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Opening Prices


I followed the link in you post and came up with the following:

E-mini Russell 2000 Futures GLOBEX® quotes as of 05/03/05 01:30 am (cst)

MTH/ --- SESSION --- PT EST ---- PRIOR DAY ----
STRIKE OPEN HIGH LOW LAST SETT CHGE VOL SETT VOL INT

JUN05 585.90 586.40 585.50 585.50 ......


I can only assume that the time that you looked at the chart didn't match the opening time of the contract. If you look at the top of the page you will see that those are the Delayed Futures and Options Quotes so I'm guessing that they change during the day.

I must agree with you that hunting around the CME web site to find the data that you want is not easy. I've wasted many hours trying to find just what you are looking for.

I that what you're looking for is the Daily Settlement price. Follow the links from this page:
http://www.cme.com/trading/dta/hist/daily_settle_prices.html

and you will probably end up on this page for the ER2:
http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/er2.html

My Daily Notes page also has those figures if that's what you're looking for. These change daily:
http://www.deltat1.com/DailyNotes/DailyNotes.htm
I've just re-read your question and see that 579.8 was the correct opening price for the ER2 yesterday and so the link that you have is good inasmuch as it will delay the quote for the opening price but confirm it for you once the quote becomes available.

What charting package are you using? What data feed do you have? It may be that your data feed is delayed so that your opening price is not spot on...?

Hello Guy and everyone.

MB Trading is whom I'm using. I know of one person who uses Tradestation who had the quoted opening as 581.20 - which is closer to what I had (per chart). Is it possible to have some variance (depending on the quote provider) for that specific opening time (9:30am EST)? On my quote screen, those opening prices do match up with your site, as well as the sites you provided - however, once I view their charts the opening price quote on the first 9:30am EST bar clearly deviates from that. I'm thinking it has something to do with a opening time prior to 9:30am EST (but I don't know).

I've had similar problems with ETFs and stocks. The QQQQ for an example; my chart quotes, Stockcharts.com, Yahoo! Finance and Nasdaq.com can all have a different opening price, which is usually resolved as the day goes on (sometimes it does not). Yesterday (5/2/05) Yahoo! and Stockcharts.com both have the opening price as 35.10, while the official Nasdaq websites listed official open is 35.13.

I'm aware that opening (and closing) prices are not science by any means and the attempt is to have the closest fit. It would at least be more constructive, to have one closing and one opening price across the board on Web.

Thanks in advance.


quote:
Originally posted by guy

I've just re-read your question and see that 579.8 was the correct opening price for the ER2 yesterday and so the link that you have is good inasmuch as it will delay the quote for the opening price but confirm it for you once the quote becomes available.

What charting package are you using? What data feed do you have? It may be that your data feed is delayed so that your opening price is not spot on...?

quote:
Originally posted by Tool

MB Trading is whom I'm using. I know of one person who uses Tradestation who had the quoted opening as 581.20 - which is closer to what I had (per chart). Is it possible to have some variance (depending on the quote provider) for that specific opening time (9:30am EST)?


Yes, data vendors do vary depending on how they collect and store the data.

The purist approach for a data vendor is to get a new set of data from the exchange each time one of their clients (users) requests the data. However, the overhead of doing this is too large and so the data vendors store the data locally (on their servers) and redistribute it to their clients.

The most accurate opening price will be the one that you find on the exchange's web site because we assume that this price is pulled directly from the exchanges data base and has not gone through a third party data vendor such as MB Trading.

I use eSignal and most of the time their quotes mach up exactly with the exchange. If the data vendor gets out-of-sync with the exchange then I would imagine that they have a mechanism to re-request all the data for a particular time period and symbol in order to re-sync their data bases.

Do MB Trading have any info on their opening prices. If I were you, I would send them an email with the link to the CME web page and ask them why their opening price does not match the CME's.

There are other anomalies that happen with settlement prices that you should be aware of. The settlement price for the day is often the closing price but because there is a different formula used (I have yet to find this formula) the settlement price can sometimes be different and it can even be outside the high/low of the day. Often on chart or on feed quotes you'll see a closing price quoted which is really the settlement price and therefor might look strange if it's outside the high/low.
Email received:

quote:
I was wondering if you could help me out with something that should be pretty basic, but I'm having a hard time with (I'm new to Futures trading so please be understanding). There's a particular strategy that I'm trying to papertrade that requires knowing the opening price of the regular session for the ER2. This morning for example, the opening price for the /ER2M5 on my chart at 9:30am EST showed 581.50 - however, according to this site: http://www.cme.com/trading/dta/del/delayed_quote.html?ProductSymbol=ER&ProductFoiType=FUT&ProductVenue=G&ProductType=idx, I believe it was 579.80. Since this is new for myself, I'm pretty certain I'm overlooking something....

All I'm looking for is where/when I can look for the official opening prices for the normal session (9:30am EST) of the e-minis (all would be nice) near the time of the opening.

The opening prices on CME.com reflect the 3:30 CST open.
quote:
Originally posted by proedge_joe

The opening prices on CME.com reflect the 3:30 CST open.



Thanks proedge - that also raises a good question - if calculating pivots like Woodie's pivots which open do you use? The 3:30 CST offical open for the day or the RTH open at 8:30 CST the following day.

I believe that the standard is to use the 8:30 CST open the following day.

I have just been asked where you can get the 8:30 CST opening price from. I believe that the CME provide this price delayed by 15 to 20 minutes on their web site: www.cme.com and if you're looking for YM then the CBOT provide the same stuff delayed by about the same amount of time on their web site www.cbot.com

If you want it live then you can subscribe to a charting service like eSignal or Trade Station which will cost you something.

If you want it live and free then get a broker feed. Some of these may give you free charts as well. I know that www.eminidirect.com give live quotes on all their markets so if you have an account with them then you'll get free live quotes. This should work.