The problem was the use of Close[1] instead of DClose(1) which corresponds is the Settlement Price (Prix de Règlement) and can be different from Close[1].
Jerome, if you don’t mind me interfering …
So you are using DClose explicitly to solve your problem ? (I hope I followed sufficiently). Well, personally me does not see any relationship with a Settlement time *if* that is related anyway (I still like to believe you, but for other reasons, as I described). Thus :
There is no way in my mind that I would consider the Settlement of e.g. the DAX (and much more European stuff) to be leading to the closing of the last day. Thus, to me this is BS, never mind that e.g. Bloomberg et all officially use the profit (or loss) of such a Future – gained past 17:30 – in the next day’s “So how does Europe do today”. It just makes no sense. 22:00 does (to me).
This could be slightly different for NQ and such, because of Q figures reported after 22:00 – and before real closing (23:00). The working is the same as with DAX (the profit/loss after 22:00 counts for the next day) because because Q figures are a kind of “unreal” for the last trading day, I myself tend to deem that surrogate and I will look at what happens the next day (e.g. what Tesla loses at 12% in the period between 22:00 and 02:00 (but which contributes to Futures from 22:00 and from 00:00 to 02:00 and eventually from 10:00 to 15:30 as well) … may end up as -7% at 15:30.
If you can’t follow my reasoning – fine, because it is personal (trading “vision”). Put I think the point remains : Settlement time (and day) can hardly be related for real to Pivot Points in the sense of your thread.
That DClose may return 22:00 instead of 23:00 is something else.
And that DClose may return 17:30 instead of 22:00 (which I actually don’t believe”) makes it plain wrong to work with. But please remember, this is my personal vision.
Lastly, in any event it may change your mind on what’s right and what’s wrong to the sense of Close vs DClose, and it may make you think that the problem is not solved at all. By coincidence it could work out for the better. Last week. But not next week.
Btw, what about Expiration ? The price would change drastically. That too is surrogate, but in the mean time it technically happens (weighing in of future Interest for the coming 3 months).
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