Hi, how can I get a daily resolution chart to output the settlement price instead of the last price? This is post close, where the settlement should be sent down the data stream.
Thanks. Gordon
Rithmic Daily resolution uses last price not settle
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TJ
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Re: Rithmic Daily resolution uses last price not settle
You will need to do a reload of the chart 15~20 min after close. That's when you can be sure the exchanges have published the final settlement price.Hi, how can I get a daily resolution chart to output the settlement price instead of the last price? This is post close, where the settlement should be sent down the data stream.
Thanks. Gordon
Re: Rithmic Daily resolution uses last price not settle
Thanks TJ, but delay is not the issue. When I pull up a chart with Daily resolution, all the days are built are using last tick, so it isn't just a realtime issue.
I have attached a file with a comparison of ESH15. MC (Rithmic) vs TS. The format is D,T,O,H,L,C,V,OI. You will see red denotes the differences. TS which is on the right does hold the settlement while MC is last tick.
I will continue to follow up with Rithmic to find out why the constant difference in Volume and Henry is working on getting the OpenInt to populate.
But how can I get Settlement when using daily resolution?
Gordon
I have attached a file with a comparison of ESH15. MC (Rithmic) vs TS. The format is D,T,O,H,L,C,V,OI. You will see red denotes the differences. TS which is on the right does hold the settlement while MC is last tick.
I will continue to follow up with Rithmic to find out why the constant difference in Volume and Henry is working on getting the OpenInt to populate.
But how can I get Settlement when using daily resolution?
Gordon
- Attachments
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- MC vs TS Data Compare.png
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Re: Rithmic Daily resolution uses last price not settle
I heard from Rithmic concerning the lack of settlement and volume issue. They say they are sending out the proper values. The response is as follows:
I compared our data with the data reported on http://www.cmegroup.com/trading/equity- ... 02/04/2015.
I appears that for daily data bars we are showing the settlement price as the last price and we are showing the same volume number as the cme report. it is possible that MC is getting 1 minute bars from us and then deriving the daily bar and that may make a difference. in a 1 minute bar we do not show the settlement price. not sure why the volume would be off unless mc does not handle the first and last 1 minute bars properly. I will look into this.
MC, please fix these issues.
Thanks. Gordon
I compared our data with the data reported on http://www.cmegroup.com/trading/equity- ... 02/04/2015.
I appears that for daily data bars we are showing the settlement price as the last price and we are showing the same volume number as the cme report. it is possible that MC is getting 1 minute bars from us and then deriving the daily bar and that may make a difference. in a 1 minute bar we do not show the settlement price. not sure why the volume would be off unless mc does not handle the first and last 1 minute bars properly. I will look into this.
MC, please fix these issues.
Thanks. Gordon
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Henry MultiСharts
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Re: Rithmic Daily resolution uses last price not settle
Hello Gordon,
Daily bars from Rithmic are built out of minute data. If you want to have an option added for using the settlement price for daily bars - please submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/
Daily bars from Rithmic are built out of minute data. If you want to have an option added for using the settlement price for daily bars - please submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/
Re: Rithmic Daily resolution uses last price not settle
Just had another follow-up with Rithmic:
they can get daily bars from us if they use R | API+. currently they may still be on R | API but I think that they are in the process of porting to R | API+.
Henry, is the above in the pipeline as Rithmic thinks, or do I really need to make a request for it?
Gordon
they can get daily bars from us if they use R | API+. currently they may still be on R | API but I think that they are in the process of porting to R | API+.
Henry, is the above in the pipeline as Rithmic thinks, or do I really need to make a request for it?
Gordon
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Henry MultiСharts
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Re: Rithmic Daily resolution uses last price not settle
Hello Gordon,
We are currently working on an integration of a broker that supports R | API+. However there are no details or ETA available at the moment. Please follow our Traders’ Blog to get the latest updates.
We are currently working on an integration of a broker that supports R | API+. However there are no details or ETA available at the moment. Please follow our Traders’ Blog to get the latest updates.