Late trades on GLOBEX

Discussion in 'Order Execution' started by saxon, May 10, 2004.

  1. saxon


    Can anyone explain to me why there appear to be trades taking place when the market is supposedly closed?

    Almost every day I see (via eSignal data) an ES trade at 3:21pm CT, for example, and usually away from the closing market price by at least several ticks, sometimes more, when the market is supposed to be closed from 3:15 to 3:30pm CT.

    You would think an electronic market would open on time and close on time. Right?

    It might be perfectly legit, I just don't know why that happens.

  2. Ebo


    I have seen these prints on TradeStation as well.
    I have not found an explanation.
    They are usually a few ticks away from last sale on GLOBEX.
    I would love to know what exchange they trade on!
    Maybe there is a secret third market for ES.
  3. saxon


    The odd late quotes (I am guessing) represent the settlement price rather than the last trade. Still doesn't explain why there would be a volume attached to it.

    I saw a couple posts suggesting that the electronic contract is synced with the closing price of the pit traded contract at the end of the session...but I not sure about that.

    BTW, I see this on other electronic exchanges like E-CBOT also. Not just GLOBEX.

    Anyone who knows for sure, please chime in.
  4. but the is sometimes movement in bids / offers

    pre - session opening as market participants try to dig in

    and show the world where they might open up

    ( if it is before 8 pm EST this should closely correspond

    to where the QQQ , SPY are trading for ES , NQ )
  5. nkhoi


    I think they close at 3:30 pm
  6. Quah


  7. alanm


    As others have said, the settlement price is printed to the tape around then. There is no volume associated with it, and there is an indicator ("S" on my tape) that some vendors are apparently ignoring. In particular, it seems wrong to show this tick on a chart, just as it would be wrong to show the O/H/L/C/V values that are also put on the tape at that time.
  8. saxon


    Perhaps eSignal can comment on these late quotes. As I said previously, there IS almost always an associated volume figure (as reported by eSignal), which makes it look even more like a genuine "late trade".

    Bottom line: If you are a systems trader, these "phantom trades" can distort your indicators.