Does anybody know how CME calculates the settlement price for the eminis?

bob304 

Does anybody know how CME calculates the settlement price for the eminis?

The daily settlement price is the volume weighted average price of all trades between 15:14:30 and 15:15:00 Central Time. That is the time period starting 30 seconds prior to close.

You can find the daily settlement prices here:

E-mini S&P 500

Below I have attached a document specifying the daily settlement periods for CME traded instruments.

Fat, what do the hours on the right side of the page represent (see red numbers)?

Livestock: 12:59:30-13:00:00 CT 13:30, 14:05, 14:45, 15:15, 15:55, 18:00 CT

trendisyourfriend 

Fat, what do the hours on the right side of the page represent (see red numbers)? Livestock: 12:59:30-13:00:00 CT 13:30, 14:05, 14:45, 15:15, 15:55, 18:00 CT

It is explained below. CME regularly updates the website.

If they have determined the settlement price for Livestock (which can theoretically be done shortly after the settlement period), they will publish it at 13:30 earliest. If it is not ready for publication, they will publish it at 14:05 or later.

The settlement price can be published prior to High, Low and Close of the session.

Settlements

daily settlement in csv or txt files

Snoop 

Settlements daily settlement in csv or txt files

Nice, an NT indicator could download the file and parse it then use the data

Mike

Big Mike 

Nice, an NT indicator could download the file and parse it then use the data Mike

I started this thread on Ninja forum a while ago which may be of interest.
https://forum.ninjatrader.com/showthread.php?t=20562

I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made.
Hope the thread is self explanatory and may help.

PS: seems the web site the links refer to has been updated.
https://trading-evolution.com/?lang=en_us
https://trading-evolution.com/forum/portal.php

zt379 

I started this thread on Ninja forum a while ago which may be of interest. Volume Levels - Page 2 - NinjaTrader Support Forum I wasn't able to get anyone to convert the MT4 indicator that VolumeTrader had made. Hope the thread is self explanatory and may help.

You could have a look at the dValueArea for NinjaTrader 7 indicator here:

Value Areas - dValueArea - NinjaTrader Support Forum

Fat Tails 

You could have a look at the dValueArea for NinjaTrader 7 indicator here: Value Areas - dValueArea - NinjaTrader Support Forum

Hello Fat Tails.
Yes that indicator was discussed in the NT thread and I have used it. (for NT 6.5)
However, the "eVolution" indicator by Volume Trader, as far as I recall from then, was not so much about
value areas.
I was particularly interested in how it showed the total volume traded,
as a horizontal line and histo, for each of:
Total Volume for contract,
Volume for Month,
Volume for Previous Week,
Volume for this week
Volume for Day.
For each and every CME contract.

Don't mean to ramble just thought it might be of interest to the OP.
thx