2
$\begingroup$

After digging around a few sources of futures data (in particular Quandl and EOD Data), I noticed the data only reports for business days (i.e. Monday-Friday excluding national holidays).

The NYMEX trades from Sunday at 6:00pm to Friday at 5:15pm. Naturally the Sunday won't be included if only business hours are reported.

Is this true in general - that data sources only report business days? If so - why?

$\endgroup$
4
$\begingroup$

Usually end-of-day prices refer to settlement prices; they are not the last price at which the instrument was trading during that business day. Settlement prices are important because they are the ones considered when computing the P&L for a given day and for posting margin requirements, if necessary.

When markets are closed (during non-business days of the exchange in question), then no settlement price is computed, and hence no data is being published because market did not "generally agree" on the price.

Also, markets are usually open intraday from Sunday night, but volumes (i.e liquidity) is much lower and hence prices are less reflective of markets views as well, this is why these data points need to be considered with care.

$\endgroup$
  • 1
    $\begingroup$ From a vendor perspective, trades performed on a non-settlement day are attributed to the next settlement day. Some "days" can therefore include trades performed beyond a single 24 hour period. $\endgroup$ – Norgate Data Jul 7 '16 at 12:32

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy