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Date/Time: Wed, 29 Jun 2022 22:09:07 +0000



Settlement Question

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[2014-01-28 16:02:07]
infpz - Posts: 826
ESH4 settlement was 1775.75 yesterday, which is what we see the closing price on the 1/27 daily candle. The market reopened at 3:30 PM CT and traded lower until 4:15 CT, the actual close, and finished at 1772.25. This implies that the daily chart uses settlement price, not the actual closing, to determine the close. Is that correct?
[2014-01-28 16:19:05]
Sierra Chart Engineering - Posts: 103520
Yes. This is correct.
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[2014-01-28 17:44:20]
infpz - Posts: 826
OK, and the new bar starts at what time - 4:15 PM CT or 5 PM CT? I guess I am wondering, if it starts at 5, is that session between 3:30 and 4:15 CT just not displayed anywhere on a daily chart?
[2014-01-28 17:53:40]
Sierra Chart Engineering - Posts: 103520
Not sure. This data comes direct from the exchange.

We would find it hard to believe that they do not include the 3:30 and 4:15 CT trading in the daily bar.
Sierra Chart Support - Engineering Level

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[2014-01-28 18:01:36]
infpz - Posts: 826
It's interesting because the open of the daily bar should really start at 5 PM, and it appears that this is the case (the 1 minute bar at 5 PM matches the open of the 1/28 Daily Bar). But, if the prior daily bar ended at the real close, 4:15 CT, then the close of that bar would not be 1775.75, and that's what it is. You can tell this because the market fell further after the 3:30 PM CT reopen - it closed at 1772.25. This is one of those occasions where the settlement and the actual close are different enough for people to notice. It would be helpful for me to be able to answer this question definitively.




[2014-01-28 18:05:43]
Sierra Chart Engineering - Posts: 103520
What we do know is the close price of the Historical chart Daily bars is the official settlement price. Although for the very last bar in the chart, it is going to indicate the most recently traded price.

The contract specifications on the exchange website should indicate how they do the settlement price calculation.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2014-01-28 18:07:07
[2014-01-28 19:34:48]
joshtrader - Posts: 377
ES times are:

open at 5pm ct
settle at 3:15pm ct
reopen at 3:30pm ct
last trade at 4:15pm ct

So, the 45 minutes of trade after the settlement will be reflected in the daily bar, because the day ends at 4:15pm ct. However, the closing price on the daily bar should be the settlement price, which is why you will see lows on the daily bar that happened after settlement. See CMEgroup.com for more info and it will make sense.
[2014-01-28 19:35:36]
infpz - Posts: 826
Yes in retrospect this is clear. Thank you for your input.

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