Registered: Apr 2003
08-25-12 05:30 PM
I wounder if anyone else has bumped into this problem or maybe one of the sales reps would chime in.
Apparently, for a number of exchange-listed products (even if they are liquidly traded), if they are not "front-month", IB uses its own proprietary formula to mark them to market at the end of each day, instead of using the exchange settlement levels. For example, December 2013 Eurodollar contract on Globex (GEZ3) had a 99.525 settlement level on the exchange which differs form the one used by Interactive 99.55 for the close of today.
It seems strange that Interactive doesn't use settlement prices from the exchange. Why is that? Also, is there an official formula on how this is going to be calculated?