Interactive Brokers historical data vs Quandl (CME)

I don't even bother with RTH charts or any of that - I consider the full session time available, especially these days given the increased globalness of markets.
 
That's the plan, but my strategy is entirely algorithmic, and currently it's just trend following, which is slow (one price per day is enough). I'd like to move up to intraday stuff, but I'm not there yet ;)
 
isotope1 said:
I'm trying to figure out why the historical data I'm pulling from Interactive Brokers doesn't agree with that which I pull from Quandl.

The Quandl data seems to agree (approximately) with the data reported on the CME website. IB is miles off. How should I be requesting IB data?

Any insight would be very helpful.

Thanks!
Chris.

NB I'm using Corn Dec 17 for testing purposes.
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Be aware that Quandl does not generate their own data. They receive a data set from CME and publish that on their website. You have to look at Quandl to see which data set they receive and publish. Also: a settle price is not always the same as a close price. For certain products is the settle price determined at a specific point in time during the trading hours. Or an average price, calculated over a certain amount of time. This can be during the day, not close to the end of the trading day.
Just like you, have I also noticed that open and close prices at IB are different from CME/Quandl. I think this is caused by the definition of which trade is considered the day's opening trade and closing trade.
If your trading strategy is based on opening and/or closing price you will have to decide which data source to use: either Quandl, or IB, or something else. Mixing up multiple data sources will lead to problems and incorrect trading decisions. Been there, done that, learned my lesson.
 
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