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good post and thanks, jim. when in doubt, rtfm, right?
do you happen to know if those out of daily range settlements reported
by the data vendors are corrected later when the post settlement
session results are known? i see them time to time on my purchased
daily s&p data. when i report them back to the vendor, they usually
go duh! most of the time, they don't know when out of range
sttlements have occurred until a customer reports it. guess it
depends upon the vendor.
TJ
---"James F. Mazzulla" wrote:
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".
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