Post Trade Allocation for mid to high frequency CTA

Discussion in 'Trading Software' started by CTACBOT, Feb 5, 2011.



    Hi all.

    I am researching issues with Eurex and post trade allocation procedures for mid frequency (intraday trading, but not HF). The issue is my understanding is that Eurex does not offer nor will it accept any type of Average Pricing convention as with CME, CBOT, etc.

    Using another post trade methodology (eg rotation of accounts, etc.) leads to inevitable variance.

    Does anyone have any idea of how to best facilitate this for Eurex products? Is there any way in which Eurex will accept or clear APS'd trades?

    Thanks in advance for your feedback.