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It sure sounds like the post settlement session trade can occur (the
"exception" noted below) outside the closing range (and hence the daily
range as well), giving rise to an anomalous situation where a data vendor's
daily bar has a settlement price either outside the daily high or low.
This jives with my squawk box experience on high close or low close days.
-Tony Haas
James F. Mazzulla wrote:
>"However, in no event may a trade in the post settlement
>session take place at a price which is outside of the
>closing range, except for contracts which have been settled
>outside of their closing range pursuant to Rule 813.B. , C.
>, or D. ("Settlement Price "), in which case, trades during
>the post settlement session may occur only at the settlement
>price and the next two ticks in the direction of the closing
>range for interest rate contracts, at the settlement price
>and the next three ticks (four ticks for Mexican peso
>contracts) in the direction of the closing range for foreign
>currency contracts, and at the settlement price and the next
>five ticks in the direction of the closing range for equity
>contracts."
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