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Direct MessagesDate/Time: Fri, 03 May 2024 21:54:34 +0000
Limit up/down Indicator
View Count: 712
| [2020-10-31 02:43:30] |
| User414846 - Posts: 16 |
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Just wondering if anyone has an indicator to plot Horizontal lines at limit up/down in ES market?
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| [2020-11-03 08:14:23] |
| Ackin - Posts: 1865 |
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Could you elaborate more? ... (if we mean the same thing)
Date Time Of Last Edit: 2020-11-03 14:15:22
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| [2020-11-03 13:55:55] |
| User414846 - Posts: 16 |
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Hi Ackin, I'm talking about the CME price limits. https://www.cmegroup.com/trading/price-limits.html#equityIndex Thanks |
| [2020-11-03 14:03:21] |
| Ackin - Posts: 1865 |
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ah ... so i meant the restrictions within the previous day (similar to pivot) not this, but i can create it, there's a clear definition. Or maybe ....Sierrachart-engineers will create it....? this would be great to have as a native function in the menu for Global Profit/Loss Management ;) Date Time Of Last Edit: 2020-11-03 14:15:09
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| [2020-11-03 14:22:39] |
| User414846 - Posts: 16 |
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The limits are calculated daily based off of VWAP. https://www.cmegroup.com/trading/equity-index/faq-sp-500-price-limits.html.html It would be pretty awesome if it was a native indicator |
| [2020-11-03 14:24:32] |
| Sawtooth - Posts: 3993 |
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I tried to do this but was never able to get it exactly. It seems the CME has an esoteric algo. Feature request - Halt Limits |
| [2020-11-03 14:50:53] |
| Ackin - Posts: 1865 |
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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
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| [2020-11-03 14:51:28] |
| User414846 - Posts: 16 |
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I see, I'll try to email CME later today to try and get the exact way it's calculated.
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| [2020-11-03 16:44:32] |
| User414846 - Posts: 16 |
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The CME has just got back to me on my email. Here is the link they provided https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh I think you can pull the CME price limits off their API. Maybe Sierra Chart can provide us access? |
email.PNG| [2020-11-04 12:43:08] |
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Yes we could, but that is quite a lot of code updates to support this. We will see.
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: 2020-11-04 12:51:16
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