How to get the Settlement Price if calculation on each tick

[kelefei]

Hi,

I know that when the Calculation is set to on Bar Close, I can get the settlement from Daily Bar dataseries.

However, if I set the Calculation to on each tick, I can't use the same way to get the settlement price, just give me the last day close. So how can I get what I want?

Thanks.

[kelefei]

I am using NT8 and using continuum as the data provider, thanks.

[NinjaTrader_ZacharyG]

Hello kelefei,

Thank you for writing in.

With Calculate.OnEachTick, Close[0] would be referring to the price of the currently building bar.

If you wish to obtain the price from the day before, you will want to use Close[1].

[kelefei]

Hi, ZacharyG,

I do know that I should use close[1] if I am in tick mode, but I think this is not the issue on that.

May be I use the chart to show the problem. As I found that, the chart with "tick replay" checked and without checked, they give me the results are not the same.

I have attached the example, the pic1 is checked "tick replay" and the pic2 is not. You can see the daily close on 24/8 is not the same.

Usually the daily bar close without "tick replay" gives me the correct settlement price of the market.

So how can my strategy using "calc on each tick mode" can retrieve the correct bar close of daily bar close of "calc on bar close mode"? or how can my strategy access the correct settlement price?

Thanks.

[NinjaTrader_ZacharyG]

Hello kelefei,

Thank you for providing the additional information.

The settlement price comes directly from the data provider itself and is not generated by NinjaTrader. When using tick replay on a daily chart, each bar's close price would be the actual close price rather than the settlement price. You wouldn't be able to pull the settlement price when using tick replay. You'll need to disable tick replay to obtain the settlement price on those daily bars.

There is a Market Analyzer column called Settlement that does show the settlement price of the previous session, however, the data provider itself will need to flag the incoming market data type as settlement. Unfortunately, Continuum does not do this.

The code for this column is viewable in the NinjaScript Editor.

Please, let us know if we may be of further assistance.