Custom futures: settlement or last traded price based  [SOLVED]

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wilkinsw
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Custom futures: settlement or last traded price based

Postby wilkinsw » 24 Jul 2019

Hi,

https://www.multicharts.com/trading-sof ... om_Futures
Capture backadjust rule.PNG
(20.15 KiB) Downloaded 241 times
What does "C" equal?

-Last traded price of the session?
or
-Settlement price for the session?

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Henry MultiСharts
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Re: Custom futures: settlement or last traded price based

Postby Henry MultiСharts » 26 Jul 2019

Hello wilkinsw,

At the moment receiving the settlement price has not been implemented for the CQG connection.

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Re: Custom futures: settlement or last traded price based

Postby wilkinsw » 26 Jul 2019

Hi Henry,

No mention of CQG in my question.

Just interested in the roll mechanism please.

What does C equal?

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Henry MultiСharts
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Re: Custom futures: settlement or last traded price based

Postby Henry MultiСharts » 30 Jul 2019

"C" = close price of 1 day bar for the symbol in question. In most cases this is the Last traded price, only eSignal has the option to load the Settlement price.

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Re: Custom futures: settlement or last traded price based

Postby wilkinsw » 30 Jul 2019

Thanks Henry.

Just an FYI: In the futures world, settlement price is typically different to last traded price (ie last traded price also typically differs from the close of the daily bar).

If daily data isn’t available (just intraday) what does C equal?

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Henry MultiСharts
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Re: Custom futures: settlement or last traded price based  [SOLVED]

Postby Henry MultiСharts » 01 Aug 2019

If daily data isn’t available (just intraday) what does C equal?
If daily data isn’t available then the platform will try building the daily bars out of the intraday data you have. Close value of that bar will be used for calculating the back-adjustment.

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Re: Custom futures: settlement or last traded price based

Postby wilkinsw » 01 Aug 2019

Thanks Henry!
Can that be added to the Wiki please?


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