Trading is listed as ending at 16:00 EST for EUREX futures. However, when looking at past data for EUREX futures (e.g. STOXX 50), I often see activity stop right at 16:00, stay null for a few minutes, and then about 50-200 contracts traded at 16:03. How can that be? Is this related to the "closing auction" described in the link below? http://www.eurexchange.com/exchange...ading-hours/Trading-phases/138614?frag=138620
TD877, Yes, there is a 'netting' period which lasts for a few minutes after the 16.00EST close. Traders can put in bids and offers, but there is no guarantee that they will be filled. It is very similar to the action at the Eurex open, where for a few minutes before 02.00EST an auction occurs. I used to watch these closes and opens when I was a trader, but I tended not to participate due to the fact I might not get filled on my bids/offers. I hope that helps!
Thanks Mike. That's helpful. Do you know where can I get more information on the rules of this closing auction period? From what I read, new bids can be made during this time, so how does it differ from the regular trading hours when bids are matched with asks? Also, is there a reason why there appears to be a few minute break before any matches are made (that is, there is often no volume between 16:00-16:02, then volume again at 16:03)?
In regular trading, when a bid and an ask price meet each other, a trade occurs. During this 'netting' period, bids and asks can be placed at any price, however, because the market isn't strictly open, it means the bids and asks aren't matched for a 3 minute period IE: trading doesn't occur until one final trade is made 3 minutes after the close. Consider this as an example: Lets say you are trading a (fictional) Eurex product called "stoxx eurex'. at 15.59EST, there are bids at 99.99 and offers at 100.01. If the bid and offers meet, a trade will occur, most likely around the price 99.99-100.01. However, after 16.00, you can place a bid at any price, and an offer at any price and you won't be filled on a trade until 16.03. this effectively means you can put a bid at 100.08, and a trade will not occur until 16.03, which is like saying "when 16.03 comes, I am willing to pay any price up to 100.08 to get filled on my bid." The mechanism works (I think!) by averaging out all of the bids and offers based on price and size, and displaying one averaged price. Also, during the period of 16.00-16.03, no bids or offers are displayed on the market, meaning there is only this average price based on the bids and offers in the market. Think of it as one big auction of buyers and sellers, where the auctioneer wants to find the price that will fill the most people, to trade the most volume. After this final auction, the market closes and all bids and offers are rejected by the exchange. I hope that helps some more. It should explain why you don't see any volume between 16.00-16.02. Unfortunately, my information is based on experience rather than research, so please take it with a grain of salt, although I did find a nice summary of it on the Eurex website here.