Share New Research 
Hello,
I was looking at some of the CME Wheat Futures data for both Chicago and Kansas wheat and I noticed the data that I request is not 100% in line with what I would expect. I tried setting extendedMarketHours=True and False and I did not notice a difference.
Using the code snippet for Chicago Wheat Futures I see the Daily HOLC for the 14th of October as [H=8.8425, O=8.8975, L=8.5725, C=8.6125]
The data that I can see on CME is instead [H=8.9425, O=8.9875, L=8.5725, C = 8.6125], The difference is the High and Open. I figured it might be due to hours, but that didnt seem to be the case.
Does anyone know what I might be doing wrong?
qb = QuantBook()
wheat = qb.AddFuture(Futures.Grains.SRWWheat, Resolution.Daily, extendedMarketHours=True)
# extendedMarketHours=True)
# dataNormalizationMode = DataNormalizationMode.BackwardsRatio)
# dataMappingMode = DataMappingMode.FirstDayMonth)
history = qb.History(qb.Securities.Keys, 1000, Resolution.Daily)
df = pd.DataFrame(history).iloc[::-1]
print(df[['open','high', 'low', 'close']])
Derek Melchin
Hi Fuchschr,
Please provide the data source. Where can we confirm that the high price was $8.9425?
Best,
Derek Melchin
Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Fuchschr
Hello,
I grabbed the information directly from CMEs site for the ZWZ22 contract.
Kind regards,
Chris
Louis Szeto
Hi Fuchschr
It would be due to a different “start” timestamps of a day, and full-forward behavior of the CME source. If you exploit the data for a denser resolution, you could find out the CME numbers were pulling off from the previous day inheritance. I have no comment on which one should you consider as “correct”, but if you'd like to use the CME number, it is recommended to use a Hour resolution data with Resolution.Daily consolidation.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Fuchschr
Hey Louis,
Thank you for the response. It must be that the daily data is constructed differently in QC. As far as I am aware the daily data for the 14th starts on the 13th at 7pm CST. I guess QC starts the day at midnight or something. Bit odd, but I guess Ill pivot towards using hourly data.
Thank you for your help,
Chris
Fuchschr
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!