Close price used for Pivot Points Calculation is not correct

Here below the Settlements in CME Group web site for the MNQH6 the previous Day (5th of March) :

As you can see, the Last price for the 5th of March is 25010,50 and the Settle price is 25049,50.


Here below the MNQH6 chart from CME Group: Close price is 25049,50

As you can see, they use the Settle price as the Close price.

Here below the chart from ATAS platform: Close price is 25010,50

As you can see, ATAS uses the Last price as the Close price, not the Settle price.


Consequently, the result of pivot points calculation is different.

Formula is PP = (H + L + C) / 3

So, with the ATAS Close value, PP = 25009,17

With the CME Group Close value, PP = 25022,17

Not the same.

And the PP value 25022,17 is the one to be considered, not 25009,17.

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Upvoters
Status

In review

Board

💡 Feature Request

Date

3 months ago

Author

Henrique

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