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I think we should be happy that NinjaTrader does not download inconsistent data. My pivots indicator also checks the consistency of data and has detected that false close, see chart attached,
I think it is better not to download inconsistent daily data, because it lets you the choice, which solution to adapt. In this case the daily low on my intraday chart comes out at 2358.25, which is also the daily low as per CME. I have also decided to use the last price of 2360.00 and entered this as the settlement price.
One case per year
There are about one or two cases per year, where the settlement price can really be outside the daily range. This can only happen for index futures on the last business day of the month. The reason is that this is the only case where the settlement price is not calculated as a volume weighted average price of all trades acccounted for during the settlement period. Only for the last business day of the month it is calculated from the index value close of the cash session by applying a fair value procedure (subtracting expected dividends and adding interest).
And indeed, on March 31, 2011 the settlement price for YM 06-11 was lower than the daily low, because the index dived into the close and the futures contract was not following.
