FIXING TIMES - in the forex market/s

This is a discussion on FIXING TIMES - in the forex market/s within the Forex forums, part of the Markets category; Further to my post re. who sets the fixings, the 16:00 London one is set by the WM company, which ...

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Old Apr 29, 2005, 1:38am   #21
Joined Sep 2004
Further to my post re. who sets the fixings, the 16:00 London one is set by the WM company, which is a Reuters subsidiary service. It's based on a time series snapshot of the market immediately prior to 1600 London time.

GJ
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Old May 15, 2006, 12:01pm   #22
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Originally Posted by GammaJammer
.....

The official fixings all relate to cash market prices. I have no idea if the futures exchanges publish an equivalent but I doubt it. Obviously though, spikes caused by fixing trades ill have some knock on effet in the futures market, as whenever prices get more than a pip out of lilne arb traders will step in.

Looking at mishak's post on moneytec, the detail of the mechanics of how market makers approach it isn't far off, but the most active fix times don't correspond to my personal experience, so I'll try and pull all this together later on this month.
Hope this helps

GJ

the cme do have a daily fixing at 9.00 cst - but this is only for option expiration purposes. currently it only applies to the euro and yen futures, as they are the only fx contracts with both european and american style options. im sure they just call it a 'fix' for affect - for all you forex junkies
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Old May 16, 2006, 2:46pm   #23
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Originally Posted by charliechan
the cme do have a daily fixing at 9.00 cst - but this is only for option expiration purposes. currently it only applies to the euro and yen futures, as they are the only fx contracts with both european and american style options. im sure they just call it a 'fix' for affect - for all you forex junkies
Never heard of anyone in the cash market actually using that one, but all derivatives exchanges have to have some sort of process for benchmarking expiry rates. From my Liffe days seem to remember that this usually means a series of snapshot rates taken a few minutes prior to the close, with highest and lowest 'outliers' stripped out prior to averaging. Guessing all the exchanges follow a similar practise.

GJ
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