Maybe this is trivial... I have wondered why there are big differences between the settlement prices and closes of BUND, BOBL and SCHATZ from time to time. I dared to ask Eurex. Here is a message from them: "the settlement prices for FGBL, FGBM and FGBS are fixed at 17:15 o'clock. The closing auction takes place at 22:00 o'clock."
Bund,Bobl and Schatz have their settlement price established at 17-15 CET.This is the price against which overnight positions are marked against and coincides with the time that the actual underlying bond markets are settled/close. The futures markets continue trading until 22-00 CET hence why there is a big difference between settlement price and close.
right, just look at the settlement prices of DAX futures, same bullshit there. Take the prices at the late close which get changed invariably the next morning just before the opening. I have to adjust them all the time manually. Now, I thought this was a eSignal problem. I certainly would appreciate some more input on this. Thanks.
I can't really work out what's going wrong.The prices at the late close shouldn't be changed just before the next open,unless they're being changed in place of the pre-open prices to commence the new day.The majority of these price vendors work off the Exchange settlement and not the last traded price so maybe check the columns that you've got the box that you want.