Why Overnight Futures Position Prices Reset to Settlement Price

Summary

This forum discussion explains why a futures position queried the next day may show a price different from its original entry. In markets that use daily mark-to-market settlement, the exchange settles the day’s profit or loss and the broker’s reported position cost is carried forward using the settlement price. The position display therefore reflects the current accounting basis, rather than preserving the original fill price. The post contrasts this convention with stock position-cost displays and attributes the observed behavior to standard futures settlement rather than a broker or platform fault.

For strategies that need the original entry price, the discussion recommends maintaining it from trade records or calculating a volume-weighted average from fills, with persistent strategy state as another approach. These methods address strategy bookkeeping; they do not change the broker’s settled position data. The explanation is framed around a CTP futures connection and should be understood in the context of markets and interfaces that apply daily settlement.

Key ideas

• Daily futures settlement realizes gains and losses and can reset the reported position cost to the settlement price.
• A next-day position price may therefore differ from the original execution price without indicating a broker error.
• Strategies needing the entry basis can retain trade prices or calculate a weighted average from fills.
• The explanation applies to daily-settled futures reporting and is illustrated through a CTP connection.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.