EURUSD 6E Euro | Currency Futures


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EURUSD 6E Euro

  #811 (permalink)

Miami FL USA
 
Trading Experience: Advanced
Platform: Ensign 10, NT7 DOM
Broker/Data: IB, IQ
Favorite Futures: Currency Futures
 
Cashish's Avatar
 
Posts: 803 since May 2011
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trendisyourfriend View Post
What explains the difference between the last price Yesterday (2012-01-09) on the 6E at 1.2773 and the last price recorded on the CME web site at 1.2760B? What does the 'B' letter mean exactly ?


trendisyourfriend View Post
Still, i can't explain the disparity between the last price on Zen-Fire and the last price on the CME web site. 13 ticks of difference. The open today corrresponds to the last price traded on Zen-Fire but the exchange seems to be way off the mark. Just curious to know what caused this.

If my previous post appeared vague and elusive, I assure you that was not my intention.

This can become a complicated subject, but if you understand the 3 forces at work here the mysterious disparity will at least become understandable. Time, price and volume.

The simple answer to, "explain the disparity between the last price on Zen-Fire and the last price on the CME web site. 13 ticks of difference" is time. The settlement period for currency futures is between 13:59:30 and 14:00:00 PM CT. Within this 30 second time period is when the data for the last and settle price posted on the CME Site is accumulated and calculated. The last (on CME) is the last trade in this time period, the settle is the volume weighted average price of all trades traded in this 30 second period.

This is two hours prior to the close of the FOREX markets at 16:00 PM CT when your chart prints the last trade for the day. This is where the disparity between the last price on Zen-Fire (or any other data server) and the last/settle price on the CME web site originates.

Why? That's not my area.


I warned you, "This can become a complicated subject." I'm sure you're pondering many questions, I suggest using the futures.io (formerly BMT) search feature. Many of these questions and issues have been aired out extensively on other threads.

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