Try TT Now

NYSE Liffe Gateway

Support for Open, Close and Settlement Prices

Overview

The exchange forwards the following types of settlement prices to the TT Gateway:

  • YDSP – Yesterday Daily Settlement Price. Previous trading day's official daily settlement price.
  • Daily - Used for daily margining and settlement calculations, and may be published to the IndSettle column before the market closes.
  • Expiry - Exchange Delivery Settlement Price (EDSP). Final official settlement prices for an expiring contract.
  • Intraday - Disseminated in the same way as settlement prices. The intraday settlements are differentiated from daily settlements.
  • Market Close - Published at the end of each day's trading in the contract and displayed in X_TRADER’s Close column. No further trades will be sent after the Market Close has been received.

The exchange provides a Value Added Price feed for providing high/low and open/close prices. However, TT users do not require these streams. The TT Gateway automatically calculates these values based on market data from the regular price feed.

Publishing Settlement Prices

X_TRADER Version 7.8 and higher contains an enhancement that allows all settlement prices including the YDSP, the Daily, Market Close, Expiry and Intraday settlement prices to display in the Indicative Settlement (IndSettle) column. These prices update the IndSettle column immediately when received. The IndSettle column always displays the last settlement price received from the exchange.

Note

TT Gateways 7.16 and higher no longer includes the Market Close price in the IndSettle column. Also, the Market Close price is no longer forwarded to the Settlement column.

When trading via TT Gateways 7.16 and higher, the Market Close will only appear in the Close column.

At the start of day, the TT Gateway uses the Yesterday Daily Settlement Price (YDSP) to populate the Settle column in all supported versions of X_TRADER.

When the exchange publishes an Official Daily or an Official Expiry settlement price, the TT Gateway immediately publishes that value to the IndSettle column. Following the market close, TT Gateways Version 7.15.6 and higher update the Settle column with the last Official Daily or Official Expiry price that appeared in the IndSettle column.

Older versions of X_TRADER only display the Yesterday Daily Settlement Price in the Settle column. TT Gateways do not support intraday indicative settlement prices when connected to older versions of X_TRADER.

Currently, FIX Adapter does not support intraday indicative settlement prices with the TT Gateway. TT is currently developing a version of FIX Adapter that will support intraday indicative settlement prices.

Example of Settlement Prices

The following illustrates how the TT Gateway populates the IndSettle and Settle columns in X_TRADER Version 7.8 and higher:

Settlement Prices During the Trading Day

Time

(GMT)

Exchange Event

TT Gateway Response

12:35am

Exchange publishes the Yesterday Daily Settlement Price (YDSP)

The Gateway populates the IndSettle and Settle columns with the YDSP

4:16pm

Exchange publishes the Provisional Daily

The Gateway updates IndSettle with the Provisional Daily

4:26pm

Exchange publishes Official Daily

The Gateway updates IndSettle with the Official Daily

6:00pm

Exchange closes the contract

The Gateway updates Settle with the last value shown in the IndSettle (i.e., Official Daily)

6:04pm

Exchange publishes the Official Market Close

The Gateway updates IndSettle with the Official Market Close

Configuring Start of Day Records

The change in settlement price handling allows users to utilize the Auto-Calculate-SOD functionality in the Aconfig Utility to publish start of day records.

For a description of this functionality, refer to the TT Gateway System Administration Manual.