How can I reference the days settlement price instead of the days closing price for /ES

The Pivot Playa

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I built an indicator to plot daily pivots the way I do manually. I use the settlement price instead of the days closing price and need a way to reference the prior days settlement price.

The only place on TOS that mentions the settlement price is in the futures chart options which allows you to base the daily bars close on the settlement price instead of the closing price.

The CME’s website says the settlement price for ES is calculated as VWAP during 12:59:30 - 13:00:00 PT. Tried using that information but am unsure how to reference the vwap of that time frame.

Also the CME post the settlement price daily on their website so a way to reference that could work.

Any help is much appreciated, I really tried to figure this out o
 
Solution
Good question. I have never had to reference the change in price. Are you saying that throughout the day, the PercentChg indicator for the /ES shows a change from the previous day 4:00PM CT close? Throughout the active trading session, the TOS active console and charts shows the percent change from the settlement on futures.
The settlement price from one day is what is, in fact, used to calculate the price change for the next day on TOS. For example, at this moment, on TOS, the price for the /ES is 4536.25 and the change is +1.00, checking the settlement price at the CME, the settlement is 4535.25. As you mentioned, the CME uses a method to calculate the settlement that involves prices from an hour before the actual 4:00PM CT close. It does not use the "last" price of the day at 4:00PM CT. I would not recommend trying to calculate that like CME does as there is an easy way to do so.

If you want to reference the settlement price in a script, it would simply be the price minus the change.
 
Awesome that is a great hint. How do you reference the change in thinkscript though? The closest thing I can find is the PercentChg indicator which uses the close price, not the settlement.
 
Good question. I have never had to reference the change in price. Are you saying that throughout the day, the PercentChg indicator for the /ES shows a change from the previous day 4:00PM CT close? Throughout the active trading session, the TOS active console and charts shows the percent change from the settlement on futures.
 
Last edited:
Solution
@Gary I was also trying to get an answer on this. I don't believe there is a working solution to reference it on an intraday chart. It only seems to reference it on a daily chart after turning on Daily Close: Settlement in the settings. The best solution I was able to come up with was create a 2nd flex chart & minimize it to the max with the daily chart on top showing my chartlabels referencing it while having my intraday chart showing on the bottom.

if there is a solution hopefully someone will share. Best of luck Gary!
 

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