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> One
> thing though, gotta be careful about how you calculate the limit price.
> It's calculated from the official settlement price of the big contract.
> On the minis, if that doesn't land on an exact tick, you round to the
> next highest tick for a down limit.
I should explain that a little more. I kept getting faked out by the
mini locking limit down a tick higher than I thought it should. This is
just based on my observation, not any reading of the rules. I'll use
today's SP and ES as an example cuz that's what I trade. Maybe everybody
knows this except me but it took me a while to figure it out.
SP settlement 1279.60
-35.00
SP limit 1244.60
ES settlement 1279.50 [from the CME page
round the SP to the nearest .25 tick]
-35.00
ES Limit 1244.50 [WRONG!!! it will be 1244.75
1279.60 - 35.00 and round UP]
In other words, the ES down limit is 'not more than' 35 below the SP
settlement. The ES up limit is 'not more than' 35 above the SP
settlement.
Clear as mud? :-)
--
Dennis
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