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Search: Posts Made By: Fat Tails
Forum: Emini and Emicro Index September 2nd, 2010, 11:36 AM
Replies: 15
Views: 8,109
Posted By Fat Tails
The difference bewteen 3 data feeds and 3 lawyers

Let me compare the 4:00 PM bar closes on August 31.

Interactive Brokers 1048.25
DTN/IQFeed 1048.50
Zenfire 1049.50

Looks like the exchange does not provide for time stamps. So every data...
Forum: Emini and Emicro Index September 2nd, 2010, 09:18 AM
Replies: 15
Views: 8,109
Posted By Fat Tails
Agree with the settlement prices. Still I do not...

Agree with the settlement prices. Still I do not know, whether they are based on

- the last calculated price of the day for the S&P 500 index
- or the midpoint of the calculated price for the...
Forum: Emini and Emicro Index September 1st, 2010, 03:58 PM
Replies: 15
Views: 8,109
Posted By Fat Tails
The market was moving fast and either your or my...

The market was moving fast and either your or my data has inaccurate time stamps. If the time stamps are a few seconds off, this can make up for the difference.

My data source is not Zenfire, but...
Forum: Emini and Emicro Index September 1st, 2010, 03:25 PM
Replies: 15
Views: 8,109
Posted By Fat Tails
Because nobody answered my question, I will try...

Because nobody answered my question, I will try to do so myself. After searching the web, I have found an interesting document that might explain, why Tuesday's settlement price was different from...
Forum: Emini and Emicro Index September 1st, 2010, 12:07 PM
Replies: 15
Views: 8,109
Posted By Fat Tails
No, we cannot see that from our charts. But CME...

No, we cannot see that from our charts. But CME publishes charts of the large S&P as well, and as you can see, the large contract did not trade anywhere near 1044.50 during the time prior to close.
...
Forum: Emini and Emicro Index September 1st, 2010, 11:02 AM
Replies: 15
Views: 8,109
Posted By Fat Tails
Well spoken, but it does not answer the question.

Well spoken, but it does not answer the question.
Forum: Emini and Emicro Index September 1st, 2010, 10:44 AM
Replies: 15
Views: 8,109
Posted By Fat Tails
Thank you, I am aware of this definition. If I...

Thank you, I am aware of this definition. If I look at the close of the large S&P, it was at 1052.10. The settlement was at 1048.30. Assuming that 1048.30 is the midpoint, this would imply that the...
Forum: Emini and Emicro Index September 1st, 2010, 10:15 AM
Replies: 15
Views: 8,109
Posted By Fat Tails
Who can explain the settlement price of the large S&P on Tuesday?

On Tuesday, the large S&P settled at 1048.30 - the close was at 1052.10

Who can explain the discrepancy?

The settlement price for ES is defined as the settlement price of the large S&P, so this...
Showing results 1 to 8 of 8

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