November 16, 2022

Improvements for CME Group Futures

Are you one of the many people that like to trade CME Group derivatives? Well then boy oh boy, have we got good news for you. Today, we’ve released three brand new features all at once: you can now see Last or Settlement prices on the chart, adjust previous contracts continuously after a rollover, and make use of the Open Interest indicator. We know, it’s very exciting, so let’s dive into the details of each. 

Close price selection for daily bars — last price or settlement price

First up, our charts now let you choose which price is displayed as the closing price of the daily bar, as well as for bars of higher resolution — the Last or Settlement price.

The Last price represents the price of the last real deal that closed on that day of trading. The Settlement price is calculated by the exchange at the end of each trading day based on the averages of final asks and bids. The actual closing price of a day is the weighted average of the last few minutes of trading — each exchange follows its own algorithm to calculate this so there’s no single rule. 

The “Use settlement as close on daily interval” option is automatically enabled by default on the chart for futures and continuous contracts. There are two ways to switch to display the last real price:

  • Using the button at the bottom, set:

  • Unchecking Use settlement as close on daily interval in settings:

These changes do not apply to intraday time frames – that is, when switching to intraday from daily. Regardless of whether settlement prices were turned on or off, the intraday data is always the same. In this case, there is no set button at the bottom, and there is also no Use settlement as close on daily interval field in the chart settings.

For a number of contracts, the Last and Settlement prices will match – this happens when there are no real trades, and the exchange sends only settlement prices. Prices in watchlists and symbol pages are displayed as before, with Settlement as close enabled.

Back-adjustment for continuous futures contracts

Our next feature is just as convenient as the last. We’ve added the possibility to back-adjust previous contracts in the continuous, in order to remove the roll gap due to price differences for different contracts. 

The adjustment is implemented in the following way: when the continuous is switched to the next new contract, all previous contracts are adjusted in accordance with the coefficient, that is calculated as the difference between the closing price of the new and old contracts for the nearest daily bar to the switching point in the continuous. Usually these are daily bars preceding the switching day to the next contract. For example, if the rollover from September to December occurs on September 30th, then the coefficient for adjustment would be calculated as the December close – the September close of September 29th daily bars.

By default, back-adjustment is disabled. You can enable it on the chart with a continuous in two ways:

  • Using the b-adj (Adjust for contracts changes) button at the bottom

  • Check the Adjust for contracts change in settings

Open interest

And finally, the last feature for CME Group futures that we have implemented is the display of the Open Interest value for futures.

Open Interest is the total number of outstanding derivative contracts that have not been settled.

It is important to understand that since this is the number of open positions, the value can both increase and decrease during the day.

On the chart, Open Interest data is available as the Open Interest indicator:

Data is available only for daily time frames, intraday time frames display data from the daily bar.

We hope that our improvements will provide more information for technical analysis and help you take your trading of CME Group derivatives to the next level!

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