Closing Price on Min Chart different from Daily Chart

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sim
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Closing Price on Min Chart different from Daily Chart

Postby sim » 27 Feb 2008

I encounter this problem.

I compare my closing price for any minutes chart (e.g. 15, 30 or 60mins) and found that it's different from the daily chart. I have comfirmed the daily closing price to other available sources and found to be correct.
I am currently using real time data extracted from IB. For the exchange, i have selected SMART and using regular trading hours.

What is the cause for wrong closing prices for my mins charts?

Thank you

brodnicki steven
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Re: Closing Price on Min Chart different from Daily Chart

Postby brodnicki steven » 28 Feb 2008

I encounter this problem.

I compare my closing price for any minutes chart (e.g. 15, 30 or 60mins) and found that it's different from the daily chart. I have comfirmed the daily closing price to other available sources and found to be correct.
I am currently using real time data extracted from IB. For the exchange, i have selected SMART and using regular trading hours.

What is the cause for wrong closing prices for my mins charts?

Thank you


Just a guess, but the daily bars may include Globex trading hours.

zukkaweb
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Postby zukkaweb » 28 Feb 2008

this is a big question, i think that TS SUPPORT make a guide for this, because there aren'r enough information, to make a good setup

sim
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Postby sim » 28 Feb 2008

Thanks guys for your input.

To illustrate my point further, i have attached an example of 15 & 60mins closing price for AMZN using IB datafeed. It shows both closing of 67.98 yesterday, 28Feb. However, the actual closing price on EOD daily chart should be 67.85
So, what cause the difference? Is there something wrong with my quote entry procedures or multichart itself?

Hope someone can help in this.
Attachments
ClosingIB-1.bmp
ClosingIB-1.bmp (877.21 KiB) Viewed 292 times

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TJ
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Postby TJ » 28 Feb 2008

because the LAST trade price is not necessary the CLOSE price.

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RobotMan
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Postby RobotMan » 28 Feb 2008

TJ is correct. The closing price on intra-day charts is not the exchange "settlement" price. I used to go to the website of the cme and manually enter the settlement price for ES, NQ, and ER2 every night so that my floor trader pivots would be correct the next day. Now, even though I know they are not "exact", I don't care anymore and I don't do it. But I noticed they were always different, more often than not, from the last price.

It's even the same for stocks. You would be surprised that sometimes some stocks don't even start trading right at the opening bell on a gap opening day because the market makers are still trying to "price" the market value of their particular stock. The "open" is what they say it is during the first 15 to 30 minutes on a large gap day.

Bob Perry
Los Altos, CA

zukkaweb
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Postby zukkaweb » 29 Feb 2008

There is another problem, that for stocks they have price on NASDAQ, ARCA,NYSE the only choice is to use smart.

For the rutures there are difference if you trade with time in CME, GLOBEX, or No-GLOBEX.

the hours of trading are different, this is my setup for trading from hours of italy

15:15 close Globex
15:30 open Wall Street e Sopen futures on index CME
22:00 close Wall Street
22:15 close section day futures on indici CME
22:30 open section Globex futures on index CME
23:00 close for dailt maintenance daily Globex section on futures index CME
24:00 open section afther finished maintenance Globex on futures index CME

so the setting of default COULD BE RIGHT OR WRONG , they depend where your live, your local time, your type of trading and other things,.
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esh8 CME vs GLOBEX.png
esh8 CME vs GLOBEX.png (85.18 KiB) Viewed 285 times

sim
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Postby sim » 29 Feb 2008

Thanks Guys.

So can the technical support from MC provides solution for this? I just need proper data to work with. I need reliable pivot data and hence accurate closing data is important to me.

Between, we should be more productive and focus on planning our trades and not spending time on chart administrative issues.
:(

Regards

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TJ
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Postby TJ » 29 Feb 2008

Pivot Points are just assumptions and approximations.
Don't sweat too much over them.
If your profitability is dependent on the accuracy of approximations, you need to think about your assumptions again.

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Geoff
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Postby Geoff » 01 Mar 2008

Thanks Guys.

So can the technical support from MC provides solution for this? I just need proper data to work with. I need reliable pivot data and hence accurate closing data is important to me.

Between, we should be more productive and focus on planning our trades and not spending time on chart administrative issues.
:(

Regards


If you want pivots based on settlement price then use the autopivots downloadable here: http://www.puretick.com/BB2/viewtopic.p ... 8e58be36bd
It uses the ADE dll to get the data from a daily chart and then calculate the pivots on an intraday chart.


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