CME price finding algorithm

Discussion in 'Index Futures' started by uexkuell, May 5, 2008.

  1. Is there are place where I can find the algorithm - or at least part of it - by which CME is computing price based on bid and ask volume and whatever other variables they include?
  2. Div_Arb


    Wha'chou talkin' bout, Willis?
  3. Your question makes no sense. The CME doesn't compute price it just reports it.

  4. So, if CME does not determine price who else?

    To make my question more clear: There must be some computer on which a program is running that "decides" when to move bid or ask price.
    Obviously it is not possible (for normal traders) to make trades outside of bid/ask.

    So it is not any traders choice what trades happen but there is a matching algorithm running on their (CME or whereever) computers.
    In other words they do not just "report" trades they somehow "arrange" them.
  5. wow this could get ugly......

    You should take an economics course or read about markets
  6. Surdo


  7. The traders buying and selling determine the price and the CME reports the result. The CME just provides the market mechanism (price matching), but without traders nothing would happen.

    Read all you want about Globex price matching algorithms at and select "Matching Algorithms".
  8. RhinoGG

    RhinoGG Guest

    I'm kind of with you on this, but perhaps you need to "again" rephrase the question.
  9. In order to open a market for the start of trading, there is an algorithm that establishes an opening range based upon the existing orders put into the system that also attempts to maximize trading volume in order to produce the fairest range. After that, completed trades influence the market.
    #10     May 6, 2008