Get daily settlement price without reloading?

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Xyzzy
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Get daily settlement price without reloading?

Postby Xyzzy » 04 Jan 2013

I'm running an automated strategy for certain futures (e.g., @ES#). Each chart contains both a one-minute bar as Data1 and a one-day bar as Data2. My strategy depends on the closing settlement price of the prior day, which I obtain by referencing the closing price of Data2. (My data provider is IQFeed.)

When MultiCharts is running in real time, it builds the daily bar for the current day based on the tick data. Unfortunately, this results in the daily bar having an "unofficial" closing price that is somewhat different from the "official" EOD settlement price that's reported by the exchange. E.g., my daily bar today for @ES# shows a closing price of 1459.25, while the official settlement price from the CME for today is 1457.75.

If I reload the data manually after the daily close, MultiCharts will then download and display the correct EOD data on my daily chart. However, this requires me to manually refresh the data every day. Is there any way to force MutliCharts to refresh the data automatically instead? I.e., for MultiCharts to automatically download the official EOD data after the daily close?

There was a similar question about two years ago (link below), and there didn't seem to be a way to do that at the time. However, I thought I'd check to see if the answer has changed since then.

viewtopic.php?f=1&t=7747&hilit=settlement

If not, I could experiment with using a macro program like AutoHotKey to refresh the data automatically at a certain time, but that would be a bit of a bother. Thanks in advance.

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Andrew MultiCharts
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Re: Get daily settlement price without reloading?

Postby Andrew MultiCharts » 07 Jan 2013

Hello Xyzzy,

You are right, daily data (as well as any other type of data) collected in real-time may differ from historical data that is obtained after manual reload of the chart. In fact, the official EOD settlement price usually comes from data vendors with a delay (appoximately 1 hour) after session end , that's why MC uses data from status line to plot today's close and the daily data collected in real-time is not saved to data base (you can read more about it here).
Unfortunately there is no tool in MultiCharts that would allow you to reload your chart automatically.

Xyzzy
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Re: Get daily settlement price without reloading?

Postby Xyzzy » 07 Jan 2013

Thanks Andrew. This would be a nice feature to have. E.g., perhaps there could be a setting so that MultiCharts automatically attempts to reload the daily data at a certain time, like 6:00 pm, to replace the minute-based daily bar with the settlement daily bar. I'll submit a feature request.

evdl
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Re: Get daily settlement price without reloading?

Postby evdl » 07 Jan 2013

I had the same problem with the close and open price of some symbols (for example the DAX).

Don't know if it is usable for you, but I use prevclose for the close of the day.

http://www.multicharts.com/discussion/v ... =1&t=11502

Xyzzy
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Re: Get daily settlement price without reloading?

Postby Xyzzy » 07 Jan 2013

Thanks for the tip, evdl. Unfortunately, I'm not sure if this would solve the problem.

If the "prevclose" keyword simply returns the close of the last day's daily bar (as I assume), then I'd still have the same underlying problem -- the daily bar wouldn't reflect the correct settlement price unless I reload the data manually after the EOD close. However, I'll give this a test.

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TJ
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Re: Get daily settlement price without reloading?

Postby TJ » 08 Jan 2013

Thanks for the tip, evdl. Unfortunately, I'm not sure if this would solve the problem.

If the "prevclose" keyword simply returns the close of the last day's daily bar (as I assume), then I'd still have the same underlying problem -- the daily bar wouldn't reflect the correct settlement price unless I reload the data manually after the EOD close. However, I'll give this a test.
PREVCLOSE is a quote field keyword, not a function.


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