Systematic silver futures trading question

V

Vortex

Hello!

I have a question for fellow systematic traders here who trade silver.
I have a dilemma with the way the exchange report their end-of-day price which is a settlement price which may be 1/10th of a cent, while "normal" trading occurs in 1/2 cent increments.
Hence, Open, High and Low are in 1/2 cents but the close is / may be in 1/10th of a cent.
So, OHL will always be xx5, xx0, etc, while closes might be xx7, xx3, xx1, etc!

Since my trading levels are derived from this closing price, it creates havoc with these projected levels. Also, when doing Panama canal adjustment for stiching back-data contracts, it creates the wrong increments for back-data.

Has anybody encountered this problem too? Any suggestions?

PS: I do know WHY they do it - something to do with the calendar spread, but it still does not solve my problem.

Thanks for any ideas!
 
Quote from Vortex:

Hello!

I have a question for fellow systematic traders here who trade silver.
I have a dilemma with the way the exchange report their end-of-day price which is a settlement price which may be 1/10th of a cent, while "normal" trading occurs in 1/2 cent increments.
Hence, Open, High and Low are in 1/2 cents but the close is / may be in 1/10th of a cent.
So, OHL will always be xx5, xx0, etc, while closes might be xx7, xx3, xx1, etc!

Since my trading levels are derived from this closing price, it creates havoc with these projected levels. Also, when doing Panama canal adjustment for stiching back-data contracts, it creates the wrong increments for back-data.

Has anybody encountered this problem too? Any suggestions?

PS: I do know WHY they do it - something to do with the calendar spread, but it still does not solve my problem.

Thanks for any ideas!
More...
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V-T Tex;
you may want to simply ''round down'' .For example $27 .777, $26.777-round it down.... Most of silver trends are down, except for the long term trend:D

Partial disclosure, most may have a position or interest in something they write about.And the 1 year Donchian channels are uptrending.[at least the bottom channels are uptrending/1 year/ candlechart],.......................................................................:cool:
 
Thank you, I am rounding it off to the nearest; I suppose the tiny cents does not really matter.

Thanks for the help as always!
 
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