Historical Data - When is it updated for current date?

[Vorpal]

How long does it take after a market closes before the OHLC data becomes available to the "btDAYS" type for a same day query?

IE: on 5/19/05 I want to run a RequestHistory("BP M5", "D", btDays, 5, -1, -1) a couple hours after the market closes at 3PM EDT and hopefully get daily data inclusive of 5/19/05 so I can update my signals for the next trading day as quickly as possible.

I am trying this query right now on a number of US Futures (it is 6PM EDT) but I am only getting same-day data for a few markets, most of which have been closed for several hours. The data is publically available-- I can see it on a number of free websites including futuresource.com-- but it is just not being released to the history API I guess.

I can partially get around this by using an intraday 60min query to build my own "daily OHLC bar", but as the "last price" and "settlement price" are often not the same thing in the futures world, this is only an approximate solution.

I am paying for real-time data for the exchanges in question, so ideally I would like to be able to get at the settlement price data just as soon as it is posted. Is there any way to improve the timeliness of the same data availability within the "btDays" history API mode? Thx.

[Guest]

It depends on the exchange and the derivative. The officially listed closes are not posted until 30-45 minutes after the close.

The quote itself is likely available, but it needs to transition to a history server from a tick server.

To get the data faster, I would stay on an intraday interval, say 1 hour, right after the market closes for the current date and create the bar on the client side. You will be able to obtain that bar more quickly and then can verify it after midnight (in case the exchange posted a bad tick).

[Vorpal]

Thank you for the update. That is basically what I am doing now, using hourly data to artificially build a daily bar chart, until an end-of-day official bar is available a couple hours later. Just wanted to make sure there wasn't something I was missing. With a lot of these futures markets basically trading 24 hours a day now, I find the sooner I can get everything updated and ready for the next day, the better!