Closing Prices with extended hours

Discussion in 'Index Futures' started by FuturesTrader71, Nov 30, 2005.

  1. The closing prices reported by CQG and TT for the FDAX and FESX don't seem to match what I see on the chart. For example, the closing price on my chart is 5202.0 for the FDAX yesterday. Both TT and CQG show the market at +6.5 pts at that price. This means that according to these two independent sources, the closing price is actually 5194.5.

    It seems to me like they are reporting the closing price as the last price traded at the cash close at 11:30 AM ET.

    This doesn't make much sense to me because it basically dismisses the trading that occurs after the cash close whereas it accounted for trading up to the futures close before.

  2. Hi, yes I noticed that too - particulary on the 28th when the eurostox close print was way up above 50 from the last bar price at 3443.
    Is there a closing auction ? :confused:
  3. IB TWS reports it as 5195.50. I think IB has always reported the price at the close of the cash market as the closing price.
  4. fader


    xetra closes at 1730 frankfurt time and the floor closes at 2000 - since xetra does 75%+ of the total volume in shares, its closing is like the nyse closing - i would guess the floor trading after the xetra closing is similar to the ECN trading after the nyse closing... - so using the 1730 cutoff seems to make sense to me.
  5. fader


    p.s. just lifted this off the deutsche boerse website - i guess L-dax is a separate quote stream - don't know how the software vendors handle it.

    DAX measures the performance of the Prime Standard’s 30 largest German companies in terms of order book volume and market capitalization. The index is based on prices generated in the electronic trading system Xetra®. Its calculation starts at 9.00 a.m. and ends with the prices from the Xetra closing auction at 5.30 p.m. Subsequent to this, the late index L-DAX® is calculated. The weighting of the companies in DAX.
    Zero spread and real-time: Indicative prices of DAX shares for private investors.
  6. Actually, until the hours were extended from 20:00 CET to 22:00 CET, the closing price for the futures has always been the last print at 20:00 CET. With the extended hours, it appears that they have reverted all the way back to the closing price when the cash closes at 17:30 CET. This is a bit strange, but I guess they prefer to keep it consistent with the cash components which makes sense. It completely disregards what has happened though during 4:30 hrs of trading after that.

    Someone has confirmed that their software shows the same closing price and that is what I wanted to check.