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Futures prices accurate?

Are the futures prices on quantopian accurate? I paid for futures data on a different provider (quandl) and I am seeing small differences in the settlement prices.

4 responses

Actually seems like they are not. I checked CME for sep futures vs quantopian
cl_contracts = symbols(['CLU17'])

Pricing data for our consecutive contracts from earlier.

cl_consecutive_contract_pricing = history(
fields=['close_price', 'volume'],


                       Future(1058201709 [CLU17])  

2017-07-25 00:00:00+00:00 48.55
2017-07-26 00:00:00+00:00 48.72

CME has 47.89.

I am also comparing prices on Quandl and on quantopian, for the ES contract. The differences are quite substantial

Back testing strategies is meaningless if the prices are not accurate. Wonder if someone at quantopian will actually reply to this thread

Hi Rohit,

Thanks for reporting this. Are the numbers that you're pulling from CME/Quandl settlement prices? The prices on Quantopian are last traded prices (daily close is pegged at 5pm ET each day). From my understanding the prices reported on Quandl are continuous futures, so if you're comparing to the Quandl feed, I'd recommend double checking that the price is for the same contract and that the prices on Quandl are unadjusted. Do they provide contract-specific data?


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