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»Forums Index »Archive (2017 and earlier) »Data and Content Support »S&P 500 Premium

Author	Topic: S&P 500 Premium (3 messages, Page 1 of 1)
newoleg1 -Interested User- Posts: 11 Joined: Oct 29, 2007	Posted: Feb 22, 2009 09:22 AM Msg. 1 of 3 Hi, Could you describe how IQFeed calculate S&P 500 premium. This SP-PREM.Z comes every 15 seconds so you take index value from snapshot at some time and what the ES price do you take to calculate the premium? Bid/Ask, last price or some average and what the time? Thank in advance
DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 DTN IQFeed/DTN.IQ/DTN NxCore	Posted: Feb 22, 2009 02:21 PM Msg. 2 of 3 The premium is calculated tick by tick, not every 15 seconds. The S&P 500 premium represents the cash price of the S&P 500 Index subtracted from the price of the nearby S&P futures contract. It is calculated off the Last Price. Definitions of this and some other indicators are available by going to the Symbol Guide: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed on our website (www.iqfeed.net). Under the "notifies" section on the symbol guide, you will find "INDEXES AND INDICATORS DEFINITIONS". Jay Froscheiser DTN - Trading Markets
newoleg1 -Interested User- Posts: 11 Joined: Oct 29, 2007	Posted: Feb 24, 2009 11:40 PM Msg. 3 of 3 Thank you Jay for clarification. I have some small question: what is the time interval between snapshot and S&P index message (how many seconds)? Thank you in advance