|
PureBytes Links
Trading Reference Links
|
I'm thinking of using the S&P Premium as an input to a trading model, but
I'm finding that the Premium value seems to be more of an "opinion" than a
firm value...
E.g. today I compared the Premium value from three different sources:
A. @PREM from my BMI feed
B. $PREM.X from Quote.com (not sure of the data source)
C. $PREM from DBC/Signal,
as displayed at http://www.mrci.com/qpday.htm
As of 11:00 this morning, the O/H/L from these sources were:
Open High Low
A. 24.03 23.54 16.79
B. 24.03 23.94 14.84
C. 2464 2564 1748
Out of three sources, only the Open from BMI and Quote.com match! @PREM
from BMI and $PREM from Signal are scaled differently, AND they have
totally different values, even though they both come from DBC !!!
For comparison, here are the SP0M and SPX values as of 11:00 for BMI and
Quote.com:
SP0M:
Open High Low
A. 1551.0 1554.3 1540.5
B. 1550.5 1554.3 1540.5
SPX:
Open High Low
A. 1528.7 1534.63 1522.22
B. 1528.7 1534.54 1522.22
I find it fascinating that the SP0M open doesn't match, but the SPX *does*.
If PREM is just SP0M-SPX, you would think that the PREM would not match --
but it's the only thing that DOES match between the BMI and Quote.com PREM!
On the other hand the Low for both SP0M and SPX are identical, but the Low
for the PREM is off by almost 2.0 !?!?
Maybe the SPX or the SP0M hit their low points at different times on BMI
and Quote.com, so the difference between them was different on the two
feeds. But that wouldn't explain the discrepancy in the open values.
Does anyone have any idea why the PREM values are so unreliable between the
different feeds??
Gary
|