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I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple exchanges.

I have received a bunch of historical daily close price data (from Bloomberg) on commodities futures. Unfortunately it is a big mixture from different exchanges. (CBOT, COMEX, NYMEX, ICE Soft, Dalian, Shanghai, Zhengzhou, ICE London). As the data is daily (datestamped) and has close prices, I need to put this into an exact hh:mm timepoint to relate it to event based features data.

So my task/goal is to decide for every commodity close price, when exactly is that price (hh:mm granuality) "happening" on days, when does it show the price and investor state intraday.

For CME exchanges I was able to find this list: https://www.cmegroup.com/market-data/settlements/settlements-details.html

But still it is hard to decipher by commodity and exchange what is the timing, how are the days handled (Friday, Saturday, Sunday, Monday). And it seems to be even harder to get that info for the Asian exchanges.

Can you advise some good way to approach this? Are there any comprehensive data sources on the timings, daily settlement scheduling?

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  • $\begingroup$ If you have access to Bloomberg and you have the name of each commodity, you could look up the Close Time (for example ES1 Index DES) of each commodity one by one. Within the Bloomberg system the closing price for daily data is precisely defined, IMHO looking at Exchange web sites is not the best way to get at what you want. It is a Bloomberg issue. $\endgroup$ – noob2 Oct 22 '20 at 9:27
  • $\begingroup$ Thank You! Unfortunately I do not have access to the Terminal. This data was sent to me. I only have the Bloomberg symbols in it (22 symbols relevant), the date, the close price, open price, country, volume, open interest. But if there is not other way, I will ask for it from the ones who sent me the data. $\endgroup$ – Betelgeux Oct 22 '20 at 9:37
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For ICE, all the settlement times are in one document, which is here: https://www.theice.com/publicdocs/futures/Designated_Settlement_Periods_Volume_Thresholds.pdf

On your Bloomberg data, how do you know if you have closing or settlement prices? This is determined by the user's settings in GFUT --- you can choose either last trade or settlement to be returned by what BBG calls "PX_LAST".

re Noob2's suggestion, closing time != settlement time. E.g. CL settles ~1430 Eastern but closes for the day at 1700 Eastern.

EDIT: also worth noting that Bloomberg doesn't seem to make available data on settlement times. If you check [TICKER] FLDS, the only field I could find is the time at which the last settlement data was received, not the time of the actual settlement itself.

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  • $\begingroup$ Thank You! That is an interesting info. I only know, that the data has a "Close" column. I compared it (with Corn futures - "C 1 COMDTY") to yahoo finance data, and it is equal. Someone told me, that those close prices are actually settlement prices. I am not sure how the data was queried on Bloomberg, I was into believing that these are settlement prices, not the last trade. Especially these futures are traded all night. So the last price should be at 2400 central? $\endgroup$ – Betelgeux Oct 22 '20 at 12:52
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    $\begingroup$ "So the last price should be at 2400 central" --- no. The 'trading day' is not the same as the calendar day. Take CL: trading day is from 1800 Eastern to 1700 Eastern the following calendar day. The 'last price' will be at 1700 Eastern (or very close to that). $\endgroup$ – user42108 Oct 22 '20 at 12:55
  • $\begingroup$ Oh OK! Thank You! I was then misled, when someone said me, that all daily closing prices are actually settlement prices in case of futures. If these prices are PX_LAST, then does Bloomberg provide a timestamp for that closing time? It must be still highly varied based on commodity/exchange. $\endgroup$ – Betelgeux Oct 22 '20 at 13:02
  • $\begingroup$ Bloomberg provides closing times (simply enter the ticker then hit DES and trading hours are shown) but AFAIK does not provide settlement times. I suspect they have them, they just don't provide the info to Terminal clients (feel free to check FLDS, but I couldn't find anything and I spoke to 4 people on the helpdesk about this issue!). $\endgroup$ – user42108 Oct 22 '20 at 14:35
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    $\begingroup$ "all daily closing prices are actually settlement prices in case of futures" - this is not necessarily true. As previously, for Bloomberg, whether "px_last" shows last trade or settlement depends on your GFUT settings. From memory, it's also configurable by the user from CSI, which is one of the better EOD futures data vendors. Don't remember offhand how Reuters treats this. $\endgroup$ – user42108 Oct 22 '20 at 14:37
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For CME group, you might want to pay attention the methodology. There is pre-liminary and final numbers provided for settlement: The disclaimer on the data from the source is:

Disclaimer: Files are published periodically, initially as preliminary settlement prices, which are subject to change until final settlement prices are posted at approximately 6:00 p.m., CT)

So While you get a prelim earler; final is approximately at ~6:00 (CT)

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