Support Board

Date/Time: Fri, 03 May 2024 22:38:26 +0000

Post From: Limit up/down Indicator

[2020-11-03 14:50:53] Link To Thread - Link To Post [Go To First Post]
Ackin - Posts: 1865
I tried to do this but was never able to get it exactly. It seems the CME has an esoteric algo. Interesting ... how big was the deviation? (yours and their number). Edit: I take back the question. I already see it in your post tomgilb 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: 2020-11-03 15:02:40