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Support for Settlement Prices

Overview

The exchange calculates and publishes the settlement prices of all listed contract months for each day. This includes contracts with and without open interest.

The settlement price is calculated as the theoretical value based on the expected volatility for each series set by the Exchange.

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

  • Settlement – Represents the previous trading day's official daily settlement price. At the start of the trading session, TFX Gateways receive the Settlement price from the exchange and uses this value to populate the Settle column in X_TRADER.
  • Intraday - The intraday settlement price represents the current settlement price for the contract. TFX Gateways receive the Settlement price from the exchange and uses this value to populate the IndSettle column in X_TRADER.
  • Close - Final official settlement prices for an expiring contract, and are published to the Settle column as soon as a contract finishes trading on its expiry day.

Viewing Settlement Prices

At startup, TFX Gateways update the Settle column with the official settlement price from the previous day. This eliminates the risk of having the Settle column updated during the middle of the trading day, and allows traders to start each day with the new official settlement price from the previous day. This specific Gateway behavior is hard-coded, and cannot be configured by traders.

Intraday settlement prices are populated in the IndSettle column when published by the exchange.

The contract’s close price represents the final price once the contract expires and replaces the Settlement price listed in the Settle column.