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On Wed, 23 Sep 1998, Tony wrote:
>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.
Well, according to the rules, the post settlement session
takes place =after= RTH and =after= the settlement price is
posted. Settlement prices, again according to the rules, are
determined (generally) after RTH. The post settlement
session takes place two minutes =after= the settlement price
is posted =or= two minutes after the close of RTH.
The post settlement session last no longer than three
minutes. The "exceptions" apply only in limited instances
(e.g. where no trading occurred during the closing range or
no sale occurred during RTH).
My understanding (from CME education courses) is that the
post settlement sessions were instituted primarily so that
customers' orders that were executable within the closing
range and which were received prior to the close of RTH
could be executed. Also, it permits those trading for their
own account to =close= positions (they're not really
supposed to open new ones).
Post settlement trades may be transmitted by some (or all)
data vendors but that does not mean that any price
transmitted during that period becomes the "settlement
price".
Best regards,
Jim
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