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<SPAN
class=750354400-06082004>Hi Don,
<SPAN
class=750354400-06082004>
<SPAN
class=750354400-06082004>Here's how the FTSE 100 futures
contrac.
<SPAN
class=750354400-06082004>
<SPAN
class=750354400-06082004>
<SPAN
class=750354400-06082004>------------------------------------------------FTSE
100 index trading times
<SPAN
class=750354400-06082004>------------------------------------------------
<FONT face=Arial color=#0000ff
size=2>
The FTSE 100 Index
futures contract begins trading at 08:00. At 16:30 the day's
settlement price is established.Trading continues between 16:30 and 17:30 in
a post-settlement trading mode.
<FONT face=Arial color=#0000ff
size=2>Note: The London Stock Exchange closes at 16:30, so this is the
likely reason that the settlement takes place BEFORE the close of the
market.
<FONT face=Arial color=#0000ff
size=2>
<SPAN
class=750354400-06082004>------------------------------------------------Settlement
Price
<SPAN
class=750354400-06082004>------------------------------------------------
Here's
how the settlement price is calculated by
LIFFE:
3.2.2 The
first 90 seconds of the Settlement Range will be used to monitor spread
levels. Thereafter, the following criteria will be taken into account, as
applicable:
(a) the
traded price during the last 30 seconds of the Settlement Range;
or(b) the trade weighted average of the prices traded during the last
30 seconds of the Settlement Range, rounded to the nearest tick;
or(c) the price midway between the active bids and offers at the time
the settlement price is calculated, rounded to the nearest tick.
Where a trade
weighted average or a midway price between active bids and offers results in a
price which is not a whole tick, the rounding convention that will apply in
respect of (b) and (c) above will be in accordance with those set out in the
relevant contract terms.
In addition, the
following criteria are monitored in the Market Control Centre and may be taken
into account, as applicable:
(d) price
levels as indicated by spread quotations;(e) spread relationships with
other contract months of the same contract; and(f) price levels and/or
spread relationships in a related market
<SPAN
class=750354400-06082004>------------------------------------------------<SPAN
class=750354400-06082004>Last Traded
Price
<SPAN
class=750354400-06082004>------------------------------------------------
<SPAN
class=750354400-06082004>
<SPAN
class=750354400-06082004>In the case of FTSE 100 futures contracts, since
they're very liquid, the last traded price is often different from the
settlement price due to the additional hour of trading.
<SPAN
class=750354400-06082004>
<SPAN
class=750354400-06082004>Also note that on the forward month contracts the
liquidity is rather slim - the spot month seems to be where all the action is
until around 2 weeks before contract expiry.
<SPAN
class=750354400-06082004><FONT face=Arial color=#0000ff
size=2><FONT face=Arial
color=#0000ff size=2>
Best regards,
Richard Dale.
Norgate Investor Services- Premium
quality Stock, Futures and Foreign Exchange Data for markets in
Australia, Asia, Canada, Europe, UK & USA -<A
title=http://www.premiumdata.net/ href=""><FONT
face=Arial size=2>www.premiumdata.net
<FONT face=Arial
size=2>
<FONT face=Arial
color=#0000ff size=2><FONT
face=Arial color=#0000ff size=2><FONT face=Arial color=#0000ff
size=2>
From: Collectable Images
[mailto:telecard@xxxxxxxxxxxxxx] Sent: Thursday, 5 August 2004 10:49
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Yahoo EOD data not always correct ? for richard Dale
Can
you explain how the last traded price and the settled price is calculated on the
FTSE futures?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Regards,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Don<SPAN
class=750354400-06082004>
<FONT face=Arial color=#0000ff
size=2>
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