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US Crude - validating price data?


Mack247

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Hi, I'm wondering if anybody can help me with this. Last night had a stop in at 1490 on US Crude. At midnight in the following 5 min interval the IG price opened at 1449, momentarily spiked to 1491 and closed my position, then closed the interval at 1457. Price now 1230. Woke up expecting to see a profit, yet stopped out at a loss. Have tried to find any evidence elsewhere of this spike, but I do not believe it is showing anywhere else. IG show the same spike on the JUN/JUL futures contracts. How can I go about validating this? I expect these prices will always track the underlying positions without any manipulation, but it's difficult to see it in this case. Appreciate any help. Thanks.

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Hi, a couple of problems, the spot market underlying that the spot tracks is derived from 2 futures contracts, but commentating agencies like Tradingview and Marketwatch will just use the front futures contract exchange price to give a spot price so it won't be the same The reason for the difference is that Tradingview and Marketwatch don't actually have to fill orders but brokers do. For FX prices Tradingview use the broker Oanda's prices and these will be more inline with IG.

Another problem is brokers sometimes need to reach further to get prices from liquidity providers to fill orders especially out of normal hours. Ultimately a broker's prices are what they can get.

I was just looking at another broker's chart FXPro who use a similar model as IG, it looks that just after midnight where IG lists around 1490 FXPro lists 1548.

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7 minutes ago, Mack247 said:

Thanks. But I think the spot price IG use is based on the nearest two futures, and they show these spikes on both of those futures too.

as I've noted elsewhere I've seen this written as both using the front and next (back) contract and as here " the 2 most liquid futures contracts".

image.png.30b10b0cbac1141b5759251f0d0f559a.png

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Looking at the price history for the CME CL future which I think is the futures contract that is used by IG, between midnight and 01h45, the June contract (May expiry) moved from ~11.10 to ~11.40. Over the same period the July contract (expiry June) traded from ~18.00 to $18.41.

So there was movement in the futures market, but you will have to calculate what that would have implied for the movement of the DFB spreadbet.

As @Caseynotes states and you are aware, the price is an interpolation of 2 contracts. 

At midnight your stop was about $0.40 from the price in a market which currently has a standard deviation on hourly charts of ~$2.00, or to say it differently your stop was 3.5% from the price in a market moving 20% a day. You're going to get stopped out by simple market noise a LOT if you use stops in the above manner.

Ian

 

 

 

Edited by Ian_944
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