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» avoiding settlement "ticks" for futures
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| Author | Topic: avoiding settlement "ticks" for futures (4 messages, Page 1 of 1) |
 Lav2018 -Interested User- Posts: 10 Joined: Mar 15, 2018 |
Posted: Oct 31, 2018 01:46 AM
Msg. 1 of 4
I have seen other data providers send out "ticks" that give the settlement price for the future contract each day at closing; these ticks have a volume of 0. I do not want these ticks.
I only want to follow ticks that represent actual trades taking place on the exchange. What's the best way to achieve this? Would it be the Extended Trade field? On this same topic, in dealing with @ES# can you tell me the difference between the Extended Trade fields and Last fields? I understand their difference in terms of stocks, but not futures. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Oct 31, 2018 05:48 AM
Msg. 2 of 4
In the streaming Level1 feed, the "Message Contents" field will contain an 's' when settlements are sent. For all trades, this field will contain a 'C', 'E', or 'O'.
The same logic is true for Trades in historical data retrieval but the name of the field is "Basis for Last" in tick data requests (and settlements are marked with an 'S' instead of 's'. The difference between the series of trade identification fields for "Last" and "Extended Trade" is that extended trades also include some FormT trades. As a result, you are correct that for Futures, those fields will contain the same values. Edited by DTN_Steve_S on Nov 1, 2018 at 08:56 AM |
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Lav2018 -Interested User- Posts: 10 Joined: Mar 15, 2018 |
Posted: Oct 31, 2018 03:26 PM
Msg. 3 of 4
Thanks, Steve.
Consider the following situation: 15:14:59 @ES# trades for 2500.00 15:15:02 @ES# settles for 2500.25 15:15:05 I start a trades-only watch on @ES# with command "t[@ES#]" I will then immediately receive Summary Message at 15:15:05. In that Summary Message, what will the values of the following fields be: Extended Trade Last Most Recent Trade Message Contents |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Nov 1, 2018 08:54 AM
Msg. 4 of 4
In your example, All three sets of fields (Last, Extended Trade, and Most Recent Trade) will reflect the last trade price of 2500.00.
We have separate fields (Settle and Settlement Date) to display the settle information in streaming data. The settlement price is copied to the Close field but never the trade fields. Message Contents on a summary message isn't very useful since summary messages populate all fields and the purpose of Message Contents is to tell you what was populated in the message. Edited by DTN_Steve_S on Nov 1, 2018 at 08:55 AM |
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