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While the terms are all loosley interchangable, it sounds to me like
your system is picking up the "last tick" and generating trade signals.
But if you use the close, or settlement price you come up with something
else.
To back up a bit, there is a "closing range" on Futures Contracts. The
time of the Closing range varies from contract to contract, but
generally it is the last 2 minutes of trade in the energy markets and
the last 30 seconds of trade in Chicago and KC.
In Chicago, it is my understanding that the "Final Settlement Price" is
the mid point (mean?) of the closing range, regardless of volume at each
tick. In KC they use a trade weighted average, where everyone reports
the volume at each tick, the average price becomes the settlement price.
Regardless of how they arrive at the settlement price, the Settlement
Price is what the clearing corp uses to figure the books at the end of
the day.
Oh, and about having closes where you did not even see it tick. The
close can get really hectic and there is no way for the pit reporter to
keep up. Some markets (especially ones with several active contract
months) do not even get the ticks out and certainly not in any
meaningful order. But they do report the closing range and the
settlement.
Bottom line is, I would not put any important meaning on what the final
tick is. Use the settlement price.
> I know this, look at an intraday chart and where it closes. Then in a quote
> screen bring up the settlement field and watch the settlement be different
> than the close you have on your chart screen. This is very alarming for BIG
> money manages because this is what the books and margins are determined upon
> at the close of the business day. A big money manager can be made to send
> millions of margin money from a settlement that is just two ticks away from
> what the real closing price is. I have personally seen settlements that
> were outside the closing range and no time and sales prints there to back
> them up. Details will kill you in this business if you ignore them and
> there are many to observe. Like I said before loss of money is a GREAT
> teacher, so I have had the privilege of receiving an Einstein equivalent
> education. MB
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