2013issue C0254-55
Session cutoffs, good-till-cancelled orders, and exchange margin
After grain hours expanded to about 21 hours a day, the book was open for early-weekday USDA releases. A later electronic stock-index cutoff then decided whether a fill after the afternoon pause was still today. Overnight working exits needed a good-till-cancelled duration, and exchange margin was levied only at the official close.
- A session cutoff is the clock that ends one futures trading day and starts the next, so it decides whether a late fill is current-day business or the following session.
- After the mid-2012 grain-hours expansion, electronic grain trade ran about 21 hours a day, beginning Sunday at 5 pm Central, so a reaction to early-weekday USDA releases did not wait about two hours for the book to reopen.
- After 18 November 2012, electronic stock-index fills through 4:15 Central belonged to the current session. The 3:15 to 3:30 halt remained an intraday pause, and activity after the 5:00 reopen counted as the next session.
- A stop or limit working between 3:30 and 4:15 expired at 4:15 unless it was good till cancelled, and the daily close was the only time in a 24-hour span when exchange margin was levied.
A session cutoff is an execution clock
In the TradersWeek editorial reading, a futures session clock is an execution control rather than a calendar label. The session cutoff ends one trading day and starts the next. It decides which session a fill belongs to, whether overnight exposure has begun, and when a working order dies if it is not good till cancelled.
The editorial sequence is to map when the book is open around scheduled reports, classify a late fill as same-day versus next-session business, keep overnight exits on good-till-cancelled instructions, and treat the official close as the moment of exchange-margin enforcement.
Grain hours and report-hour access
After the mid-2012 grain-hours expansion, grain futures and options were listed about 21 hours a day, up from 17 hours before the change. Under the expanded grain schedule, electronic trade began Sunday at 5 pm Central, paused at 2 pm on weekdays, resumed at 5 pm Monday through Thursday, and halted for the weekend at 5 pm Friday.
Longer grain hours were meant to give report-hour access. Traders could react immediately to early-weekday USDA releases instead of waiting about two hours after the news before the book reopened. A second stated reason for the grain expansion was to keep volume from shifting to newly listed grain futures at a competing exchange.
Stock-index fills and the intraday pause
Before mid-November 2012, electronic stock-index futures such as the emini S&P 500, emini Nasdaq, and emini Dow ended the day at 3:15 Central and opened the next session at 3:30. After 18 November 2012, stock-index fills through 4:15 belonged to the current session. A 15-minute intraday pause still ran from 3:15 to 3:30. That halt was not the session end. Activity after the 5:00 reopen counted as the next session.
Pit-traded full-size S&P 500 hours and session cutoff were left unchanged. The electronic stock-index cutoff change was presented as a February 2013 to February 2014 pilot tied to circuit-breaker calculation rules.
Exchange margin at the official close
The daily close was described as the only time in a 24-hour span when exchange margin is levied. That close is the exchange-margin-enforcement point in the cycle. A long emini opened after the 3:15 to 3:30 pause and before 4:15 could be treated as same-day exposure rather than the next session. Same-day versus next-session classification therefore changed overnight exposure and margin treatment.
Good till cancelled across the cutoff
A stop or limit working between 3:30 and 4:15 expired at 4:15 unless it was good till cancelled. Good till cancelled is the order duration that keeps a working entry or exit alive across the session boundary instead of expiring at the close.
In the TradersWeek editorial reading, an overnight exit that needs to remain live after 4:15 is placed as a good-till-cancelled instruction, because a day-only stop or limit expired at that cutoff.
All readings on this track · 8 readings
- 1982Swing charts, stop-loss orders, and good-till-cancelled covers in a bond-market coil
- 1982Park good-till-cancelled targets after commissions at the chart bands
- 1987Write the danger-point stop before the trade is accepted
- 1989Christmas tree construction as a five-week monthly procedure
- 2006Constructing the single-price open from overnight flow
- 2008Overnight session routing for good-till-cancelled, limit, and market orders
- 2013Session cutoffs, good-till-cancelled orders, and exchange margin
- 2013Depth of market ladder versus resting order ticket