Plotting CME Equity Futures Price Limits from a Reference Price

Summary

This chart indicator estimates CME equity index futures price-limit levels from a reference price associated with the prior session. It plots overnight boundaries at five percent above and below that reference and, during the session, optional downside levels at seven, thirteen, and twenty percent below it. Users can enter a manual reference price, restrict the chart to the latest limits, and toggle labels or the downside levels.

The author says CME uses the final thirty seconds of a session to determine its reference price, while this script approximates that value with the open of the last session candle for simplicity. The description advises checking the current reference price for accuracy and acknowledges unimplemented nuances later in the New York session. Its time handling is intended for CST, EST, or UTC charts, but the document provides no validation across instruments, sessions, or daylight-saving changes, and these plotted estimates are not a complete representation of exchange rules.

Key ideas

• The plotted boundaries are calculated as percentages of a session reference price.
• The indicator shows overnight limits five percent above and below the reference price.
• It can display session downside levels at seven, thirteen, and twenty percent below the reference.
• A manual price input can replace the script's automatically selected reference.
• The author approximates the exchange reference with a candle open and notes session nuances are omitted.

Tags

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