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Did you issue your backfill request through Ninja or via self-written software? IB's backfill is throttled. They want to keep the load on their servers calculatable. With a single data request you can get like 2000 data points (OHLC+volume data, that is 33 minutes for 1 sec bars, 8.3...

Maybe "guessing" is a strong word. You may want to look at other indices around the world (Nikkei, Dax..). They are following each other very closely. And those indices are not based on guessing but on their own stock markets. Btw arbitrageurs are also using small differences between ES...

Sorry to have bothered some people with a question that apparently made no sense them. Sorry also for not having searched deeply enough on the CME website. Strangely enough only on a third look I found some quite interesting documents. In case someone stumbles about the same question...

So, if CME does not determine price who else? To make my question more clear: There must be some computer on which a program is running that "decides" when to move bid or ask price. Obviously it is not possible (for normal traders) to make trades outside of bid/ask. So it is not any...

Is there are place where I can find the algorithm - or at least part of it - by which CME is computing price based on bid and ask volume and whatever other variables they include?

When looking at the index futures (ES,NQ,YM,ER2 and some smaller ones) and also at the according ETFs (SPY,QQQQ...) you see very high correlations. This applies also to some more exotic and the "bear" ETFs. On a major turning point of ES, NQ follows always. Same with the others. This is...