Rth for eurostoxx?
|January 29th, 2015, 05:19 PM||#11 (permalink)|
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ETH templates are easier to use. ETH hours are 8:00 am to 10:00 PM CET. But the close shown on daily data is the settlement price which is determined as the volume-weighted aveage price of all transactions between 5:14 and 5:15 PM.
The question is about the underlying secondary markets. The world's largest trading platform for sovereign bonds is the Mercato dei Titoli di Stato (MTS), and it is also Europe's leading inter dealer system for Eurozone government bonds. It is obvious that the futures market is most liquid, when the underlying sovereign bonds are traded.
Looking at interdealer trading venues for price discovery, there are
- BGC Partners
- EUREX Bonds
- MTS Germany
The question "about regular trading hours" boils down to the question of the opening hours of those trading platforms.
Cash market hours:
MTS Germany: 8:00 AM - 5:30 PM CET (MTS Group - Germany)
Eurex Bonds: 8:30 AM - 5:30 PM CET (Eurex Bonds - Trading Hours)
The main reason that I have used a session template that has a break at 5:15 PM is the settlement price. It is probably not necessary to have the start time shifted to 8:30 AM.