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Post From: Incorrect Conclusion: Inaccurate historical settlement prices (not merged and backadjusted)

[2019-09-10 07:11:05] Link To Thread - Link To Post [Go To First Post]
David Sanchez - Posts: 2
Hi While extracting historical End of Day bar data from ZWZ19 (not merged and not backadjusted) I noticed that the settlement prices are not accurate. In attachment, you find Pictures where I compared the data extracted from Sierrachart in an excel file to the CME published Settlement prices. It seems clear that sierrachart uses settlement prices as "last" price, though not accurate according to the CME. For all dates I have checked there were a few cents missing or too much. I am using SC data services (picture in attachment) Can you fix this? I am downloading this data because I want to analyze historical forward curves in excel, so I need the historical settlement prices of each expired contract. Or is there a reason for those differences? If you need more information, please let me know. Sincerely, David Sanchez


Trade connection.png / V - Attached On 2019-09-10 07:09:32 UTC - Size: 18.67 KB - 194 views ZWZ19 comparison.png / V - Attached On 2019-09-10 07:09:37 UTC - Size: 72.63 KB - 214 views ZWZ19 comparison2.png / V - Attached On 2019-09-10 07:09:43 UTC - Size: 82.13 KB - 251 views