Net change display incorrect for futures

[NinjaTrader_Jim]

Hello VolatyTrading,

Thanks for sharing.

I recall we looked into Settlement vs. LastClose before, but I do not recall why we stuck with LastClose.

I'm trying to did up some older internal tickets about it and I'm asking some colleagues as well.

I should have some more information tomorrow to give further response and see if we can consider changes.

EDIT: This runs a bit deeper as some providers give Settlement, some don't, some give a different result when requesting after hours and during hours. I'm going to try to spend some time as resources allow to map out differences and see if we can apply changes that work across the board.

Thanks for your patience.

[VolatyTrading]

The net change display indicator and the net change MarketAnalyzer column do not report the correct net change for futures, as they use the previous day close price instead of the settlement price. The previous day close price is irrelevant for futures.

The current approach still works well for CQG market data, since it populates the futures close price with the settlement price. For Rithmic market data, however, which correctly reports the two different prices, the net change value is (ironically) wrong since it is based on the previous day close price.

The attached indicator has a quick fix for the net change display indicator. It just checks if the instrument is a futures contract and, if so, uses the settlement price instead of the close price.