Calculating settlement price

[peppermint_tea]

Hi,

I’m struggling to get the same settlement price as the NQ futures on CME.
On their site it says it’s calculated by VWAP at 14:59:30-15:00 CT
I went to that 30 second bar on the NQ chart and did the following calculation :

High : 19067.75
Low : 19052.75
Close : 19065.75

I added those 3 values up then divided by 3 = 19062.08

The volume for that 30 second bar was 5919, so I multiplied that by 19062.08 = 112828471.3

Finally for the VWAP figure I did 112828471.3 / 5919 = 19062.08

The settlement price on Thursday was 19060.25 but mine comes out at 19062.08

Am I doing something wrong here in my calculations?

Thanks

 

[2rosy]

you need to get all the transactions from that 30 second window to compute vwap.
dotproduct(prices[], qty[]) /sum(qty)

 

[Slow Learning Elf]

you need to get all the transactions from that 30 second window to compute vwap.
dotproduct(prices[], qty[]) /sum(qty)

It’s also a bit more complicated since it excludes rolls, EFPs, blocks and BTIC

 

[SunTrader]

Hi,

I’m struggling to get the same settlement price as the NQ futures on CME.
On their site it says it’s calculated by VWAP at 14:59:30-15:00 CT
I went to that 30 second bar on the NQ chart and did the following calculation :

High : 19067.75
Low : 19052.75
Close : 19065.75

I added those 3 values up then divided by 3 = 19062.08

The volume for that 30 second bar was 5919, so I multiplied that by 19062.08 = 112828471.3

Finally for the VWAP figure I did 112828471.3 / 5919 = 19062.08

The settlement price on Thursday was 19060.25 but mine comes out at 19062.08

Am I doing something wrong here in my calculations?

Thanks

Why ... are you trying to get same settlement price?

Data sources vary somewhat, they just do, even though they all originate from CME. Why "kill yourself" over it?

 

[Coin Flip]

Hi,

I’m struggling to get the same settlement price as the NQ futures on CME.
On their site it says it’s calculated by VWAP at 14:59:30-15:00 CT
I went to that 30 second bar on the NQ chart and did the following calculation :

High : 19067.75
Low : 19052.75
Close : 19065.75

I added those 3 values up then divided by 3 = 19062.08

The volume for that 30 second bar was 5919, so I multiplied that by 19062.08 = 112828471.3

Finally for the VWAP figure I did 112828471.3 / 5919 = 19062.08

The settlement price on Thursday was 19060.25 but mine comes out at 19062.08

Am I doing something wrong here in my calculations?

Thanks

I'm not sure what you are doing here. In step 1, you get 19062.08, and then you do more math to arrive back at 19062.08.