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Date/Time: Fri, 29 Mar 2024 00:06:48 +0000



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

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[2019-09-10 07:11:05]
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
imageTrade connection.png / V - Attached On 2019-09-10 07:09:32 UTC - Size: 18.67 KB - 193 views
imageZWZ19 comparison.png / V - Attached On 2019-09-10 07:09:37 UTC - Size: 72.63 KB - 212 views
imageZWZ19 comparison2.png / V - Attached On 2019-09-10 07:09:43 UTC - Size: 82.13 KB - 248 views
[2019-09-10 07:35:54]
Sierra Chart Engineering - Posts: 104368
We did check the settlement prices for ZWZ19 for 2019-09-09, 2019-09-06 and there is an exact match to the CME settlements but you have to understand that the fractional part they show is in eighths and has to be converted to a decimal.

There simply is no problem here.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing

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