Error on Daily closing price

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palmone
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Error on Daily closing price

Postby palmone » 16 Oct 2014

Hello,
i noticed that using iqfeed ,the daily closing prices for some instruments are wrong compared with other data providers.
But looking at 1 hour granularity the last price of the day is correct! So i checked for the session time settings in quote manager and it is correct.
I don't know why Mc is taking a different price.
Example on bund(see attachments):
yesterday closing price is 151.56 a show in the attachment. Switching on daily chart is 151.81. The session is correctly set as eurex 08:00- 22:00.
Even if i set 00:00-23:59 the closing price in the daily chart is wrong.
Where is the mistake?
Thanks in advance
Attachments
daily bund.jpg
(261.9 KiB) Downloaded 580 times
HourlyBund.jpg
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Andrew MultiCharts
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Re: Error on Daily closing price

Postby Andrew MultiCharts » 16 Oct 2014

Hello palmone,

A daily bar is received from a data provider as OHLC (just 4 prices). It means that you cannot affect those OHLC by changing session settings. In fact, if you try different (not the default) session settings for the daily bars, it may lead to possible bar ommission or duplication on chart. To learn more about sessions in MC, please click here. If you don't like sessions of 1 day (or any other daily-based) bars, you can check on "Build from minutes" feature to use intraday data + your session template to create bars with required session settings.

palmone
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Re: Error on Daily closing price

Postby palmone » 16 Oct 2014

Thanks andrew, so if i correctly understand, finally is a data provider error to provide the C component of the OHLC prices?

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Andrew MultiCharts
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Re: Error on Daily closing price

Postby Andrew MultiCharts » 16 Oct 2014

Yes, the C of a daily bar = close daily price from your vendor. Some vendors offer more than 1 symbol per security to give different daily bars. Anyway the "Build from minutes" should help you.

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bensat
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Re: Error on Daily closing price

Postby bensat » 16 Oct 2014

The correct answer is that EUREX, in some cases, has it's closing price and settlement price at 540pm. This means, close to all data vendors are delivering a settlement price as a "close" price on daily charts. This is not the closing price at the 1005pm closing auction in the EUREX future products. I only know eSignal and CQG as two of the vendors, where you can choose which price to handle as daily close. I think CQG is doing it on their own and as default. May DTN and so on changed their model as well. Don't know it.

To have the correct close in a daily chart, first you have to set-up a EUREX session template. Not seriously you have to do it, but I do it. Set the session up from 8am - to 1005pm. I use a 845min chart as a daily chart only. you can use Daily charts with "Build from minutes" as well. You will have the correct OHLC per day. Forget the daily charts.

The problem still exists in the Weekly & Monthly etc charts. But who cares in a weekly BHUND or FDAX chart ;)

Regards.

Ben

palmone
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Re: Error on Daily closing price

Postby palmone » 16 Oct 2014

Thank you very much bensat, in the meanwhile i have emailed iq feed support, i think is crazy don't give this service for a data professional provider!I mean customers need the 22:05 price!!
I will post if there is a solution in this topic. If it is not possible to fix it i will do it with build from minute.(but with less data i guess)

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bensat
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Re: Error on Daily closing price

Postby bensat » 16 Oct 2014

Don't get me wrong. It is no data vendor problem. Bloomberg/Reuters and so on are still calculating daily closes with settlement prices. At least this is my last info.

EUREX is delivering settlement prices instead of closing prices has the reason, that many funds calculating their daily NAV's with this settlement price. This was no problem till EUREX extended trading hours from the beginning of 2000's and further to the 1st Jan in 2006 on. From there it stands like it is today. BeforeEUREX equity index futures indices closed at 5.30pm as the stock indices did and BUND futures around 7pm. EUREX never adjusted it. Further, options which are still very important for NAV calculations are still settled at 540pm. That's why they never changed it.

palmone
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Re: Error on Daily closing price

Postby palmone » 16 Oct 2014

Understand that but i think is a time vendor problem to collect daily data correct is eurex is "wrong". Alot of data and chart analysis software have the correct data. i hope as they has the data till 22 they can collect them in another way. We will see if they can do something, in this case iqfeed...


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