Please can someone explain to me why an electronically traded contract e.g. the e-30 yr T Bond, should have gaps on the open? This is not a 24 hr traded market, but a gap would mean that someone had to put orders in before the open. How can you do that with an electronic market before it's open. Thanks, Scott.
Well really there isn't a gap when a market has around the clock live price quotation. Gap is usually the term which gives the difference between the official EOD price and the price at the official market Open the next day or next trading day.
ZB open on Nov 27th Sunday at 1900hrs (7pm est). ZB closed Nov 25th Friday (early) at 1330hrs (1:30pm est)...holiday trading. That's the only gap in the recent duration and it did not produce a price gap. You should post a chart of your GAP in the price that you see along with showing the date and time at the bottom of that chart... I suspect due to the holidays trading hours...your data vendor did something odd. Mark (a.k.a. NihabaAshi) Japanese Candlestick term
Thanks for your replies so far. What I'm talking about is shown in my attached chart. There's a clear gap between the close and the open. How is this possible with electronic traded markets. Surely if no orders can enter the market when it's closed then it should open bid-offered as it closed. Or is it a question of when I see the bid/offer prices on the close, most of these are cancelled on the close, and hence the market opens up at a bid-offer price that wasn't cancelled on the close. And there the market begins to trade. But I would imagine that at least one trader has not cancelled his orders so that the bid-offer price at the open should equal that at the close. Thanks again, maybe I'm just being stupid and there's a really easy answer.