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Direct MessagesDate/Time: Mon, 06 May 2024 11:06:46 +0000
Post From: Feature request - Halt Limits
| [2020-03-21 13:03:07] |
| Sawtooth - Posts: 3993 |
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I wasn't able to consistently reproduce the CME fixing price calculations either.
If you:- set the VWAP study's 'Base On Underlying Data' to Yes - Set the Chart Settings' Session Times to 14:59:30 - 14:59:59 (assuming Chicago timezone) you will be much closer, but sometimes still off by a tick or two. Even if you manually use CME's Reference Price, and calculate the % offsets with a spreadsheet study, the LULD prices will not always exactly match CME's published LULD prices. There seems to be a rounding formula for both the Reference Price and the LULD prices that goes beyond simply rounding to the ticksize. Date Time Of Last Edit: 2020-03-21 13:23:12
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