Support and Resistance Trading Forum

Re: Orange Juice
By:Erich (vendor, CTA)
Date: 2/9/2009, 11:18 pm
In Response To: Orange Juice (Alan C.)

Hi Alan,

Good question and I admit I don't have the answer (but I'm writing Gecko to find out). Ever since everything went over to ICE there's been a few hiccups here and there. I suspect that Gecko's using a different close or an "estimated" close. For instance, the ICE quote for the last few days has been at 2:44 pm but technically the market's supposed to finish trading at 2:45. So, according to ICE, I would assume that there wasn't a trade for the last minute of trading, but occasionally computers will "estimate" a closing price if there was no trade going into the close and in your example it looks as though they took the closest Bid/Ask to determine the price.

This isn't as unusual as you might think. It happens in option quotes all the time when you get a strike price that isn't traded for that day. This can happen with options that are far out of the money and therefore have little demand. In such an instance an estimate will be made as to what the strike price would have been had it traded that day by examining the values of the strike prices closest to the option in question.

But as I said, I'm not entirely sure, and I am finding out; however I think it's a computer filling in the closing price gap.

Aren't computers wonderful?

Erich

Responses To This Message

And the answer is...
Erich (vendor, CTA) -- 2/11/2009, 10:43 pm
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