Hello,

I was trying to figure out when daily data points for the previous day are made available on the Lookup port for calendar and inter-product spread symbols, QHOM15-QHON15 (Calendar) or QRBM15-QHOM15 (Inter-Product) for instance. I have noticed that while the outrights are made available at or before 6PM ET, spreads data points aren't available until later. As an example, its 6:35 PM ET right now and the outright QRBM15 daily data point for 5/4/2015 is available while none of the spreads are. Is there a specific time at which they are made available?

Thanks.
Edited by USV on May 4, 2015 at 05:40 PM

Hello USV,

The end of day process is triggered by the exchange settles I believe, and since the exchange does not guarantee a timely send of settles, we cannot guarantee when the bars will be completed. That said, we will still take a look at spreads to be sure there is nothing unexpected happening there. I'll let you know what I find out.

Tim

The data I was looking for were available last night around 8 PM from the Lookup port. Unless you find something out of the ordinary, I will just check at 8 PM each night and update my application then.

Thanks for your help.

EDIT: I found this on CME's website. Posting it here in case someone else also has the same question: http://www.cmegroup.com/market-data/settlements/settlements-details.html
Edited by USV on May 5, 2015 at 04:29 PM