End of day
Quick definition
End-of-day (EOD) data refers to summary information about the trading activity during a single day's trading session, which is published after the market closes on that day. This usually includes the the opening price, closing price, high and low prices, as well as the traded volume for a specific instrument.
What is End of day?
End-of-day data is usually associated with daily OHLCV data. However, it may also encompass other market statistics that are published at the end of the session, such as open interest, allowed price bands for orders, and VWAPs.
End-of-day data applied to different situations
The precise definition of "end-of-day" data varies with counterparty and situation.
End-of-day usually refers to end of a trading day or session, and rarely refers to end of a calendar day (12 midnight).
When trading in a 24-hour market like FX, prime brokers will decide on a specific time when end-of-day settlement takes place. End-of-day prices in this context may refer to spot prices taken at an arbitrary time like 4 AM Eastern the next calendar day.
On many trading venues, the settlement process has a manual element to a part of it, and final settlement prices that constitute part of end-of-day data may only be published on the next calendar day.
Some exchanges, like CME, carve out different licensing terms or licensing exemptions for end-of-data data. Since end-of-day data is essential for middle and back-office operations, the exchange may allow end-of-day settlement prices to be used and distributed as historical data immediately when a trading session ends, while other prices may not be distributed as historical data until a certain embargo period has passed. It may also be cheaper or free to use or distribute such data.
On the other hand, settlement prices in end-of-day data may be more valuable for index construction than other types of price data, and some exchanges are very protective of their IP rights over indices based on their market data. As such, one may find it harder to license end-of-day data for the purpose of generating derived data like proprietary indices.
A trading venue may also publish preliminary settlement prices and volumes once, and then publish final settlement prices some time later. For most purposes, both are considered end-of-day, and it could be important to discern between them especially when your market data provider is ambiguous about which one is being provided to you.