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Date/Time: Thu, 27 Aug 2026 22:22:55 +0000
SR3Z24-CME historical intraday data ends 2025-01-03, 74 days before the contract
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| [2026-08-27 19:59:00] |
| User466063 - Posts: 1 |
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Summary Historical intraday data for SR3Z24-CME (CME Three-Month SOFR, Dec 2024) ends at 2025-01-03 21:59 UTC. That contract's final trading day was 2025-03-18. Approximately 49 trading days are absent from the end of the contract's life. Every other SR3 contract I hold — including one downloaded fresh today specifically as a control — is complete to its own final trading day under identical settings. This appears to be an archive gap specific to this one symbol rather than a configuration problem on my side. Data source: Historical Intraday Data Source = exchange data service (Denali / SC Exchange Data Service). Why 2025-03-18 is the correct end date This is the point most likely to be misread, so stating it explicitly: CME Three-Month SOFR futures (SR3) settle to daily SOFR compounded in arrears over the contract's reference quarter. For the Dec-2024 contract the reference quarter is 2024-12-18 → 2025-03-19. The settlement value does not exist until the quarter ends, so the contract trades until 2025-03-18 and cash-settles 2025-03-19. This differs from the Eurodollar convention (forward-looking, settles at the start of the referenced period), and several public sources incorrectly apply the Eurodollar rule to SR3 and state a December 2024 expiry. That is wrong, and my own data disproves it: SR3Z24 traded 1,234,975 contracts across 11 sessions AFTER 2024-12-17, including 276,609 on 2024-12-18 — the date the Eurodollar rule claims it had already cash-settled. Those sessions are present in the file you served me. So the feed itself demonstrates the contract was live past that date; it simply stops 10 weeks early. Evidence — all SR3 contracts currently on this machine symbol records first (UTC) last (UTC) expected last status SR3U24-CME 530,189 2021-06-11 18:59 2024-12-17 21:38 2024-12-17 OK SR3Z24-CME 578,233 2021-06-11 15:27 2025-01-03 21:59 2025-03-18 74 days short SR3H25-CME 540,524 2022-07-06 00:01 2025-06-17 20:59 2025-06-17 OK SR3M25-CME 539,794 2022-10-05 00:04 2025-09-16 20:56 2025-09-16 OK SR3U25-CME 536,050 2023-01-05 00:04 2025-12-16 21:44 2025-12-16 OK SR3Z25-CME 536,222 2023-04-07 00:31 2026-03-17 20:58 2026-03-17 OK SR3H26-CME 508,667 2023-07-06 00:01 2026-06-16 20:59 2026-06-16 OK The control that matters: SR3U24-CME had never been downloaded on this machine. I added it today, and it downloaded complete to its final trading day (2024-12-17). It is an expired contract, requested with the same settings, from the same service, minutes apart from an SR3Z24 re-download that came back short. So the service does serve expired-contract history in full — just not for SR3Z24. Steps already taken (please do not re-suggest these) Edit → Delete All Data and Redownload on an SR3Z24-CME chart. Performed with the file deleted from disk first. The re-downloaded file was byte-identical (SHA-256) to the previous copy in its tail — same 2025-01-03 21:59 end. Tried the process on multiple installations as well. A later re-request increase the intraday lookback and the scid added 31,467 records — all at the START of the file (first record moved 2022-04-07 → 2021-06-11). The end did not move at all. So the service will happily extend this symbol's history backwards; it returns nothing after 2025-01-03. Verified no third-party process was locking the file (checked with Sysinternals handle.exe, elevated). Also tested with all external processes stopped and Sierra Chart's data feed reconnected. Confirmed the symbol resolves correctly — SR3?##-CME symbol settings are stock (SC Data Symbol = SR3?##, SC Data Multiplier = 0.01, Historical Chart Symbol = SQ?##, Historical Intraday Data Source = exchange data service). A Continuous Futures Contract chart does not address this. I need the individual contract's own prices during its reference quarter in order to bootstrap a SOFR term structure — a continuous/back-adjusted series is a different quantity and is not usable for that purpose. Verification that the data you DO serve is correct So that this is not mistaken for a misunderstanding on my side: a SOFR future's final settlement price must equal 100 − (daily SOFR compounded in arrears over its reference quarter). I computed that independently from the New York Fed's published SOFR series (via FRED) and compared it to the final price in each of your files: contract file settle FRED compounded difference SR3U24 4.765% 4.766% 0.12 bp SR3H25 4.342% 4.342% 0.02 bp SR3M25 4.375% 4.376% 0.10 bp SR3U25 4.088% 4.087% 0.09 bp SR3Z25 3.688% 3.689% 0.17 bp SR3H26 3.635% 3.636% 0.14 bp All within a fraction of one tick (tick = 0.005 index points = 0.5 bp). The data quality is not in question — only the missing date range on SR3Z24. For completeness, SR3Z24's last available price (95.6675 on 2025-01-03, implying 4.333%) differs from the realized compounded rate for its quarter (4.366%) by 3.3 bp — exactly what a live, forward-looking price should look like ten weeks before settlement, and further confirmation the contract was actively trading when your data stops. Request how should we proceed with backfilling the missing data for SR3Z24-CME intraday for the following dates range of 2025-01-06 through 2025-03-18? Let me know how i can help Thanks in advance! |
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