I would like to ask a question with regard to S&P data, i have to admit i am quite new to futures trading, however i have done some comparison between daily data from different providers, CQG and Kinetick, as well as daily quotation from CME
Could you please explain why there is such differences in the last trading day 20th of March?
i have attached three print screens - data from Kinetick, CQG and data from CMEgroup.com
I am quite confused since data from CQG and Kinetick are way too different especially low price.
Could anybody here please explain the reason for such differences?
I thought data should be very similar to those on CME, regardless data provider. Comparing CQG with Kinetick and CME, the low price of last candle is way too different... is here any reason for that or it is just due to quality of data feed from provider?
Using 1440 min chart will give you the exact OHLC but gives a different volume, because the volume build with the sum of intraday data it's not the same as the eod data since the Daily Volume number includes trades that are not included within Intraday charts.
@FILIP88: Your screenshot of the CME Group website shows a snapshot a 17:29:30, which is in the middle of the day. It does not even show the settlement price for March 20.
In order to make any comparison, you need to compare final data, and not half days. Let me do this comparison for CME Group and Kinetick. First I open the settlements data base for ES 06-15 on the CME website (final data).
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The values are
Open = 2079.50
High = 2106.75
Low = 2077.75
Settle = 2099.25
Open, high and low have not changed since you took your screenshot, but the settlement price has been added. Now, if you look at the Kinetick chart you will find exactly the same values! Kinetick gives you the official data from the CME group website. This data covers the entire session starting at 5:00 PM EST and ending at 4:15 PM EST next day. The settlement price is determined during the daily settlement period for ES, which is between 3:14:30 and 3:15:00 PM CT.
The data supplied by CQG is RTH data, which means that the daily bar is built from regular open, regular high, regular low and the regular close, which is the last traded price prior to 3:15 PM CT.
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