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Hello List,
I'm not trading U.S. futures but obviously am interested, for technical
reasons.
Every day I review the CME data for "the large" Nasdaq contract and noticed
an interesting thing.
Please have a look at
http://www.cme.com/httpwrapper.cfm?wrap=%2Fwrapped
pages%2Fhistorical%2Ftime%5Fand%5Fsales%2FND02%2D0
9%2Ehtml&beginAfterRE=%3Cbody%3E&endBeforeRE=%3C%2Fbody%3E
{note the line wrap here}
This is the Thursday (2002-08-29) Globex session.
Skipping the first line of data which was the Ask price, I gather the
Opening price for Globex session was 946 at 15:24:41
Going through the file, the High was 948, and the Low 931.5.
So far so good... but next day at 8:14:57 the price is 934.5. And 3 minutes
later, at 8:18:00, 946, same as the open previous day.
My question: what was the Globex close for the day? 934.5 or 946 3 minutes
later? At 8.30 the Open for the regular session was 935, back to normal.
AFAIR 11 points difference for the big contract is over 1100 dollars...
Suppose someone goes short sometime during the Globex session, say at the
Low (931.5) and wants to exit at market at the Globex Close, what would be
his fill? 946?
Makes no sense at all to enter market orders if these Closing prices are for
real, the real trade prices, and I have no reason to believe they aren't.
It's neither Bid nor Ask and the data comes from the CME website.
This story repeats itself for Globex almost every day: it opens, runs its
course wherever it wants to go until ca. 8:15, but 3 minutes later the large
Nasdaq contract goes to another planet.
I was just curious.
Thanks. All the best
Yarroll
***
http://republika.pl/yarroll999/
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