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Finding Commodity Futures Settlement Times and Interpreting Daily Prices

Article Quant Q&A · Author: Betelgeux
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Summary

The document discusses assigning intraday timestamps to daily commodity futures prices collected across several exchanges. Its central practical lesson is to distinguish a contract’s settlement time from the end of its trading session: those times can differ, so a daily close field should not automatically be treated as the settlement price or timestamp. The source of Bloomberg’s PX_LAST value depends on the user’s GFUT settings, which may return a last trade or a settlement price.

For ICE contracts, the answers point to a document listing designated settlement periods. For CME contracts, the answers distinguish preliminary settlement values from final values, which are posted later. The discussion does not provide a comprehensive schedule for every commodity or exchange, and it offers no equivalent source for Asian exchanges. Researchers should therefore verify the price type and contract-specific schedule before aligning daily data with intraday event features; the exact timestamp may not be available from the cited Bloomberg field information.

Key ideas

  • Daily price fields may represent a last trade or a settlement, depending on data settings.
  • A contract’s settlement time can differ from the close of its trading session.
  • ICE publishes designated settlement periods in a consolidated reference document.
  • CME settlement data can be preliminary before final values are posted.
  • The discussion leaves Asian exchange schedules and many contract-specific details unresolved.

Tags

FuturesCommoditiesMarket microstructure
Full text
# How to get commodity futures settlement timepoints?


# How to get commodity futures settlement timepoints?












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?

## Answer by user42108 (score 2, accepted)

https://quant.stackexchange.com/a/58866

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.

## Answer by JBerstein (score 0)

https://quant.stackexchange.com/a/58868

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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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.