Daily EOD Settlement Price and MOC Buyside/sell side Imbalance marker

Daily End of Day Futures settlement price and Buyside/sellside imbalance is an important data point for traders (CME Exchange). Currently, this information is not available on ATAS.

Below is relevant information

What Is the Difference in Settlement and Closing Price? (zacks.com)

Regarding EOD settlement price, ATAS programmers can check if the extension of VWAP to next date in current VWAP indicator does the job. Here is some additional information

Settlement price - Support Board - Sierra Chart

Now on MOC Imbalance data -

This data is daily published by the exchange and ATAS can direct pull it as indicator. Might be part of some datafeeds as well.

Please authenticate to join the conversation.

Upvoters
Status

In review

Board

💡 Feature Request

Date

Over 2 years ago

Author

Prashant Jain

Subscribe to post

Get notified by email when there are changes.