Market Structure

XCDE Sessions follow the Foreign Exchange global standard for Start and End-of-Day locked to 5pm New York time (always local time, summer and winter). The Repo Instrument Far_Legs listed on REPO/Lend, ID = Intra-day, ON = Overnight, TOD-TOM = Today-Tomorrow for week-ends only and 1w = 1 week, 2w = 2 weeks are maturing on the 5pm New York datelines of their Maturity Date as follows.

TuesdayMon 5pmTuesday 5pm
WednesdayTue 5pmWed 5pm
ThursdayWed 5pmThu 5pm
FridayThu 5pmFri 5pm
MondayFri 5pmMon 5pm

Note that to minimise operations work during week-ends like in FX, ON Repo (Overnight) on Fridays are 3-day Repo spanning over the week-end.

An ID Repo traded on Saturday will have its Far_Leg maturing on Monday at 5pm NY. To clarify the "session" concept, make a TradingSessionListRequest REST call to this EndPoint and receive the current and future Sessions you can trade.

The active Instruments in each Session will be listed (next chapter) when filtering using the current session.