Support Board
Date/Time: Tue, 04 Nov 2025 12:56:11 +0000
[User Discussion] - CME fixing price study
View Count: 885
| [2020-09-30 20:09:23] |
| golding - Posts: 18 |
|
Any suggestions for the easiest way to get the daily fixing price (see below, from CME group), other than implementing thru time&sales for this period? The fixing price is the volume weighted average price, VWAP, calculated during the 30 seconds of trading from 2:59:30 p.m. – 3:00:00 p.m. CT. View Equity Index Fixing Prices page From CMEgroup, https://www.cmegroup.com/trading/price-limits.html#equityIndex |
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