Need help with EOD DJIA/YM quotes ...

Discussion in 'Index Futures' started by BrooksRimes, Dec 22, 2005.

  1. Why are there large differences between DJIA index data found on Yahoo, symbol ^DJI as found at:^DJI

    And EOD data obtained from eSignal for symbol YM?

    Examples of 2 of the largest differences:

    Yahoo close: 8172.45
    eSignal close: 8095
    Difference: 77.45

    Yahoo close: 10597.44
    eSignal close: 10658
    Difference: -60.56

    Over 4 years, I found the average difference to be about 17 points per day, sometimes with Yahoo higher and other times eSignal higher.

    I suspect some of the differences would be related to how Yahoo and eSignal treat contract rollovers, but I wouldn't think that there would be so many differences, especially away from contract expiration times.

    The difference between the highs of Yahoo vs. eSignal are even more pronounced. Could one be including after hours data?

  2. Apart from the fair value, you may also be seeing differences because of session times. YM closes at 5PM. Maybe there was news after the close those days.