Hi, I am looking at CL and trying to figure out trading halt regulations for the symbol.. Looking at CME website, under daily price limits, crude oil i can see that Reference price for CLM0 is 1157 and dynamic circuit breaker variant is 174.0 How can i use this to calculate opssible trading stops during the day ? and what does dynamic circuit breaker "variant " means ? How does CL work, my main concern is to not be able to be stuck in contracts over night .. as i understand cl could be halted for the rest of the day until next day.. How do i figure out at what level this will happen at during the trading day ? Any help is appreciated Daniel
There is no upward limit on CL. The only downward limit is 0.01 You can see it here (High/Low Limit) https://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude.html
Check this: https://www.cmegroup.com/education/demos-and-tutorials/understanding-velocity-logic.html It's too complicated to figure it out and must be programmed into your platform. Because it's dynamic, it will be difficult to keep track of it without getting it programmed. Also they implement multiple safeguards and it all depends on the instrument/product you are looking at. The normal circuit breaks are always calculated from the previous day settlement/closing price. The Dynamic circuit breakers are calculated dynamically by looking at the previous (Rolling) 60-mins period. What triggers temporary halts is the velocity logic which is explained in the link I shared.
It's configurable. They will change it if needed & remove the lower limit effectively allowing the contract to trade in the negative prices.
Hi Sekiyo, many thanks for feedback... somehow there is circuit breakers also up, as i understand it there is temporary halts for 2 minutes, i believe this happened today ? so this 0,01 downward limit set to 0.01... how should one calculate using this, 0,01 from what price ? and 0.01 from for example price 13.00, price halt down at 12.99.. this cant be correct? i am sure i misunderstand something here.. thanks again
I like your posts. Factual, to the point. Bravo. Also, buried deep in the documents is the fact that after the 4th halt in a session no more circuit breakers are applied for the rest of the session. This explains why on the 20th April, May contracts were not halted anymore after they dipped under 0.9 dollars or so. Also the percent variation to prev day fixing has been increased to 13% from previously 7% some days ago. In any way it's a pretty messy way to apply circuit breakers imho.
@narafa Thank you, very kind of you .. Yes its looks rather complex... i am trying to figure out if there is levels that i can code in safety procedures to avoid trades in order not to be stuck in halts.. What i am most worried about is halt for the day, i was under the impression that CL contract could be halted / paused until next trading day... but looking at the video and reading the spec, i cant figure out if there is a point that contract is halted and no trading will be assumed until next day... all i can see is temporary halts, for 5-20 seconds or 2 minutes, and as far as i can see, this can only happen 4 times during the trading session, after this no more halts possible and as far as i can see, there is no halt of contract as i though for the rest of day... Am i correct in this assumption ? i am very much unsure that i am though
I believe yes, there is nothing (As far as I know) saying that halting for the rest of the day is possible. Only temporary halts as you mentioned. I mean heck they allowed it to trade negative and it went all the way to -$40, do you think they will shut it down for the day? I don't think so.
Thanks. I didn't notice that it's only 4 halts in a session and then it's wild wild west. Thanks for sharing this, really useful.