Incorrect Limit Down Percent

[StevenNelson]

I have the "Net Change Display" installed on an ES chart.
However, it's not showing the correct % at limit down. It should be around 5% for globex. At the halt, mine shows 3.67%. Is there some setting I have wrong somewhere?

[NinjaTrader_ChelseaB]

Hello StevenNelson,

The indicator is using the LastClose of the previous session to the current marketDataUpdate price.

You have Percent selected as the Unit, correct?

If you open a Market Analyzer window and load the LastClose column and LastPrice column what values are you seeing?

[StevenNelson]

LastPrice in analyzer appears correct. The last close for ES 06-20 shows 2652.75.

[NinjaTrader_ChelseaB]

Hello StevenNelson,

You have provided the LastClose value as 2652.75. At that moment what was the LastPrice value?

The indicator will be using the code below for the calculation.

currentValue = (marketDataUpdate.Price - settlementOrLast) / settlementOrLast;

Once we know the last price and last close (or the settlement price, which can also be added to the market analyzer as a column) we can do this calculation ourselves and see if this is correct.

[StevenNelson]

Last night we were limit down again in ES at 5%. But my Ninja only shows 3.28% . It must be using the wrong "last price" closing time?

It shows in market analyzer right now during the halt:
Last close: 2474.75
Last price: 2393.50

[NinjaTrader_ChelseaB]

Hello StevenNelson,

A lock limit occurs based on the preivous day's VWAP (calculated by the CME) between 2:30PM and 3:00PM CT:

"Price limits are a series of price fluctuation limits based on a reference price. In the case of E-mini S&P 500 (ES), Micro E-mini S&P 500 (MES), and S&P 500 (SP) futures, the reference price is based on the previous trading day’s volume-weighted Average Price (“VWAP”) of the lead month E-mini S&P 500 futures contract determined between 2:59:30 p.m.—3:00 p.m. Central Time (CT)."

https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html

The High/Low limit prices are shown on the quotes page of the ES contract on the cmegroup website.

https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html

https://www.cmegroup.com/trading/price-limits.html#equityIndex

This is not from the session close or settlement close.

Are you wanting to calculate the net change from the last close?
I can help you determine if this is correct.


Or are you inquiring about the lock limit which is not the same calculation as the net change market analyzer column?
For this you would need to contact the CME and get the exact math calculation and value they are using to determine the VWAP between 2:30 PM and 3:00 PM CT.