In the Settlement Rules of China Financial Futures Exchange (Draft for Comment), the settlement price of the day adopts the weighted average price of the volume of futures contracts in the last hour. The reason is to prevent possible market manipulation and avoid the daily settlement price from deviating too much from the futures closing price and the spot opening price the next day.

If there is no transaction in the last hour, the average price of the transaction price in the previous hour weighted by the volume shall be taken as the settlement price of the day. If there is still no deal during this period, push it forward for another hour. And so on. If the trading time of the day is less than one hour, the weighted average price of the whole time period shall be taken as the settlement price of the day.

If there is no transaction price on that day, the settlement price of the contract on that day is: contract settlement price = settlement price on the previous trading day of the contract+settlement price on the previous trading day of the benchmark contract-settlement price on the previous trading day of the benchmark contract, where the benchmark contract is the contract with the closest delivery month on that day.

If the contract is a new listed contract and there is no transaction on the first day of listing, the calculation formula of the settlement price on that day is: the settlement price of the contract = the benchmark price of the contract+the settlement price of the benchmark contract on that day-the settlement price of the benchmark contract on the previous trading day.

If the settlement price of the day cannot be determined by the above method or the calculated settlement price is obviously unreasonable, the ownership of CICC determines the settlement price of the day.

So what is the weighted average price?

In daily life, the average price we talk about mainly includes "arithmetic average price" and "weighted average price", and the weighted average price is divided into "arithmetic weighting" and "geometric weighting". Usually we use "arithmetic weighting".

Taking silver TD trading as an example, we assume a simple situation:

On a certain day, silver TD contract trading * * * has five price points: 8 150(80 lots), 8 155(5 lots), 8 160(5 lots) and 8 165(5 lots).

8 170(5 lots), with a total turnover of 100 lots.

Then the arithmetic average price is the sum of these five prices divided by five, that is:

(8 150+8 155+8 160+8 165+8 170)/5=8 160

However, we can see that this price is not very reasonable. In fact, the range from 8 150 to 8 155 is a transaction-intensive area. Because this interval accounts for 85% of the trading volume of the day, when calculating the arithmetic average price, people comprehensively consider calculating the average price according to the number of times (mathematically called frequency).

We consider this 100 lot, so there are actually 80 8 150, 5 8 155, 5 8 160, ..., so to fully reflect the real situation of prices, we must take into account the frequency of each price point, which is called "weighting"

So we calculate the average price of this day like this:

(8 150*80+8 155*5+8 160*5+8 165*5+8 170*5)/(80+5+5+5+5)=8 152.5

After rounding, it is 8 153, which is the weighted average price of the contract on that day.