In developing various volatility trading strategies, I have been using settlement prices for VX futures which are derived during the last 30s of the trading day. In a nutshell, given some settlement values present at time of close, I decide to initiate/close position @ said time of close. However, it turns out these settlement values I had been basing my research on are not actually readily available until the start of the next trading day. Currently I can only stream the LAST / BID / ASK / other such quotes, which poses a problem. Specifically, there is usually some disrepancy btwn the settlement values I'm using during RnD, and the actual values I can access during production. Hence any projections become innacurate.
Thus Im looking for a service that can provide settlement prices AS SOON as they're calculated. Is anyone aware of some third party API that offers this at a reasonable price? I know DataBento plans to introduce this in the future, but it is still a ways away, and it doesn't seem much a priority for them as it keeps getting pushed further down the icebox.
I know there are various settlement calculations posted throughout the trading day, the one I am specifically looking for is the "prelim" VX futures settlement calculation which occurs from 3:59:00 - 4pm, as opposed to the followup settlement checks which are calculated throughout the afternoon (which seem to rarely supersede the prelim settlement calculation anyway)
Thus Im looking for a service that can provide settlement prices AS SOON as they're calculated. Is anyone aware of some third party API that offers this at a reasonable price? I know DataBento plans to introduce this in the future, but it is still a ways away, and it doesn't seem much a priority for them as it keeps getting pushed further down the icebox.
I know there are various settlement calculations posted throughout the trading day, the one I am specifically looking for is the "prelim" VX futures settlement calculation which occurs from 3:59:00 - 4pm, as opposed to the followup settlement checks which are calculated throughout the afternoon (which seem to rarely supersede the prelim settlement calculation anyway)