Support Board
Date/Time: Sat, 23 Nov 2024 12:08:00 +0000
Post From: Last Traded Price for Historical Data
| [2013-06-29 20:12:10] |
| User38705 - Posts: 1 |
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Is it possible to get the last traded price instead of the settlement price for the data downloaded for continuous contracts through SC Historical Data service? I need the last traded price as quite often the settlement prices are decided hours before trading ends (e.g. EUREX settlement price is calculated at 1730 CET while the trading goes on till 2200). I have also noticed that continuous contract data has periods where volume is very low e.g. for PA# volume drops significantly towards the end of May & keeps on going down (there are quite a few other period like this earlier in the year). I have compared this data with daily bars from CQG & I don't see the drop in volume. Could this indicate that the continuous data has period when immediate expiry contract is not used? Thanks, Ben |