DCLOSE() on futures (IB) repaints, beware !

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  • #250054 quote
    Wim
    Participant
    Junior

    Important: The following observations are only valid for futures with IB.

    Imagine a 30 minute chart of the DAX.

    Position your cursor on an arbitrary bar of the current day. Let an indicator show you the values of DCLOSE(1), DCLOSE(2) and DCLOSE(3). Now compare these values with the official end of day Settlements of yesterday, the day before yesterday and the day before the last one, as published by EUREX, https://www.eurex.com/ex-en/markets/idx/dax/Mini-DAX-Futures-139894.
    You will find DCLOSE(1) and DCLOSE(2) being identical to these official settlements. But not DCLOSE(3), this one will equal the PRT price at 22:00 of the corresponding day.
    Now repeat this observation tomorrow. You will, again, observe that DCLOSE(1) and DCLOSE(2) are identical to EUREX settlements of the corresponding days. And DCLOSE(3) will not! But that’s strange. Because this DCLOSE(3) is DCLOSE(2) from the start of this exercise, and at that time this DCLOSE() was identical to the EUREX settlement, but no longer unfortunately. That is what we call repainting.

    To be complete: DCLOSE(1) and DCLOSE(2) are identical to EUREX settlements when called on the current day. DCLOSE(3 and higher) are then identical to the 22:00 PRT price of their referred days.

    Well that’s ProBuilder, how about ProBacktest? Well, that’s simple, DCLOSE(1 and higher) are never identical to EUREX settlements, they are ALWAYS identical to the 22:00 PRT price of their referred days.
    This means that ProBuilder and ProBacktest differ on the current day and the day before, but show the same, “wrong”, values for the days further back in history.

    Given that Daily, Weekly and Monthly Pivots call DCLOSE(), these Pivots will also repaint! All right in ProBuilder for the current day and the day before, but repainted for all other days.

    If you have developed a manual trading strategy based on DCLOSE() and/or these Pivots, well sorry, the ProBacktest of the automated version of this strategy will have its signals at different times than your manual trading. What this means for ProOrder is not tested by me sofar.

    Please find attached the Indicator and the (dummy) Strategy I used for collecting the data that led to these observations.
    And for the die-hards a table with all the data I recorded, for the period 14 till 21 of august, on 2 consecutive days, 20 and 21 august. Green cells correspond with the EUREX settlements, orange-like ones correspond with 22:00 prices. The first block is for on chart prices and native PRT indicators, the second block for the equivalent ProBuilder results, and the third block for the equivalent ProBacktest results.

    #255187 quote
    Wim
    Participant
    Junior

    Given that nobody on this forum could confirm this problem with PRT/IB, I explained the repainting of the weekly Pivot Point to PRT Support in Octobre, quote follows:
    Hello,
    I have a problem with the native PRT indicator Pivot Points, more precisely the Weekly Pivot Point version of it. Every week it shows on Monday and Tuesday the same value, let us say A. The remainder of the week, Wednesday, Thursday and Friday, it shows another value, let us say B. In my opinion the Weekly Pivot should not change during the week. It should be A or B the whole week.
    You have to verify this phenomenon on live charts. The first occasion to verify this is coming Monday, Tuesday and Wednesday.
    If you check the chart on Wednesday, Thursday or Friday you will see the Weekly Pivot with value B for all of the week. This is what is called “repainting”.
    Further investigation learned me that on Monday and Tuesday the Previous Week Close (Friday) used for the Pivot calculation is equal to the value of the Close price communicated by Eurex (for DAX). But starting on Wednesday this Previous Week Close is replaced by the Friday 22:00 close price.
    Side problem: ProBacktest is always using the Friday 22:00 Close price for calculation through DCLOSE(). Meaning that your backtests will never be compatible with ProOrder trading on Mondays and Tuesdays!

    Today PRT’s answer was dropped in my inbox, confirming the repainting of DCLOSE and, as a result, the repainting of weekly pivot points (and other DCLOSE-based indicators). The answer promises that Version 13 will give you the choice, either follow all the time the settlement price or all the time the final close price. The answer doesn’t mention if this choice is given for ProOrder as well. Currently ProOrder always uses the final close price. The answer (translated from French into English by Deepl):

    SUMMARY
    For many European futures markets, on a daily and higher time frame, the closing price of the previous day’s candle corresponds to the Settlement Price (which is calculated shortly after the close of trading for the underlying index), and not to the price of the last trade of the day. This is how the platform works because the market bases its calculation of the percentage change for the current day on this Settlement Price.
    This means that price movements between the time of Settlement and the end of the day only appear in your intraday charts and will not be reflected in the Daily candlestick for D-1.
    The day after (or at the next session), the closing price of the D-2 candlestick — which was the Settlement Price — is replaced by the price of the last transaction of that day.
    On a weekly view, the Settlement Price is displayed as the closing price of the weekly candlestick at the beginning of the following week, then it is replaced by Friday’s last price, following the same pattern as the daily candlesticks.

    UPCOMING IMPROVEMENT
    Version 13 of ProRealTime, which will soon be available on your account, will allow you to choose whether to construct daily and higher timeframe candlesticks based on the Settlement Price or the last price.
    This will avoid the replacement of the settlement by the last price and allow you to construct your indicators based on unchanging data.

    Final remark: The above is only for PRT with broker IB.   Which doesn’t mean that Daily, Weekly and Monthly pivot points with IG are without problems, just other nasty problems than this one.

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DCLOSE() on futures (IB) repaints, beware !


ProBuilder: Indicators & Custom Tools

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Wim @wim Participant
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Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 08/25/2025
Status: Active
Attachments: 3 files
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