CME Price Limit Guide - Trading Halted Levels

[tryitagainmf]

Just received this from my Futures Broker. While it is a CME Futures issue and not just for NinjaTrader, I suspect that most Futures Traders here on I-I are on the NT platform, so I post it to the NinjaTrader subgroup. Just FYI...

 

 

Hi Mick,

Due to Market Volatiity, we want you to know these levels. They are updated on this CME page daily.

CME Group U.S. equity index price limits (and corresponding CME and CBOT rules) are designed to coordinate with circuit breakers provisions as applied by the New York Stock Exchange (NYSE).

 

• 7%, 13%, and 20% price limits are applied to the futures fixing price and are effective from 8:30 a.m. CT – 3:00 p.m. CT. Mondays through Fridays.
  
• 5% up-and-down limits are effective 5:00 p.m. - 8:30 a.m. CT. Sundays through Fridays; and 3:00 p.m. - 4:00 p.m. CT, Mondays through Fridays. Between 3:00 p.m. - 4:00 p.m. the 5% price limit will not be allowed to breech the 20% daily limit.
  
• The fixing price is the volume weighted average price, VWAP, calculated during the 30 seconds of trading from 2:59:30 p.m. – 3:00:00 p.m. CT.
  

 

 

http://www.cmegroup.com/trading/equity-index/price-limit-guide.html?utm_source=hs_email&utm_medium=email&utm_content=25301307&_hsenc=p2ANqtz--suttdxhyzqqouqypmMNNkTnyjDdvqcIMvnSoLJibjRIZKZUyQ_EFU2F2VcJwjynCsN6YaxhClk6BscNyvrWD6fNKgoA&_hsmi=25301307

 

 

Cheers!

 

Mick