Maximum Daily Price Fluctuation reached - historical statistic
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?
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.
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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.
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
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