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# A question about Daily Notes

Hello -- I'm confounded by regularly appearing discrepancies between the daily metrics my chart displays, and those I find on the Daily Notes page. To wit:

1) What is the "proper" close for RTH ES e-mini? 3:00 p.m. (Chicago), or 3:15 p.m.? If 3:15 p.m., then Monday's close was 1545.75, yes? If it's 3:00 p.m., then the close is 1456. Is the 3:00 close the "reference standard" in terms of gauging gaps, etc.?

2) The Daily Notes pages lists 1553 as Monday's high. I see nothing higher on my chart than a poke at 1551 just after the RTH open. Am I missing something here?

3) You list the open as 1547. I show 1550.75. I'm using the open at 8:30 (Chicago). Are you using a different open?

Sorry to be so persnickety. The power of pivots, etc., comes into play, I believe, when as many people as possible are watching the same levels. Hence I'm sure you can understand my interest in making sure I've got the same lines as everyone else.

The figures on the Daily Notes pages are mostly from the all sessions data. So the open for the ES, for example, will be 16:30 the evening before and the close will be 16:15 on that day. The highs and lows may be formed "overnight" and that is probably the discrepency.

Let me know if that resolves the differences that you see.

Ok, now, two questions.

1) I show the close at 16:15 (NY time) as 1545.75. You have 1546. Minor point, of course. How are you calculating closes? Is it the last tick of the session? I show the last tick (on a one tick chart) as 1545.75. Again, not trying to be argumentative here -- just trying to determine whether or not I'm looking at these things correctly.

2) If one uses overnight highs and lows in one's calculations of pivots, R1, R2, etc, one gets a different result from the use of only RTH metrics. Is this the generally "preferred" method?

Thanks for your help with this. Ever since my bout of confusion over a "phantom gap" TradeStation's continuous contract placed on my chart, I've started looking at EVERYTHING!!!!
The difference that you see in point (1) is the difference between the settlement price and the last traded price. I've asked the exchanges and tried to discover how the settlement price is calculated but it is still a mystery to me. Suffice to say that the settlement price can even be outside the high and low which obviously makes no sense at all.

The preferred method of using the support and resistance lines depends on many factors which are trader independent. For example, two traders could have very different results using the exact same levels but using different stop sizes. Some traders may filter out levels depending on other criteria such as a cluster of support lines etc.
This is quite interesting, and a reminder not to take any particular data point -- no matter how seemingly "objective" -- as anything but an interpretation of reality, of "seeing through a glass, darkly".

Here we have something has seemingly straightforward as the close, and yet...not so straightforward. The solution seems to be to regard any one level -- such as a close or a pivot -- as residing in a "zone" of a few minimum price increments, wouldn't you agree?
I agree poster, and I also think that the "width" of the zone is a function of the type of trading that you're doing. If you're scalping, then there isn't really a zone or a zone is one line at one price. If you're day trading for 2 to 5 points then your stops are going to be small as well and so your zone might widen to 2 to 4 ticks. If you're day trading for bigger targets or swing trading then your zone may widen further.

One of the frustrating aspects of trading is when the price moves outside your zone by one tick, stops you out and then reverses back to what would have been a very profitable trade. But then you have to remember the other trades that achieved their targets to the tick and not beyond.
By the way, though, for the sake of convention, which is considered the "official" closing price -- the last traded price? or the settlement price?

I show the last traded price on Friday (using a 1 tick chart of ESU07 on TradeStation) as 1520.50, which is the same listed on the Daily Notes pages. So I assume that means Daily Notes uses the last traded price? Or, if not, were the settlement and last traded prices one and the same in this instance?

Finally, where does one go to find the "settlement price"?

Thanks so much for your patience with these questions!
The settlement price and the last traded price can sometimes be the same value but not always and I don't know the answer to your question "which one is the closing price?" If I were to guess I'd say the settlement price was the closing price.

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

SEP07  1535.50  1536.00   1513.50   1520.50  1520.50   -1525 1680K  1535.75 919075 569497
DEC07  1542.00  1548.50B  1527.00A  1533.50B 1533.50   -1550   772  1549.00    882    846
MAR08     ----     ----      ----      ----     ----    UNCH        1562.00
JUN08     ----     ----      ----      ----     ----    UNCH        1575.50
SEP08     ----     ----      ----      ----     ----    UNCH        1589.00
TOTAL                                                       EST. VOL      VOL  OPEN INT.
TOTAL                                                                 1919957    1570343```

You can see that in this case the LAST and the SETT were the same value but check this page every day and you will see that this is not always the case.
This might help (from the same page quoted above):
quote:
Settlement prices for the E-mini S&P 500 product may differ slightly from the "true" settlement price displayed on CME's Daily Bulletin. These slight variances in settlements are the result of rounding due to differences in the minimum tick sizes between the E-mini S&P 500 contract (.25 increments) and the full-sized S&P 500 contract (.10 increments). Additionally, the settlement price displayed on the Daily Bulletin matches that of the full-sized S&P 500 contract for purposes of marking-to-market, as the contracts are fungible, on a 5:1 basis.

Interesting. Thanks so much for sharing this.