Intra-Day Data

Discussion in 'Data Sets and Feeds' started by Engy, Jan 1, 2010.

  1. Engy


    Does anyone know how Bloomberg gets these intra-day futures prices on their

    For example, they have the price for the February-10 contract at noon today. I am confused at what is the difference between that price and the settlement price at the end of today. They have total trade volume at the end of day. Does anyone know if they have trade volume up until noon of that day too?

    I am a newbie to intra-day stuff.
  2. Just looked at that site.

    Are you refering to "12/31" under the 'time' column, as that's refering to the date the market was last open, i.e. New Years Eve? Not sure where you're seeing a price at noon?
  3. Engy


    Hi Papa Lazarou:

    I used 'today' as a figure of speech. What I meant to ask was just

    what is the price that Bloomberg posts (intra-day) for the front month energy contract? Is the intra-day price (at anytime before end of day settlement price) available for every hour and for the last few years? Does anyone know where we can get intra-day trading volume?

    Bc while NYMEX gives us the settlement price and total trading volume at the end of every day... what about intra-day?

    Thank you for responding over the holiday. I look forward to more responses.
  4. Hi there.

    I think it depends on your data provider. I'm not sure about Bloomberg, especially if you're not paying anything to see the prices.

    If you are just looking at prices then it will be the live price (delayed by say 15mins in some 'free' cases).

    I use CQG for charting and they get their data direct from the exchanges (I have to pay exchange data fees on top of the fee for the charting package) - but I have all data there. Intra-day volume is live and can be viewed as the daily cumulative (on the daily chart), or broken down into smaller timeframes, like your 10min charts and hourly charts.

    Sorry if I'm not answering your questions very well, but I'd argue energies is one of the markets where there's not a hell of a lot of 'free' data available.

    Hopefully some others can help you more. Good luck!
  5. Engy


    The Bloomberg ticker for closing price for the front month futures contract for natural gas is 'NG1.' Does anyone know how to get the *intra-day* (say every 5 min or 10min) price for the front month series that Bloomberg reports?