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Settlement ( settled ) price is not last quoted / close.
More then that, there are usually some trades
happening even after the bell that are not being
transmitted / quoted.
Settlement price is set by clearinghouse and
used to mark all positions to the market ( margins ).
There is an algorithm by which the
Settlement price it is determined.
I tried to obtain it but no luck.
It goes something like this:
if no trades on close then settled =
median or Bid and Ask spread
if trades and spread = min tick
then settled usually = closing price.
if trades and spread > tick then ???
One other thing that pisses me off about TS is that
you cannot access the "Settled" data field.
Settlement price is the most important of all
for the day and you can not access it! That is why
I tried to obtain the function of it and program
it in EL - no luck. Then I figured how you can
access it:
IMPORTANT:
It usually takes about 5-30 min get it
( thru BMI ). It comes as the same symbol
and if you extend session end time to add
extra 30 min it will show up as a single tick...
Check it our yourself in Bonds.
You can also see it pop up on 24hour charts.
Val.
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