Big Mike's Trading Forum
 

Go Back   Big Mike's Trading Forum

> Trading Forums > Traders Hideout


Notices
     

Maximum Daily Price Fluctuation reached - historical statistic
Started:February 18th, 2012 (06:01 AM) by MaxPayne Views / Replies:616 / 8
Last Reply:February 21st, 2012 (04:30 AM) Attachments:1

Welcome to Big Mike's Trading Forum.

Welcome, Guest!

This forum was established to help traders by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

BMT is fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

Reply
 
Thread Tools Search this Thread

Maximum Daily Price Fluctuation reached - historical statistic

Old February 18th, 2012, 06:01 AM   #1 (permalink)
Trading Apprentice
Warsaw, Poland
 
Trading Experience: Beginner
Platform: NT
Favorite Instrument: EUR/USD
 
Posts: 3 since Feb 2012
Thanks: 2 given, 0 received

Maximum Daily Price Fluctuation reached - historical statistic

Hi,
I need some information where can I find historical data about Maximum Daily Price Fluctuation reached by contracts (CL, ES, GC, NG etc . I want to know if that kind of situation occures and how often that happens. Is there any database with this information for all instruments/contracts ?

When daily trading limits have been reached, it is said to be a "locked market", and trading will halt for any trades that break the threshold or trading will close for that particular security. Is there any data on the occurrence of this situation for the individual instruments / contracts?

Regards

Reply With Quote
     

Old February 18th, 2012, 06:01 AM   #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

     

Old February 18th, 2012, 06:21 PM   #3 (permalink)
Administrator: 'da Big Dawg
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Instrument: SP500, Stocks
 
Big Mike's Avatar
 
Posts: 31,132 since Jun 2009
Thanks: 20,731 given, 38,095 received



MaxPayne View Post
Hi,
I need some information where can I find historical data about Maximum Daily Price Fluctuation reached by contracts (CL, ES, GC, NG etc . I want to know if that kind of situation occures and how often that happens. Is there any database with this information for all instruments/contracts ?

When daily trading limits have been reached, it is said to be a "locked market", and trading will halt for any trades that break the threshold or trading will close for that particular security. Is there any data on the occurrence of this situation for the individual instruments / contracts?

Regards

You can calculate the daily range by using OHLC bars. Use your data feed to download several years of historical data, then create an indicator to do average daily range, or use the average true range indicator.

As for locked market, the cme website has this information for each contract.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
     
The following user says Thank You to Big Mike for this post:
     

Old February 19th, 2012, 03:54 AM   #4 (permalink)
Trading Apprentice
Warsaw, Poland
 
Trading Experience: Beginner
Platform: NT
Favorite Instrument: EUR/USD
 
Posts: 3 since Feb 2012
Thanks: 2 given, 0 received


Big Mike View Post
As for locked market, the cme website has this information for each contract.
Mike

Thanks for your answer.
Do you know where is it on cme website ? I was looking for it couple of times but could't find this data.

Reply With Quote
     

Old February 19th, 2012, 01:06 PM   #5 (permalink)
Elite Member
San Marcos, CA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Instrument: 6E, ES
 
Posts: 55 since Nov 2010
Thanks: 118 given, 32 received

Example of CL Contact Limits


MaxPayne View Post
Thanks for your answer.
Do you know where is it on cme website ? I was looking for it couple of times but could't find this data.

Here is the information on the CL contract. The other contracts will have similar information, although I did not see any limits on GC.

Attached Thumbnails
Maximum Daily Price Fluctuation reached - historical statistic-cl-contract-limits.png  
Reply With Quote
     
The following user says Thank You to ddnut for this post:
     

Old February 19th, 2012, 03:55 PM   #6 (permalink)
Trading Apprentice
Warsaw, Poland
 
Trading Experience: Beginner
Platform: NT
Favorite Instrument: EUR/USD
 
Posts: 3 since Feb 2012
Thanks: 2 given, 0 received


ddnut View Post
Here is the information on the CL contract. The other contracts will have similar information, although I did not see any limits on GC.

Thanks, but what I'm looking for is data which shows that this occured in the past and how many times / how often it happened for each contract.

The question is how many times in the past, the maximum fluctuation of prices was reached for each contract and the market was locked for some time because of that?
Are there any statistics showing this situation?


Last edited by MaxPayne; February 19th, 2012 at 04:02 PM.
Reply With Quote
     

Old February 21st, 2012, 02:44 AM   #7 (permalink)
Administrator: 'da Big Dawg
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Instrument: SP500, Stocks
 
Big Mike's Avatar
 
Posts: 31,132 since Jun 2009
Thanks: 20,731 given, 38,095 received


MaxPayne View Post
Thanks, but what I'm looking for is data which shows that this occured in the past and how many times / how often it happened for each contract.

The question is how many times in the past, the maximum fluctuation of prices was reached for each contract and the market was locked for some time because of that?
Are there any statistics showing this situation?

You will need to calculate these yourself.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
     

Old February 21st, 2012, 04:26 AM   #8 (permalink)
Elite Member
San Diego, CA USA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Instrument: ES
 
GridKing's Avatar
 
Posts: 3,649 since May 2011
Thanks: 588 given, 859 received

I've seen lock limit on ES , don't remember when , some time in the overnight during crises , I think due to rules and times you will probably find that it's occurred more likely overnight , because after a certain time the rules change and they don't like to end the game, just take money --- it just locked up for a few seconds maybe 20 seconds I'd guess and then resumed in the other direction....

I think during flash crash they missed lock limit by a fraction of a point if I remember correctly

so i think I've seen once in the last 6 years or so.... only in ES, and grains of course which close for the day often as far as I remember



MaxPayne View Post
Hi,
I need some information where can I find historical data about Maximum Daily Price Fluctuation reached by contracts (CL, ES, GC, NG etc . I want to know if that kind of situation occures and how often that happens. Is there any database with this information for all instruments/contracts ?

When daily trading limits have been reached, it is said to be a "locked market", and trading will halt for any trades that break the threshold or trading will close for that particular security. Is there any data on the occurrence of this situation for the individual instruments / contracts?

Regards


"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
Reply With Quote
     

Old February 21st, 2012, 04:30 AM   #9 (permalink)
Elite Member
San Diego, CA USA
 
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Instrument: ES
 
GridKing's Avatar
 
Posts: 3,649 since May 2011
Thanks: 588 given, 859 received

01 21 2008 I believe LLD It might have locked till morning and I am remembering another time where it came close but didn't lock up, not sure, it's been a while

"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
Reply With Quote
     

Reply



Tags
ai, bars, big mike, change, cl, close, cme, contracts, crash, create, daily, daily range, data, data feed, database, day, direction, dow, es, feed, gc, grains, historical, historical data, indicator, indicators, instruments, limit, load, market, market_replay, ng, price, question, range, rules, statistics, time, trades, trading
     

Big Mike's Trading Forum > Trading Forums > Traders Hideout > Maximum Daily Price Fluctuation reached - historical statistic

Thread Tools Search this Thread
Search this Thread:

Advanced Search


Similar Threads
Thread Thread Starter Forum Replies Last Post
Obama Says Deal Has Been Reached to End Debt Crisis Quick Summary News and Current Events 3 July 31st, 2011 09:48 PM
Pausing a strategy when max draw down is reached protrader007 NinjaTrader Programming 3 May 29th, 2011 08:27 PM
Daily maximum target for Multiple trades scartree NinjaTrader Programming 2 December 21st, 2010 07:37 AM
Statistic to the rescue trendisyourfriend The Elite Circle 6 September 22nd, 2010 10:41 AM


All times are GMT -4. The time now is 06:46 AM.

Powered by vBulletin®
Copyright ©2000 - 2014, Jelsoft Enterprises Ltd.
SEO by vBSEO ©2011, Crawlability, Inc.
Copyright © 2014 by Big Mike Trading. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts

Page generated 2014-04-20 in 0.14 seconds with 20 queries on atlantis via your IP 54.80.12.147