Futures settlement price vs close: which one your daily bar uses

Futures settlement price vs close: what is the difference?

Futures settlement price vs close: the settlement price is the exchange's official daily price, set by a published method from trading in a short closing window; the close is only the last trade of the session. A daily bar can carry either one, so a backtest must know which price its bars hold before it reads signals or P&L.

The settlement price (期貨結算價) is the number the exchange publishes after each session and the clearing house uses to move cash between accounts. The close is the price of the final trade before the session ends. On most days they sit a few ticks apart; on a thin day they can sit further apart, because the settlement is a calculation and the last trade is one print. A backtest replays rules on old prices, which is what backtesting in trading means, so it inherits whatever price the daily bar holds without knowing which one that is.

How is the futures settlement price calculated?

Exchanges build the daily settlement from trading in a short window at the end of the session, not from the single last print. The common method is a volume-weighted average of the trades in that window; when trades are thin, the exchange uses the midpoint of the bid and ask instead, or prices the far months from their spread to the active month. The exact window and method are published on the exchange's contract page, and exchanges change them from time to time, so read the current rule for your market there.

The final settlement price (最後結算價) is a different number for a different day. The final settlement price is the value used to close out every open contract at expiry, and it comes from the underlying index, not from futures trades. For TAIEX futures, the exchange publishes it from the index over the last 30 minutes of the final settlement day; the free TAIEX futures settlement dates tool lists those days, and TAIEX futures settlement day explained covers how the final price is set.

Why is settlement used for margin and mark-to-market?

The clearing house moves cash between accounts every day on the settlement price, so an open position's daily gain or loss and any margin call follow settlement, not the last print. Mark-to-market is the daily revaluation of every open contract at the settlement price, with the difference from the previous day paid in cash. A single last trade could be pushed by one small order; an average over a window is harder to move, which is why the exchange uses it to settle money.

How much difference does it make for an end-of-day strategy?

For an end-of-day strategy the fill price and the bookkeeping price are separate events, and the gap between them is usually a few ticks that shifts the daily equity curve but not the closed-trade result. A daily-bar rule reads the bar close as its signal and fills at a traded price; the statement marks the open position at settlement that evening. Closed-trade profit comes only from fills, so settlement changes the shape of the open-equity path and the drawdown you see day to day, not the profit of a finished trade. The NQ tick is 0.25 points worth $5.00, so a two-tick gap is $10 per contract per day; the free futures contract calculator converts the gap for other contracts. AlphaPrime (Valynox) fills every daily-bar order at the next bar in its backtesting, with commission and slippage charged in each evaluation, so the fill side of this gap is already in the result; the settlement side belongs to the statement.

The run below shows what a daily-bar strategy looks like when nearly every day ends with an open position. It tested NQ daily bars from 2019-01-02 to 2025-06-30, long and short, one contract, with a Candlesticks rule as the only entry and exit, no stop, target or filter. That is a stand-in rule built from standard indicators, not the settlement question itself. The candidate is the one the search kept out of 1,024 it tried, for its return against its drawdown; picking the kept one after the fact flatters it, and nothing here says the rule earned this money or that a reader can expect it.

With 93.88% time in market, the position is marked at settlement on almost every evening of the period, and the daily open-equity path a broker statement would show differs by a few ticks a day from the close-based path a chart shows. If those ticks matter to your rule, you are really trading inside the closing window, and daily bars cannot show it; high frequency data backtesting and tick data backtesting for futures explain what finer bars add.

How do you check which price your data vendor provides?

Compare your daily bar close with the exchange's published settlement for several dates, find out whether the vendor supplies a separate settlement field, and set the backtest's session and fill price to match before trusting any daily-bar result. Vendors deliver the daily close in three ways, and the file rarely says which.

1. Pick five to ten dates, including one quiet day and one volatile day.
2. Write down the exchange's settlement for each date from its daily bulletin or settlement page.
3. Write your bar's close next to it. Matching every time means the close is the settlement; differing by a few ticks means it is the last trade.
4. Look for a separate settlement field in the vendor's documentation or file columns.
5. Set the backtest to match: fill at the last trade or the next open, and mark open positions at settlement where the field exists.

Stocks and ETFs have no daily settlement price; their official close is the exchange's closing price, so the question does not arise there, as the guide to backtesting Taiwan stocks and ETFs shows. For futures, do the five-date check now: open your daily file, write each close beside the exchange's settlement, and set the fill price in your backtest to whatever the bar turns out to hold.