price.I am made also my own session temple and nothing happens. I trade e-mini Dow Jones.
Last closing price is 12,773 (cme,barchart) and I have 12,771. Closiing time is 15:15 (my time is London 21:15). Those wrong closing price I have every day.

How can I resolve it ?

Thanks
JakeSnake

Hi Jake,

there is no problem with Kinetick data, you just need to understand it. There are different prices that are used or published for the close, in detail:

Settlement price: The settlement price is the volume weighted average price of all trades that were executed during the settlement period. For YM the settlement period
is from 3:14:30 to 3:15:00, which means that the settlement price is calculated from all trades which occured during this 30 second period. On the last business day of the month there is a special rule for index futures, as the settlement price is calculated via a fair value formula directly from the DJIA index value. The index closes 15 minutes earlier, which explains that the settlement price can differ significantly from the last traded price of the month.

Last traded price: This is what you typically will find as the last price shown on your intraday chart. It is the price of the last transaction that took place.

Last price shown on the website of CME: This is often an ask or a bid - on last Friday it was an ask as shown by the "A".

The settlement price for futures is not available on an intraday chart. It is calculated after the close of the session and you will only find it on daily charts, but never on an intraday chart!

Please open your daily chart from Kinetick, and you will find out that it shows the correct settlement price at 12,773.

[protrader77]

Closing price option would be nice

Having the option to choose intraday closing price instead of settlement price would be nice for people interested in pure price action. Is it possible to generate the daily series using the the intraday bars instead ?

[NinjaTrader_ChristopherS]

Hello protrader77,

You will want to use 1440 minute bars. 24x60=1440

[protrader77]

Perfect, now I understood, thank you very much !