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Direct MessagesDate/Time: Fri, 26 Apr 2024 07:23:31 +0000
[User Discussion] - Feature request - Halt Limits
View Count: 2763
| [2020-03-16 13:40:55] |
| User690983 - Posts: 7 |
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Hi SC, Had a quick search on the forum and couldn't see this? Would it be possible to add a feature I can have the S&P 500 Futures L1, L2 and L3 halt limits? QuoteBoard would be ok, something I can overlay on chart with alert even better. Also highlight it on the DOM to avoid being trapped. Kind of need it these days - having to check cme webpage each day annoying :) Cheers Chris |
| [2020-03-16 16:27:39] |
| binaryduke - Posts: 359 |
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The percentages are clearly defined on the CME site. Just use Study Subgraph Multiply combined with Daily OHLC to project the relevant levels.
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| [2020-03-16 17:19:24] |
| User690983 - Posts: 7 |
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Ah good point although not totally trivial - last 30 sec vwap of last trading day.. and overnights are different %.
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| [2020-03-16 17:23:06] |
| seandunaway - Posts: 213 |
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This is a nice feature that the popular cash equity trading platforms include. I've highlighted the LULD (limit up/limit down) levels in attached.
Date Time Of Last Edit: 2020-03-16 17:23:50
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luld.png| [2020-03-17 13:20:45] |
| Sawtooth - Posts: 3976 |
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Here's a way to plot the 5%, 7%, 13%, 20% limit up and limit down lines on your chart. The attached chartbook is an example for the ES, using USA Central Time session times, and the Chicago Time Zone. Edit as needed. (The Session Times need to correspond to the time zone, either the Global Time Zone, or to the chart's Time Zone.) It uses the VWAP study between Chicago session times of 14:59:30 to 15:00:00 to find the Reference Price, and the study's bands to create the LULD % offsets. https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html Add this to your working chartbook by duplicating the LULD chart (chart#1) to your working chartbook. Then add the Study/Price Overlay study to your working chartbook, to overlay the VWAP study from the LULD chart, using the example settings of the overlay study in chart #2: -Set the 'Study to Overlay' to the VWAP study on the LULD chart. -Set the 'Bar Time Matching Method' to 'Containing Match'. -Set the 'Always Use Short Names From Source Study' to Yes. |
 LULD.Cht - Attached On 2020-03-17 13:15:56 UTC - Size: 30.76 KB - 373 views |
| [2020-03-17 13:40:35] |
| User690983 - Posts: 7 |
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Thanks tomglib, gonna try that today. Chris |
| [2020-03-18 02:07:59] |
| Sawtooth - Posts: 3976 |
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Sorry everyone. The example in post #5 worked perfectly yesterday, but not today. The VWAP study returns a different Reference Price than CME is using today. Not sure why. |
| [2020-03-21 05:13:46] |
| ochocinco - Posts: 29 |
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I wasnt able to consistently reproduce the CME fixing price calculations either. Maybe for the ES & NQ thats not needed as CME has symbols for the fixing prices. I've made a support request. We shall see... Can the SC data feeds include ES & NQ fixing price symbols Can the SC data feeds include symbols for the ES & NQ "CME fixing prices"?
Equity Index Special Fixing Prices For End-of-Month Options, Weekly Options, and Daily Limit Calculations https://www.cmegroup.com/trading/fixing-price.html It appears these symbols are disseminated immediately following the calculation time. My personal interest is ES, NQ. dtn iqfeed example: SYMBOL DESCRIPTION ESF.X S&P 500 SPECIAL FIXING PRICE NQF.X NASDAQ 100 SPECIAL FIXING PRICE |
| [2020-03-21 13:03:07] |
| Sawtooth - Posts: 3976 |
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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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