Ask HN: How is the Weekend Wall Street price index calculated? | Hacker News Reader

Ask HN: How is the Weekend Wall Street price index calculated?

3 pointsarthurcolle5 comments

I don't get it. There's no trading over the weekend. So how is this index calculated?

https://www.ig.com/en/indices/markets-indices/weekend-wall-street

dark pool. Its not always best there can be jolts at the sunday open.

I heard that it's just a simulator based on people who have accounts at that IG.com brokerage. Can you cite any sources for your claims? Just trying to get a sense of what this -2.5% drop actually means in any kind of real-world sense.

It would be hard to cite a source available publicly online as its a marketplace and not a financial product. Dark pools offer the hedge for IG accounts otherwise theyd be exposed to risk. FX and certain indexes are available 24/7 in no other place (see continuous trading marketplace).

Ok so tell me if I got this right - say N=100K clients have on average 500K in balances in this financial institution (Q_1: so IG is a broker, presumably..?) and some fixed percentage of clients, call it Np_1 (assume p_1 <= 0.05), participate in this weekend game... like uh so what? Is some of this Np_1 population of IG's clients actually submitting trades in some sort of market simulation, or are they really submitting actual lmt, mkt, sl, etc. orders over the course of the weekend and these guys compose an index that composes friday's closes with the new orders and establishes a rough guide of what would happen if mkts were actually open? I mean, I guess I get it if that's the case, but... I mean that's a super rough estimate. Must be wrong most of the time. Just wondering if that's the idea.

How does it change through the course of the weekend? Is it truly reliant on people submitting orders over the course of the F-M interval? If so, then this assumption clearly has a huge retail bias, (since only retail investors are likely submitting orders over the weekend) and as a result, apparently fails to effectively capture the behavior of larger institutional mkt participants, nor does it factor in the principal investment behavior of larger-scale BB IBs.

Can you help me understand why dark pool behavior would even matter during off-hours here? I seriously doubt anyone working at a MM that offers some kind of dark pool to clients would be submitting manual orders over the course of a weekend... right..?

I feel like I must be missing something. I can't imagine more than 15% of investors, across the retail and (everyone else) investor community are actually submitting orders over the weekend but this is a total guess. And I would guess aggregate notional value for all of those trades would be less than 1%, if I were to guess, of the previous Friday's total gross trading volume

I think you're going into all this assuming IG is making their own sort of betting platform for the weekend. Reality is they hedge against the dark pool with standard market orders - against other banks or large institutions who also have the need to hedge.

Big banks typically still let you buy FX over the weekend, and if you have a good feed you can see the activity over the weekend - though the spreads are larger. This is also how the FX market opens with a weekend gap - because of the trades on the weekend, remember FX markets don't have opening auctions. The index products are just extensions of the FX market but on smaller more centralised dark pools.

Its also heavily profitable to trade on the weekend because you can have your bids and asks very wide and simply make money off the spread. Its IGs job to aggregate them down and they make their spread revenue that way.

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