Matthew,
I tried to contact you by email but did not get any answer. Now I try this forum.
I had problems with with the execution of EuroSTOXX-Future (EXM6). Last Monday the markets were closed here in Germany but the order was executed. Unfortunately at a time when the markets are closed even when there is no holiday (13:50 your time, 19:50 Frankfurt time) How do you track european holidays?
The way we track European holidays is this. A few days after the European holiday occurs, an irate European user calls us up on the phone, and tells us we did not properly account for a European holiday. Then we fix the error.
Just kidding. (Sort of.) I will talk to you off-line about the particular error, and will fix the incorrect trade. I should say that it is often difficult to track holidays on all the exchanges we follow, although I am working on automating that to a greater degree. We’ve done a lot of work automating holiday calendaring here in the U.S., but I do need to do the same for the European exchanges we follow (LIFFE and EUREX).
