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So called "run-off" after the close can be caused by late reporting of
trades, and settlements that
involve averaging the closing range or the averaging of the components of an
index, etc. These may
or may not reflect the actual last tick (or the price you might get MOC).
Although it might make
sense to "extend" the close on a cash index to get the actual settlement,
IMHO it would be unwise
to do it for an actual security as your tick data **might** reflect prices
that were un-tradable in real
time.
BW
----- Original Message -----
From: "Jim Bronke" <jvbronke@xxxxxxxx>
To: "Thomas Alexander" <alexander_enterprises@xxxxxxxxx>; "Omega List"
<omega-list@xxxxxxxxxx>
Sent: Saturday, August 04, 2001 12:31 PM
Subject: Re: Close vs Settlement vs tick final
> Thomas,
>
> You bring up a subject that is worth some thought. I have sometimes seen
on
> stocks that the last trade of the day occurred after the market has
closed.
> When creating bars 2000i ignores anything after the close(timewise) of the
> day. I didn't delve in to what was the reported closing price for the day
> and didn't raise the issue of whom reports that closing price and is there
> anything official. Given that there are many different vehicles(exchanges)
> one then has to ask themself what they want to track. Do you want to use
the
> same numbers as others so you can talk the same language or is defining
your
> own close worth the effort.
> I do feel that if I expanded the market end time in my GS that I would get
a
> more accurate closing price. I then will have to adjust some of my systems
> to capture that data. The results might then be out of line(or more in
line)
> with what is reported. Let me know what you think.
>
> Jim Bronke
> Phoenix, AZ
>
>
>
> ----- Original Message -----
> From: "Thomas Alexander" <alexander_enterprises@xxxxxxxxx>
> To: "Omega List" <omega-list@xxxxxxxxxx>
> Sent: Saturday, August 04, 2001 9:56 AM
> Subject: Close vs Settlement vs tick final
>
>
> > Good morning!
> >
> > A few years ago my first ex-wife, who is also a quadruple
> > planet Virgo, bought me a T-shirt that said, "Does
> > Anal-Retentive have a Hyphen?"
> >
> > In light of that shirt, I would have imagined that a
> > closing price = settlement price = last tick of the day.
> > Looking at DTN and Esignal tick and close data and CBOT
> > data postings, apparently they are not. Could someone clue
> > me in as to why? And if I were to edit my data in the
> > Global server, would I edit the daily close to the CBOT
> > settlement or the CBOT close? Should I edit my tick data so
> > that the last tick reads the same as the close of the day
> > or the settlement?
> >
> > Thomas "I Like to Date Around but I'm Monagamous with Data" Alexander
> >
>
>
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