Settlement Price Indicator

[HGXTrader]

I have downloaded and installed an indicator to plot the settlement price (for the ES). Unfortunately, it only plots the closing price. Also a self programmed indicator drew me only the closing price when I access the closing price (Closes[1][0]) of the daily chart added via AddDataSeries. But when I open a chart window with the daily candlestick chart, the closing price of each candle corresponds to the settlement price.

How can I access the settlement price or what data field does the chart access for the closing price for daily candles?

I use the CQG data feed.

[NinjaTrader_BrandonH]

Hello HGXTrader,

Thanks for your post.

You could add a 1 Day series to your script with AddDataSeries() which will have the settlement close.

If you use Calculate.OnBarClose, you would need to reference Closes[1][0]. If you use Calculate.OnPriceChange or Calculate.OnEachTick and (the state is real-time or tickreplay is enabled), you could reference Closes[1][1].

See the attached screenshot.

And, see the help guide documentation below.
AddDataSeries(): https://ninjatrader.com/support/help...dataseries.htm
Closes: https://ninjatrader.com/support/help...nt8/closes.htm

Please let me know if I may assist further.

[HGXTrader]

Hi Brandon,

thank you very much for your information! I found that if I enable Tick Replay under Data Series then I get the closing price, if Tick Replay is disabled then my indicator gives me the settlement price. I use Calculate.OnBarClose and run the Code under OnBarUpdate.

Since I want to display the settlement price in a chart with volume- anddelta profile, I need Tick Replay for these indicators - but apparently then the settlement price indicator does not work.... Is there a solution for this?

Thank you and best regards,
Chris

[NinjaTrader_BrandonH]

Hello HGXTrader,

Thanks for your note.

I see in the screenshots you shared that you are referencing Closes[1][0] and using Calculate.OnBarClose. This would only return the settlement price when Tick Replay is disabled.

When using Tick Replay, you would need to use Calculate.OnPriceChange or Calculate.OnEachTick reference Closes[1][1] as stated in post # 2.

"If you use Calculate.OnPriceChange or Calculate.OnEachTick and (the state is real-time or tick replay is enabled), you could reference Closes[1][1]."

Please let me know if I may assist further.

[HGXTrader]

Hi Brandon,

thanks again for your help. Unfortunately, that only provides me the closing but not the settlement price. Any ideas, how I can fix that?

Thank you very much,
Chris

[NinjaTrader_BrandonH]

Hello HGXTrader,

Thanks for your note.

If you are using Tick Replay and Calculate.OnPriceChange, Closes[1][1] would get the settlement price.

Note that when comparing the indicator prints to a Daily chart, you need to have Tick Replay enabled on both the Minute chart and the Daily chart.

I have attached an example script that you could test on your end.

To test this, open a 1-Minute chart and a Daily chart with Tick Replay enabled on both charts. Enable the indicator on the 1-Minute chart. Open a Data Box window, hover your mouse over the previously closed candle, and compare the NinjaScript Output window prints to the Data Box.

See the attached screenshot demonstrating this.

Let me know if I may assist further.

[danalec]

settlement and close: are not the same!

according to
https://www.cmegroup.com/markets/equ...ttlements.html
and
https://www.cmegroup.com/education/c...ettlement.html

"is calculated using a volume weighted average price (VWAP) based on the last 30 seconds of the trading day (...) between 15:14:30 to 15:15:00 Central Time."