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1. Position Synthetic Book Path 1 Sell FVS Feb15 Sell FVS SPD Jan15 Mar15 Buy FVS Jan15 2 Sell FVS Jan15 Buy FVS SPD Jan15 Feb15 Buy FVS Mar15 3 Sell FVS Feb15 Buy FVS SPD Mar15 Apr15 Buy FVS Apr15 The synthetic book path at position 1 precedes the synthetic book path at position 2 because of comparison rule 2 i e according to the expiry date of the simple instrument with the later expiry date FVS Feb15 expires before FVS Mar15 Comparison rule 1 cannot distinguish these two synthetic book paths The synthetic book path at position 3 is last in the list because of comparison rule 1 FVS Jan15 expires before FVS Feb15 Example 11 11 Sorting synthetic Buy FVS Jan15 book paths for matching along a long synthetic match path equivalent to Position Synthetic Book Path 1 Buy FVS SPD Jan15 Feb15 Buy FVS SPD Feb15 Mar15 Buy FVS Mar15 2 Buy FVS SPD Jan15 Apr15 Sell FVS SPD Mar15 Apr15 Buy FVS Mar15 3 Buy FVS SPD Jan15 Mar15 Buy FVS SPD Mar15 Apr15 Buy FVS Apr15 The synthetic book path at position 1 precedes the synthetic book path at position 2 because of comparison rule 3 here according to the expiry date of the second leg of the higher prioritized futures spread instrument FVS Feb15 expires before FVS Apr15 Comparison rule 1 and 2 cannot distinguish these because of comp two synthetic book paths The synthetic book
2. i e og MIN os 0 507 The standard variance of for a variance futures instrument stays constant throughout the whole life time of the instrument e The clearing price offset C 3000 to avoid negative futures prices During the trading day participants can trade variance futures instruments like any other futures instruments by submitting orders or quotes The limit of an order or quote is interpreted as volatility 147 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 strike o or simply as volatility o and the order or quote size is interpreted as vega quantity N which results to the vega notional v by multiplying the vega quantity N with the vega unit U i e by setting v N XU Once an order or quote has been executed at trading day t the matched volatility and the matched vega quantity N are converted into the P Q clearing notation with preliminary clearing price P 0 and clearing quantity Q v While the clearing quantity is given by the corresponding conversion formula described above the preliminary clearing price P c is based on the conversion formula with the realized variance o7 1 t 1 the discount factor D _ and the Accumulated Return on Modified Variation Margin ARMVM _ valid on the previous business day t 1 Once the underlying observation sen the interpolated interest rate r and the overnight interest rate r of the current business day t are known an
3. 9 3 3 General Trade Statistics The general trade statistics are published by both market data interfaces They are reported both for simple instruments and for complex instruments The statistics strictly refer to trades of the same business day and contain the following data e Last Auction Trade Price The Last Auction Trade Price is reported separately for each type of auction It is the auction price of the last auction so far for that day for a given auction type where an auction trade occurred If an auction ends without an auction price because the order book was not crossed the content of this data is not changed and so it may contain the auction price of an earlier auction e Opening Price The Opening Price is the first trade price of the business day at whatever point in time it occurred e Closing Price The Closing Price is the last trade price of the business day at whatever point in time it occurred It becomes available only after the product has entered the product state Post Trading e High Price The High Price is the highest trade price of the instrument so far on that day e Low Price The Low Price is the lowest trade price of the instrument so far on that day e Total Traded Quantity The Total Traded Quantity is the sum of the quantities which have been matched in the instrument s order book trading accumulated over the current day Included are first of all those match quantities where orders of the instr
4. This enables a calculation of the price ranges for a few sample reference prices as follows Reference Price Calculation Resulting Price Range 0 27 0 10 0 27 x 0 100 0 10 1 00 0 1 00 x 10 100 0 10 3 50 0 3 50 x 10 100 0 35 5 00 0 50 5 00 x 0 100 0 50 7 80 0 50 7 80 x 0 100 0 50 During a Fast Market the values for the price range are doubled Price Range Fast Price Range x 1 100 100 Price Range x 2 6 1 3 Availability of Price Range Tables Standard Price Range Tables and Extended Price Range Tables are set up by product and by instrument type Standard Price Range Tables for simple instruments are even defined by instrument as the price ranges may depend on the expiration of the instrument Standard Price Range Tables are always available for all products while the Extended Price Range Validation and thus the related tables are not available for all products There is an independent version of the Extended Price Range Tables to be applied for the validation of stop limit orders that are not triggered on entry or modification Configuration Data The standard price range tables for a specific product are published by T7 s Reference Data Interface in the product snapshot message RDI group message name PriceRangeRules The identifier of the relevant standard price range table for a specific instrument is then available in T7 s Reference Data Interface s instrument snaps
5. A match event is subdivided into Match Steps In direct matching which is described in this chapter a match step comprises all matching at a specific price level The precise definition of a match step is that it comprises all matching where all the matched book orders are allocated in one distribution step per involved instrument This however gains relevance only in synthetic matching where several match steps per price level are possible see chapter 11 3 and can thus be ignored in this chapter Match Step Identifier Each match step has a Match Step Identifier that is unique on a product level for the business day The match step identifier is included in the publicly distributed trade volume reporting data and at the 63 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 same time the match step identifier is also contained in the order execution messages that are received by the owners of the involved orders In this way participants are given the ability to link their own order execution information with the public trade volume reporting data 7 3 Market Order Matching in Continuous Trading 7 3 1 The Market Order Matching Range Market orders are entered by traders in order to be matched at any price as long as this is the best available price Like limit orders they may be saved on the book when they cannot match The Market Order Matching Range helps to protect market orders against unfair trades It
6. 1 and the expiration day is represented by t T indicating that no trading activities take place on the expiration day t T For each business day t of a variance futures instrument i e for each trading day and for the expiration day a representative value of the underlying equity index is chosen as daily underlying observation S with t 0 T The realized variance o 7 1 t valid at business day t covers the daily history of the variance futures instrument by taking into account the underlying observations Sb SH It is defined by A wo sind 10000 x x gt t sey PF i 1 t er Ge t Fool A Sund X Ofeqi Lt 1 10000 x x In Ea t 1 The annualization factor A is normally chosen to be approximately the number of underlying observations in a year and commonly set to 252 The definition of the realized variance does not coincide with the classic mathematical definition of a variance as it is market convention to omit the mean value in the calculation of the variance Note furthermore that the volatility o is expressed as a percentage thence the factor of 10000 in the formula Considering the trading conventions in the OTC variance swap market the general concept of an on exchange traded variance future is based on the following aspects e Trading i e order and quote maintenance matching is performed in volatility o as pricing information and in vega notional v N x U with
7. 4 Orders This chapter starts with the characteristics and the maintenance of orders in general especially Regular Orders Special types of orders as Stop Orders One Cancels the Other Orders Book Or Cancel Orders and Closing Auction Only Orders are dealt with further down in this chapter Quotes are described in chapter 5 4 1 Order Attributes 4 1 1 Limit Price An order can be either a Limit Order or a Market Order Limit orders have a limit price The limit price indicates the maximum price at which a buy order is allowed to match or the minimum price at which a sell order is allowed to match Market orders are orders that have no limit price They are only allowed for simple instruments Since market orders are not protected by their limit price there are other mechanisms that give market orders some protection against unreasonable trade prices First of all market orders are protected by price limits that depend on current market conditions They are described in chapter 7 3 Furthermore the market data feeds of T7 publish no information about the presence of market orders Market orders are hidden orders The Tick Size defines the minimum increment for trade prices in a product Any trade price is an integer multiple of the tick size A valid limit price must be a valid price as defined by the Price Step Table that is relevant for the instrument A price step table defines price intervals and the size of the price step for each
8. SP Delta BC SC BP SP Vega BC BP SC SP where BC is the number of bought call contracts BP is the number of bought put contracts SC is the number of sold call contracts and SP is the number of sold put contracts For Futures these statistics can be represented as follows Volume BF SF Dela BF SF Vega NA where BF is the number of bought futures contracts and SF is the number of sold futures contracts The Delta statistics and the Vega statistics can be negative Therefore it is the absolute values of the Delta statistics and of the Vega statistics that are checked against their respective limits The Percent statistic sums up a value that is calculated comparing the traded volume of the quote to the original total size of the quote For complex instruments it is important to note that it is the traded volume of the quote in the complex instrument itself and not the traded leg volumes that are considered for the Percent statistic The idea of the Percent statistic is to have a volume statistics that however gives equal weight to quotes with different quantities in different instruments The Percent statistic is defined as Percent Statistic gt Round 100 x Traded Quantity Total Quote Size where the summing is done over all the executions of the session s quotes The calculated percentage value for each executed volume is rounded to the nearest integer value e g 2 4 is rounded to
9. because the published best price 115 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 may be a synthetic price that is better than the best limit price in the instrument s own order book Note that the behavior for a synthetic match of a book market order differs here from the behavior for a direct match which was explained further above Example 11 16 The following orders are in the order books of the product FVS e a buy order for the futures spread FVS SPD Jan15 Feb15 at a price of 0 40 e a buy order for the futures spread FVS SPD Feb15 Mar15 at a price of 0 65 e a buy order for the simple instrument FVS Mar15 at a price of 23 50 e a buy market order for the simple instrument FVS Mar15 e a buy order for the futures spread FVS SPD Mar15 Apr15 at a price of 0 60 e a buy order for the simple instrument FVS Apr15 at a price of 22 95 The simple instrument FVS Jan15 has therefore a best available buy price of 24 55 0 40 0 65 23 50 which is given by the synthetic book path for matching along a long synthetic match path that corresponds to the first three orders in the list above And the simple instrument FVS Mar15 has a best available buy price of 23 55 0 60 22 95 which is given by the synthetic book path for matching along a short synthetic match path that corresponds to the last two orders in the list above An incoming sell order for FVS Jan15 matches against the synthetic book pa
10. e The sequence of processing of instruments that cannot be distinguished by the above rules merely follows the value of the technical instrument identifier in T7 The assignment of technical instrument identifiers by T7 does not follow any rule The status of a session s quotes being active or inactive is persistent It survives all situations when quotes are deleted intra day including session disconnect and a technical failure of the central Matching Engine Quotes being entered after such an event are still inactive if quotes had been inactive before the event However at the start of day all sessions are set to having active quotes even if they had their quotes being inactive at the end of the previous trading day 5 3 7 Safeguards T7 applies the following rules in order to prevent unwanted matching between quotes of the same session or to remove unwanted quotes from the order book 1 A crossed double sided quote is rejected by T7 2 If anew single sided quote is executable against the same session s old quote on the contra side of the same instrument s order book then the old quote is deleted by T7 and the new quote is added Here the decision if a quote is executable or not does not depend on whether the instrument state would actually allow the execution of the quotes but is entirely based on the limit price of the buy quote being greater than or equal to the limit price of the sell quote 3 When many quotes are sent in one
11. similar contract values The synthetic matching of such inter product spreads is equivalent to the matching of futures spread instruments with a Short Synthetic Match Path The following sub chapters describe the synthetic matching only for such instruments Synthetic matching of inter product spread instruments with more than two legs or with leg ratios that are not 1 or with strongly different contract values will be described in this chapter in a later version of this document when such instruments are set up by an exchange In this chapter the term order always stands for both orders and quotes And the term incoming order is always to be taken in the extended sense as explained in chapter 7 1 above 15 4 1 Inter Product Spread Synthetic Matching Basics This chapter explains how different simple instruments and inter product spread instruments can be combined for synthetic matching Prices are ignored in this chapter In continuous trading T7 supports two ways of matching futures instruments with inter product spreads additionally to the five ways of matching of futures instruments that had been described in chapter 11 3 1 above 6 Direct matching of orders of the same inter product spread instrument 7 Synthetic matching of orders in two simple instruments and in one inter product spread instrument where the simple instruments are the leg instruments of the inter product spread instrument Direct matching is for inter product spr
12. 1 10 3 1 Overview 10 3 2 Supported Order Categories 10 3 3 Net Price and Leg Execution Prices 10 3 4 Instrument States of Complex Instruments 10 3 5 Uncrossing 10 3 6 Volatility Interrupt 10 3 7 Minimum Quote Size 10 3 8 Price Reasonability Check 10 3 9 Request For Quote 11 Futures Spreads 11 1 Definition of Futures Spreads 11 2 Creation of Futures Spreads 11 3 Synthetic Matching in Continuous Trading 11 3 1 Match Paths 11 3 2 Synthetic Pricing 11 3 3 Matching Procedure 11 3 4 Sorting Book Paths 11 3 5 Path Allocation 11 3 6 Execution Prices 11 3 7 Market Orders in Synthetic Matching 11 4 Synthetic Uncrossing 11 4 1 Procedure Overview 11 4 2 Uncrossing Trades of Simple Instruments 11 4 3 Synthetic Uncrossing Trades of Futures Spread Instruments 11 4 4 Feeding of Futures Spread Orders 11 4 5 Triggering of Stop Orders 12 Packs and Bundles 12 1 Definition of Packs and Bundles 12 2 Creation of Packs and Bundles 12 3 Pricing of Packs and Bundles 12 4 Matching of Packs and Bundles 13 Strips 13 1 Definition of Strips 13 2 Creation of Strips 13 3 Pricing of Strips 13 4 Matching of Strips 91 92 92 94 95 95 95 95 96 97 97 97 98 98 104 107 109 110 112 114 117 117 118 118 119 119 120 120 121 121 122 123 123 123 124 124 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 14 Standard Futures Strategies 14 1 Definition of Standard Futures Strategies 14 2 Creation of S
13. 15 1 Definition of Inter Product Spreads An inter product spread is a complex instrument that consists of two or more leg instruments belonging to different futures products of the same market As an inter product spread instrument cannot be attributed to one specific product it belongs instead to a Product Pool A Product Pool is simply a grouping of products that has been formed for the purpose of supporting and configuring inter product spread instruments on this group of products Configuration Data T7 s Reference Data Interface publishes information on product pools using the same product snapshot messages that are used for products A product pool that supports inter product spread instruments can be recognized as such with the help of the RDI field MarketSegmentPoolType The characteristics of inter product spread instruments in T7 are e 2ormore leg instruments e All leg instruments are futures instruments e Atleast 2 leg instruments belong to different products e Atleast 1 Buy leg and at least 1 Sell leg e Leg ratios can be any integer number up to 999 An inter product spread instrument has an instrument subtype which is however for informational purposes only i e there are no templates defined for specific instrument subtypes of inter product spreads There are no restrictions concerning the futures products that can be combined to form inter product spreads other than they have to belong to the same market T7 support
14. 3130 which is determined as the best buy price plus the market order matching range i e 3120 Range 3120 3130 The incoming buy market order is thus executed against order 1 at price 3125 and against order 2 at price 3130 But it is not executed against order 3 because of the market order matching range The order is instead written to the order book with a remaining quantity of 30 7 3 3 Matching of Book Market Orders If there are one or more book market orders resting on the side of the order book that is opposite to the side of the incoming order then these book market orders are executed at a trade price that is equal to the best available limit price on the side of the resting market orders This means that the execution price at which a book market order that faces an incoming order is allowed to match is not extended by the Market Order Matching Range In case that synthetic matching is supported this best available limit price can be a synthetic price which may differ from the best limit price taken from orders in the same instrument and even from the published best price See chapter 11 3 2 for details on synthetic pricing If there is no such best limit price available resting buy market orders can still be matched at the instrument s minimum price which is relevant mainly for out of the money options series When book market orders are matched at the same price as the best priced book limit orders the book market or
15. A user request for an RfQ is accepted only if all of the following conditions are fulfilled e The instrument state is Continuous or an auction state e There had been no other RfQ for the same instrument shortly before e The same user has not entered more than a maximum number of requests for an RfQ for instruments of the product in the last time e The spread between the best buy price and the best sell price is not narrow enough or alternatively the quantity of the best price is not high enough The actual values of the involved time windows maximum numbers price spreads and minimum quantities to be applied for the above conditions depend on configuration parameters that are set by the exchange on a by product basis The values may also differ during a Fast Market when quoting requirements may be more relaxed and thus conditions for the acceptance of requests for an RfQ are stricter Configuration Data The values of the parameter that controls whether RfQs are supported and of the parameters that limit the frequency of RfQs are available in the Trading Parameters File which is part of the Products and 52 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Instruments Files on the Eurex website see chapter 1 2 Usage Notes 53 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 6 Price Range Tables and their Applications 6 1 Price Range Table Basics 6 1 1 Functionality Ove
16. European Energy Exchange EEX are hosted on the same system each being set up as an own market with its own products Participants are either Eurex members or EEX members 2 2 2 Complex Instruments The instruments that are futures contracts or option series are called Simple Instruments in order to distinguish them from Complex Instruments A complex instrument is an instrument that facilitates the simultaneous trading of two or more simple instruments at a net price with the guarantee that either all or none of the involved simple instruments get executed The simple instruments that make up a complex instrument are referred to as the Leg Instruments of the complex instrument Currently T7 supports the following types of complex instruments e Futures Spreads are calendar spread combinations for futures e Packs and Bundles allow to simultaneously buy or sell all quarterly contracts of a futures product that expire in a time span of one or more years e Strips are similar to Packs and Bundles but allow a more flexible choice of leg instruments 16 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Standard Futures Strategies are multi leg futures strategies that conform to a strategy type which is pre defined by the exchange e Inter Product Spreads are spreads between contracts of different futures products e Standard Options Strategies are multi leg options strategies that conform to a strategy type whi
17. FVS SPD Jan15 Feb15 i e sell FVS Jan15 and buy FVS Feb15 e the sell side of FVS Feb15 99 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Here 1 the buy side of the simple instrument FVS Jan15 is matched against the first leg of the sell side of the futures spread instrument FVS SPD Jan15 Feb15 which is selling FVS Jan15 and 2 the second leg of the sell side of the futures spread instrument FVS SPD Jan15 Feb15 which is buying FVS Feb15 is matched against the sell side of the simple instrument FVS Feb 15 Example 11 3 Consider the example of an incoming futures spread order in the product FVS that matches along a short synthetic match path of the type e the sell side of S1 e the buy side of C1 2 e the buy side of S2 An incoming buy order for the futures spread instrument FVS SPD Jan15 Feb15 C 1 2 may be executed against a combination of book sell orders in the simple instrument FVS Jan15 S1 and of book buy orders in the simple instrument FVS Feb15 S2 The match path consists therefore of e the sell side of FVS Jan15 e the buy side of FVS SPD Jan15 Feb15 i e buy FVS Jan15 and sell FVS Feb15 e the buy side of FVS Feb15 1 the sell side of the simple instrument FVS Jan15 is matched against the first leg of the buy side of the futures spread instrument FVS SPD Jan15 Feb15 which is buying FVS Jan15 and 2 the second leg of the buy side of the futures spread instrument FVS SPD Jan15 Feb
18. MIN 40 10 20 50 3 Futures spread FVS SPD Feb15 Mar15 Buy 30 at a price of 0 60 by synthetic book path for matching along a triangle match path Sell FVS SPD Jan15 Feb15 Buy FVS SPD Jan15 Mar15 Price 0 60 1 05 1 65 Quantity 30 MIN 10 20 40 Best Available Price and Published Best Price The public market data contains for both simple instruments and futures spread instruments best synthetic buy prices and best synthetic sell prices provided that such a synthetic price is at least as good as the corresponding best limit price on the respective instrument s order book side itself These best synthetic prices are derived by using only such synthetic book paths that allow synthetic matching along a short synthetic match path Synthetic book paths that allow matching along a triangle match path or along a long synthetic match path are not reflected in the public market data It must be therefore distinguished between the Best Available Price which is the best price that is really available for an incoming order and which may be given by any synthetic book path that allows matching along a supported match path and the Published Best Price which is the best price that is indicated in the public market data and which does not take all the possible synthetic match paths into 105 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 account This distinction plays e g an important role in th
19. Option Leg Multiplier The rules for the option leg multiplier are e The option leg multiplier must be the same for all the option legs of a specific options volatility strategy instrument In this way the ratios between the option leg ratios remain the same as in the options volatility strategy type template e The option leg multiplier must be greater than or equal to the Minimum Options Volatility Strategy Multiplier which is defined by the exchange e The option leg multiplier must be smaller than or equal to the Maximum Options Volatility Strategy Multiplier which is defined by the exchange Eurex Set Up Information Currently for most products Eurex has configured both the minimum options volatility strategy multiplier and the maximum options volatility strategy multiplier with the value 100 This means that 100 is the only allowed value for the option leg multiplier for these products Exceptions are the product ODAX and the related weekly options products for which the minimum options volatility strategy multiplier is 250 and the maximum options volatility strategy multiplier is 500 When processing the creation request for an options volatility strategy instrument T7 may if possible reduce the requested ratios as long as such a reduction does not violate any of the above mentioned rules and as long as the ratios between the leg ratios including the underlying leg ratio are kept constant This procedure is called Leg Rati
20. The execution quantity is the executed quantity in the match step for the instrument This quantity may be shared among several orders e Aggressor Side The Aggressor Side indicates the side of the incoming order Here the term incoming order is understood in the extended sense as explained in chapter 7 1 The aggressor side is not specified in auction trades e Aggressor Time Stamp The Aggressor Time Stamp is reported only if a real incoming order is matched in the match step It is not reported for auction trades and it is not reported if the incoming order is a book order as is the case for example for a triggered stop order The aggressor time is the time when the incoming order arrived at the exchange backend Matching Engine In This arrival time may be slightly earlier than the transaction time of the match step The arrival time is also provided in the response to order maintenance requests and it can therefore be used to determine the difference between the arrival time of an own order and the arrival time of the incoming order in the match step e Number of Buy Orders The number of buy orders that were executed in the match step e Number of Sell Orders The number of sell orders that were executed in the match step The trade volume reporting reports also trades that have been entered directly by market supervision without going through the normal order book matching procedure They are marked accordingly A Trade Reversal
21. V 2 5 1 qi is the open quantity of the order at position i in the sorted list of eligible orders i 1 is the total quantity A available to be allocated minus the sum of the A G amp ideal allocation quantities of the orders which are placed higher in k 1 the sorted list of eligible orders a is the accumulated open quantity of those eligible orders for which Qi ak the ideal allocation quantity still needs to be calculated k i Note that the values of the ideal allocation quantities are in general not integer numbers The calculation of the above formula and thus the result of the time pro rata allocation procedure itself may therefore be influenced by the arithmetic precision that is applied Remainder Allocation Procedure This sub chapter describes the remainder allocation procedure which is applied in the sub step ii of the remainder allocation step as described above The remainder allocation procedure distributes the quantity that remains to be allocated after the basic allocation step Only orders that have not been already fully allocated in the basic allocation step are considered in the remainder allocation procedure First the remainder allocation procedure sorts these orders by quantity and then by priority time This means larger orders come in any case before smaller orders and only if orders have the same quantity then the order with the older priority time stamp comes first The quantity considered in
22. all leg instruments Eurex Set Up Information Eurex does not accept GTC or GTD orders for packs and bundles Apart from that matching of packs and bundles follows the rules that have been described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for packs and bundles i e packs and bundles orders and quotes match only against orders and quotes of the same instrument 122 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 13 Strips This chapter outlines the specific features of strips in T7 The common features of complex instruments in T7 as described in chapter 10 apply for strips except if stated otherwise in the following Eurex Set Up Information Eurex supports strips for selected money market futures products EEX Set Up Information EEX currently does not support strips for any product 13 1 Definition of Strips A strip is a complex instrument similar to packs and bundles Its signature must comply with the following rules e All leg instruments belong to the same futures product e All legs are defined as Buy leg in the signature e All legs have a leg ratio of 1 e The leg instruments are sorted with their expiration dates in ascending order Note that contrary to packs and bundles there are no further restrictions concerning the selection of leg instruments Specifically they do not need to represent
23. also every instrument has its own individual trading state Usually all instruments of a product have the same trading state that depends first of all on the trading state of the product Nevertheless in special circumstances an individual instrument s state may differ from the states of the other instruments of the product See chapter 3 for information on the trading states of products and instruments In T7 an exchange with its own trading rules its own products and its own market supervision is represented as a Market T7 is able to operate multiple markets in parallel on one technical system Each product and thus each instrument belong to a specific market Exchange participants are in general thought of as members of one specific exchange Nevertheless T7 does not technically restrict a participant to one specific market Instead it allows exchanges to 15 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 grant participants and individual users access to their products independent of the participants exchange membership Eurex Exchange s T7 Market Eurex Market EEX Other markets Product F Product FESX F1B1 Instrument instrument FESX Jan16 F1B1 Aug15 Figure 2 3 The market hierarchy in T7 For details concerning the handling of participants and users access to products please refer to the document Participant and User Maintenance Manual Example 2 4 Eurex and the
24. are introduced by an exchange EEX Set Up Information Inter product spreads that are currently offered by EEX combine leg instruments with equal or similar contract values The pricing relation is exactly the same as for futures spread instruments i e Pips Plegi Pleg2 Inter product spreads with a different pricing relation are planned to be offered in a later stage 15 4 Synthetic Matching in Continuous Trading Direct matching for inter product spreads i e matching of orders against each other that belong to the same inter product spread instrument follows the rules that have been described in chapter 10 3 for complex instruments in general T7 supports additionally the enabling of synthetic matching for individual inter product spread instruments This chapter describes the synthetic matching of inter product spread instruments that are enabled for synthetic matching The procedures follow the lines of the procedures for synthetic matching of futures spreads and also have to be seen in the context of these because futures instruments may be subject to both synthetic matching with futures spreads and synthetic matching with inter product spreads at the same time This chapter therefore follows the same structure as chapter 11 3 about futures spreads Currently exchanges offer only inter product spreads with two legs that have leg ratios of 1 and 128 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1
25. attributes on trade items before sending them to the clearing system This automatic trade enrichment is available for quotes and it is available for orders which are sent with the small message layout It is not available for orders which are sent with the normal long message layout which contains the fields for the clearing related attributes See the document Eurex Enhanced Trading Interface Manual for details on order message layouts The automatic trade enrichment is available for the following attributes e Open Close Indicator e Clearing Account e Text Fields e Take up Member Participants may submit several different trade enrichment rules to the exchange identifying them with different integer numbers For each order or quote the trade items of which shall be automatically enriched the identifier of the desired trade enrichment rule needs to be supplied on the order or quote If no trade enrichment rule with the supplied identifier exists or if the desired trade enrichment rule contains no value for a specific attribute T7 forwards the trade item to the clearing system without giving any value to this attribute The clearing system may then set the clearing account and in case of orders the open close indicator appropriately 8 2 4 Additional Fields for Cooperation Products The Eurex KRX Link In the context of a cooperation agreement between the Korea Exchange KRX and Eurex participants may trade a specific product
26. book paths the various book paths compete against each other to be executed against the incoming order The procedure for matching an incoming order in synthetic matching still follows a strict price priority This means that a better priced book path has priority over a worse priced book path no matter whether the book path is direct or synthetic and irrespective of the type of a synthetic book path The following steps are repeated by T7 s matching engine for each available price level until either the quantity of the incoming order is exhausted or until no more orders on the order book are executable against the incoming order 1 It finds the best price level that is available to be matched by the incoming order It is possible that this price level is exclusively given by a synthetic book path and even that this price level is better than the published best price see ch 11 3 2 2 In general several different book paths can contribute to the same price level In a first match step the following book paths are matched if they contribute to the current price level e the direct book path e synthetic book paths that can be matched by forming short synthetic match paths e synthetic book paths that can be matched by forming triangle match paths e one synthetic book path that can be matched by forming a long synthetic match path and if there are more than one such book path available the path is chosen that comes first after th
27. buy side of the futures spread instrument FVS SPD Jan15 Feb15 which is buying FVS Jan15 and 2 the second leg of the buy side of the futures spread instrument FVS SPD Jan15 Feb15 which is selling FVS Feb15 is matched against the first leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is buying FVS Feb15 and 3 the second leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is selling FVS Mar15 is matched against the buy side of the simple instrument FVS Mar15 11 3 2 Synthetic Pricing The Synthetic Price of a Synthetic Book Path An incoming order can match synthetically against the order books of two or more different instruments as described in the previous chapter The part of the match path that is obtained by removing the instrument of the incoming order is called the Synthetic Book Path It is in this way possible to say that in synthetic matching an incoming order matches against a synthetic book path It is then possible by using the best limit prices in the order books of a specific synthetic book path to calculate the Best Synthetic Price for this specific synthetic book path The incoming order that matches synthetically against this synthetic book path is then executed at the best synthetic price of the synthetic book path The general rules for the calculation of a synthetic price are e Asynthetic buy price is calculated as the sum of the prices of all involved bu
28. buy price available then the smallest allowed limit price for the instrument is used instead of the missing best buy price This is relevant for instruments that have a market price close to zero and for which a limit price at or below zero is not admitted like out of the money option series The best buy price or best sell price are here understood as the best price as being published in the market data feed Usually this is the best limit price available on the order book But for synthetically 56 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 traded products this may be a synthetic price See chapter 11 3 for synthetic matching and for the publication of synthetic prices If the above mentioned price spread condition for the standard procedure cannot be fulfilled then the Non Standard Procedure is applied For the non standard procedure an alternative reference price must be available Depending on the product this is either the last trade price or a theoretical price If no such price is available the previous day s settlement price is used instead If neither a last trade price or theoretical price nor the previous day s settlement price is available then there is no alternative reference price available and the non standard price reasonability check cannot be performed The following table lists which price is being used as the reference price for the price reasonability check in the non standa
29. can thus access the orders of everyone in the business unit independent of any trader groups 13 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e User H with the Head Trader level and user I with the normal Trader level do not belong to any trader group Therefore they cannot access each other s orders or the orders of anybody else In addition nobody can access their orders except for Supervisor user G In fact having the Head Trader level is meaningless for user H as long as user H does not belong to any trader group Business Unit XYZFR UserA Head Trader User D Head Trader UserG Supervisor User B Trader User E Head Trader User H Head Trader User Trader User F Head Trader User Trader Trader Group GRP1 Trader Group GRP2 Figure 2 2 Illustration of the user structure of example business unit XYZFR as explained in the text Contrary to the case of orders the owning user of a quote is only of legal relevance The permission to modify or to delete a quote does in no way depend on the owning user or his trader group and being a supervisor user or a head trader user is of no relevance for the maintenance of quotes 2 1 4 Session A Session is a permanently registered connection channel to T7 A session is set up for and belongs to exactly one business unit In order to send requests to T7 a user must use a session that is connected to T7 and that belongs to
30. chapter 8 2 3 for details 5 2 Quote Ownership A quote in T7 is owned by the session through which it had been entered An old quote is replaced by a new one if the new quote is sent through the session that owns the old quote Each quote has also an owning user which is the one that entered the quote but the owning user is only of legal relevance That means that if a user owns a quote on the book and then enters a new quote for the same instrument through a different session the new quote will be added alongside the old one rather than replacing it However if a user enters a quote through a session that has already a quote in the order book then the old quote is replaced by the new quote even if the old quote had been entered by a different user Example 5 1 There is a quote in the book with owning session 1000 and owning user XYZLOLTROO1 1 User XYZLOLTROO1 enters a new quote through the same session 1000 The old quote is replaced by the new quote 2 User XYZLOLTROO2 enters a new quote through the same session 1000 The old quote is replaced by the new quote 3 User XYZLOLTROO1 enters a new quote through the other session 1001 The old quote remains in the book alongside the new quote because they are owned by different sessions Replacing a quote is thus only possible through the session that owns the quote T7 does not support a way to replace a quote that is owned by a different session 41 Eurex Excha
31. create standard futures strategy instruments Standard futures strategy instruments are created by users When creating a standard futures strategy instrument the user must indicate its instrument subtype and adhere strictly to all the rules as given in the corresponding template including the sequence of legs their ratios and their sides Failure to do so will result in a rejection of the creation request 14 3 Matching of Standard Futures Strategies Matching of standard futures strategies follows the rules that have been described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for standard futures strategies i e standard futures strategy orders and quotes match only against orders and quotes of the same instrument 126 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 15 Inter Product Spreads This chapter outlines the specific features of inter product spreads in T7 The common features of complex instruments in T7 as described in chapter 10 apply for inter product spreads except if stated otherwise in the following Eurex Set Up Information Eurex currently does not offer any inter product spreads EEX Set Up Information EEX offers inter product spreads between various power futures They are location spreads between different national market areas More types of inter product spreads are in preparation for the future
32. different leg execution prices as follows e Leg 1 ODAX Jun15 9150 P with a total leg execution quantity of 5 o Leg execution price 0 9 executed leg instrument quantity 4 o Leg execution price 1 0 executed leg instrument quantity 1 e Leg 2 ODAX Jun15 9250 P with a total leg execution quantity of 2 o Leg execution price 1 3 executed leg instrument quantity 2 This distribution fits to the execution price of 2 0 2 0 4 x 0 9 1 x 1 0 2 x 1 3 137 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 18 Options Volatility Strategies This chapter outlines the specific features of options volatility strategies in T7 The common features of complex instruments in T7 as described in chapter 10 apply for options volatility strategies except if stated otherwise in the following 18 1 Definition of Options Volatility Strategies An Options Volatility Strategy is a complex instrument that consists of one or more option leg instruments and one additional underlying leg instrument The option leg instruments must all belong to the same options product which is also the product that the options volatility strategy instrument belongs to The underlying leg instrument is always a simple instrument from a futures product that is traded on T7 as well Configuration Data The information to which futures product the instruments must belong that can be used as underlying leg is published by T7 s Reference Data
33. does not depend on the order execution price Only the leg execution prices of the option leg instruments depend on the order execution price See chapter 18 4 for the specific pricing rules for options volatility strategy instruments The signature of an options volatility strategy instrument must comply with an options volatility strategy type template that is defined by the exchange An options volatility strategy type template contains e the identifier and the name of the options volatility strategy type e the number of the option legs e for each option leg o the ratio o the side o Call or Put o optionally a rule concerning the expiration date o optionally a rule concerning the strike price e the side of the underlying leg Technically options volatility strategy types are realized as instrument subtypes Configuration Data The list of available options volatility strategy types is available in the Instrument Subtypes File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Example 18 1 Eurex defines the options volatility strategy type template for a 2x1 Ratio Put Spread versus Short Underlying as Short Name RBER U Number of Option 2 Legs 1 Leg 2 Leg Ratio 1 2 Side Sell Buy Option Type Put Put Expiration Rule na same as 1 leg Strike Rule n a lower than 1 leg Side of Underlying Leg S As a difference to the case of s
34. done for all these futures spread instruments before step 3 is started for any affected futures spread instrument e Feeding of futures spread orders is completed for all affected futures spread instruments before stop order triggering is processed 11 4 2 Uncrossing Trades of Simple Instruments The uncrossing procedure for a simple futures instrument is any case not synthetic and therefore identical to the procedure that is described in chapter 7 4 1 The reason is that in the moment of the uncrossing of a simple instrument all complex instruments that have the simple instrument as a leg are considered as not being tradable yet It is possible that several simple futures instruments change their instrument state to Continuous in the same transaction They are processed one after the other But since this uncrossing is not synthetic the sequence in which the instruments are processed is not of relevance and thus undefined 11 4 3 Synthetic Uncrossing Trades of Futures Spread Instruments For futures spread instruments that are enabled for synthetic matching a synthetic uncrossing is done The uncrossing trade includes here matching of the two sides of the order book of the concerned futures spread instrument and in addition matching of the order books of the leg instruments by way of the short synthetic match path Matching along the triangle match path or along the long synthetic match path is not considered at this point These paths a
35. enrichment rule if available or else with the previously submitted information about the default KRX Member ID and the default KRX Beneficiary Account The Eurex TAIFEX Link In the context of a cooperation agreement between TAIFEX the Taiwan Futures Exchange and Eurex participants can trade daily futures contracts on TAIEX options and futures on T7 as part of the Eurex market The Eurex TAIFEX products expire daily into obligations to deliver the corresponding options futures positions into the TAIFEX market prior to the market opening at TAIFEX following the closing at Eurex Exchange For details please refer to the announcements about the Eurex TAIFEX link on the Eurex web site Trades in these products must carry the related information about the TAIFEX Member ID the TAIFEX Branch ID and the TAIFEX Beneficiary The Eurex clearing system transports this information in the first and in the third of the three text fields For the TAIFEX link products these two text fields are therefore not available to be used by members for their own purpose For orders with the normal message layout the TAIFEX Member ID the TAIFEX Branch ID and the TAIFEX Beneficiary must be provided by the participant on the order already at the time of order entry Participants that enter orders with the small message layout or quotes in the TAIFEX link products must have communicated the default TAIFEX Member ID the default TAIFEX Branch ID and the default TAIFEX
36. for all instrument types The traded volumes that are counted for quotes in complex instruments are always the traded volumes in the leg instruments Example 5 2 A market maker has configured market maker protection to work instrument type specific for the product OESX A quantity of 10 of a buy quote in a Call Butterfly standard options strategy for the product OESX is executed The result of this is a quantity of 10 being bought in the first leg a quantity of 20 being sold in the second leg and a quantity of 10 being bought in the third leg The Volume statistic counts all traded leg volumes and is therefore increased by 40 10 20 10 Thus the session s Volume statistic for the instrument type Standard Options Strategy is increased by 40 for the product OESX The Volume statistic for the instrument type Simple Instrument is not affected because the quote was a quote for an instrument with the instrument type Standard Options Strategy 47 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 To make use of this mechanism a market maker must define a set of MMP limit values that correspond to the four different statistics described above and the size of the time window must also be defined so that it can be applied for the calculation of the statistics The market maker may define one such set of limit values to be applied to all the session s quotes in the whole product independent of the instrument type Or altern
37. in the instrument signature with the executed order quantity 2 18 5 Quotes and Market Maker Protection The quoting and the market maker protection functionalities are generally applied for the options volatility strategy instrument type in the same way as for the other instrument types However for the calculation of the impact of options volatility strategy quotes on the MMP statistics only the leg executions of the option leg instruments are considered The leg execution volumes of the underlying leg instruments are ignored here In the same way for the validation of the size of an incoming quote against the minimum quote size see chapter 10 3 7 only the option legs are considered while the underlying leg instrument is ignored in this context 144 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 19 Risk Protection The system offers a variety of functionalities that help participants to mitigate their risk Transaction Size Limits enable the participant to restrict the quantity at order and quote entry on user level see the Participant and User Maintenance Manual Order Book Count Limits allow a participant to restrict the number of orders and quotes per product that a specific business unit or session may have in the order book at any moment See chapter 4 2 6 for more details The Market Maker Protection functionality is described in chapter 5 5 It allows a market maker to define execution volum
38. in the second part of example 11 14 Book Market Orders on a Synthetic Book Path Book market orders that are on an order book side which belongs to a synthetic book path for the incoming order are executed at the price that is the limit price of the best limit order on the book market orders order book side The presence of market orders on the synthetic book path does not have any influence on the priority of that synthetic book path As the book market orders are matched at the same price as the best book limit orders the book market orders and the best limit orders are taken together in the synthetic book path which then competes with other book paths in the path allocation as if the market orders where limit orders However after the synthetic book path received its share in the following order allocation the market orders and the limit orders are allocated separately and the market orders are allocated first The fact that the limit price of the best limit order determines the execution price of the book market order has as a consequence that a book market order cannot be matched synthetically if there is no limit order on the same side of the same order book because no price can be determined for the book market order and thus for the synthetic book path Another consequence is that it is possible that a book market order is executed in a synthetic match at a price that is worse than the published best price for the instrument
39. is applied by defining a price interval around the current market price outside which a market order is not allowed to match See the exact rules in the chapters that follow Therefore it is possible that in a continuous trading phase market orders are saved on the book even if the opposite side of the order book is not empty The Market Order Matching Range is identical to the Price Range that is defined in chapter 6 1 2 above This includes that its value depends on a reference price and that the value may depend on whether there is a Fast Market or not Chapter 6 1 2 above applies without changes to the calculation of the Market Order Matching Range 7 3 2 Matching of Incoming Market Orders An incoming market buy order can match against orders on the sell order book if the execution price is not greater than the best buy price plus the Market Order Matching Range where the Market Order Matching Range is calculated with the best buy price as the reference price If there is no best buy price available then the instrument s minimum price is used instead This is relevant mainly for out of the money options series An incoming market sell order can match against orders on the buy order book if the execution price is not smaller than the best sell price minus the Market Order Matching Range where the Market Order Matching Range is calculated with the best sell price as the reference price Continuing the use of the definition given in c
40. is the deletion of a mispriced trade in T7 Trade reversals are reported in the trade volume reporting as well In synthetic matching there is one additional data set per involved instrument which carries the information about the synthetically matched trade volume Such data set on synthetically matched volumes may carry contributions from more than one synthetic match path An execution price is reported only if an order of the concerned instrument was involved in the match step Leg execution prices in a direct match between orders of a complex instrument are not reported in the trade volume reporting All the data sets that belong to the same match step have the same match step identifier Data sets that report synthetically matched trade volumes can be easily identified by looking for data sets where either the number of executed buy orders or the number of executed sell orders is zero Generally in all synthetic matches only one side of an order book is matched See the Eurex Market amp Reference Data Interfaces Manual for examples on trade volume reporting 9 3 2 Last Trade Price and Quantity The trade volume reporting data as described in chapter 9 3 1 above is available only in the Eurex Enhanced Market Data Interface which provides market data without netting The Eurex Market Data Interface which provides netted market data reports only the execution price and the execution quantity of the last match step before the aggregated
41. is the price at which a leg is executed checked against previous trade prices in the leg instrument nor is the execution price of a simple instrument order checked against the prices of previous leg executions 10 3 4 Instrument States of Complex Instruments A complex instrument has its own instrument state The instrument state of a complex instrument is one out of the following e Continuous e Book e Restricted e Closed There are no auction states and no auction freeze states for complex instruments The instrument state of a complex instrument depends entirely on the instrument states of its leg instruments The rule is that the instrument state of the complex instrument can never be higher in the hierarchy see figure 3 1 on page 19 than the state of any of its leg instruments Example 10 6 All leg instruments are in the instrument state Continuous The complex instrument is also in the instrument state Continuous Example 10 7 All leg instruments except one are in the state Continuous One instrument is in an auction state The complex instrument is in the instrument state Book The reason is that there is no auction instrument state for complex instruments so it must be in the next lower state Example 10 8 All leg instruments but one are in the state Book One instrument has expired and is in the instrument state Restricted The complex instrument is in the state Restricted which is the lowest of all the states of its
42. left on the order book that can be executed against each other For complex instruments an uncrossing is done when the instrument state is switched to Continuous without going through an auction phase The rules for uncrossing are described in chapter 7 4 below Order Allocation Allocation is the procedure to distribute a given quantity among a group of recipients that are able to receive more than is available In the context of matching Order Allocation refers to the distribution of a quantity that is available for matching to several orders the accumulated quantity of which exceeds the quantity that is available for matching T7 supports three different order allocation methods which are described in detail in chapter 7 5 below They are e The Time allocation method e The Pro Rata allocation method and e The Time Pro Rata allocation method The exchange defines by product and by instrument type which order allocation method is applied in continuous trading and which is applied in auction trades Eurex Set Up Information Currently Eurex generally applies the same allocation method for auction trades and in continuous trading The Time Pro Rata Allocation method is applied for money market futures products as e g 61 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 the FEU3 while the Time Allocation method is applied for all other products EEX Set Up Information Currently EEX generally applies
43. leg instruments The exchange may disable the instrument state Book by instrument type for specific products 94 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Configuration Data The information whether the instrument state Book is supported for an instrument type in a product is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Example 10 9 All leg instruments are in the state Book The state Book is however disabled for all complex instruments of the product The complex instrument is in the state Restricted which is the next lower state below Book Eurex Set Up Information Eurex allows the instrument state Book for the complex instruments of all futures products but not for any complex instruments of any options products An exception are inactivated complex instruments which are always in the instrument state Closed without regard to the instrument states of the leg instruments 10 3 5 Uncrossing There is no dedicated auction instrument state for complex instruments If all the leg instruments of a complex instrument are in an auction instrument state then the rules as given in chapter 10 3 4 above stipulate that the complex instrument is in the instrument state Book A consequence is that in this situation either potential auction prices or best buy and best sell prices are published for the leg i
44. maintenance like adding modifying and deleting individual quotes while all the session s quotes for the product and instrument type including new ones remain inactive even if all the price validations are done for inactive quotes in the same way as for active quotes Note It is preferable to consider inactive quotes or active quotes as being a status of the owning session in respect to a specific product and optionally instrument type and this status of the session then affects the behavior of its quotes In this way it is easy to understand that quotes being active or inactive is a status that exists independently from quotes actually being on the order book If a trader deactivates the quotes and then deletes them all and then later enters new quotes then these new quotes will still be inactive as long as the trader did not send a reactivation request When the quotes of a session are reactivated T7 does the following for each quote one after the other 1 The priority timestamp of the quote is updated 2 The Extended Price Range Validation is applied provided that the necessary conditions are fulfilled see chapter 6 3 If the quote exceeds the allowed price range it is deleted There is however no Price Reasonability Check for quotes being reactivated 3 If the instrument state is Continuous and the quote is executable the quote is matched as if it were an incoming quote 4 From then on if the quote has still an open q
45. market data is sent out A customer using the netted data provided by the Eurex Market Data Interface receives the following data on individual matches 87 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Last Trade Price The Last Trade Price is the latest execution price that occurred either in continuous trading or as an auction price If an incoming order matches at various price levels this price reports the last executed price level An execution price becomes a last trade price only if an order of the concerned instrument was involved in the match Leg execution prices in a direct match between orders of a complex instrument are not reported as last trade prices of the leg instruments e Last Trade Quantity The Last Trade Quantity is the quantity that was executed in the last match step at the last trade price If an incoming order matches at various price levels this quantity contains therefore only the executed quantity at the last price level And in a synthetic match event it contains only the quantity that got executed in the very last match step even if several match steps yielded the same trade price Not reported are prices of trades that had been entered directly by market supervision without going through the normal order book matching procedure Trade reversals are also not reported as such but they may affect the last trade price and quantity if it was the last match that had been reversed
46. method Note that this sorting differs from the sorting that is applied in the Pro Rata order allocation method as given in chapter 7 5 2 Then the quantity of the incoming order is allocated pro rata to the sorted book paths with the exception of the book path that allows matching along a long synthetic match path The allocation is done in exactly the same way as a quantity is allocated to orders with the Pro Rata order allocation method that is described in chapter 7 5 2 Any remaining quantity is then allocated to the book path that allows matching along a long synthetic match path 11 3 6 Execution Prices The execution price of an incoming order is the synthetic price of the book path that it is matched against The execution price of a book order that is part of the matched book path is its own limit price It can happen both for incoming orders and for book orders that they are matched at a price that is lower than the current published best buy price or higher than the current published best sell price for the instrument The prerequisites for such a situation are that the published best price in question is a purely synthetic price and that there is a synthetic match opportunity in the order book that is not executed by T7 because it would involve a match path that is not supported T7 strictly executes only synthetic match paths that are of one of the types which are listed in chapter 11 3 1 above In the case of a short synthe
47. of 115 90 The leg execution prices are determined by T7 as 1 Buy 20 contracts of ODAX Jun15 9150 C at a price of 24 10 2 Buy 15 contracts of ODAX Jun15 9200 C at a price of 7 90 3 Sell 35 contracts of ODAX Jun15 9250 C at a price of 0 60 This results in an overall price of 579 50 to be paid by trader A and conforms to the net execution price of 115 90 even if the leg execution prices differ somewhat from what trader A had in mind Depending on the difference of the market prices of the involved leg instruments the net limit and execution prices in a complex instrument can be zero or negative even if the prices for the involved leg instruments are not A negative execution price means in effect that the buyer receives money and the seller pays money Example 10 4 The futures spread CONF SPD Jun15 Sep15 is defined as buying a certain quantity in the CONF Jun15 instrument and simultaneously selling the same quantity in the CONF Sep15 instrument A buy order for the CONF SPD Jun15 Sep15 instrument with a quantity of 5 and a limit price of 5 7 requests to simultaneously buy at maximum 5 CONF Jun15 contracts and at the same time sell the same quantity of CONF Sep15 contracts where the trade price per CONF Jun15 contract shall not be less than 5 7 lower than the price per CONF Sep15 contract A sell order for the CONF SPD Jun15 Sep15 instrument with a quantity of 5 and a limit price of 5 7 requests to simultaneously sell at maximum 5 CO
48. of the stop order Synthetic prices see ch 11 3 2 are not taken into account for the triggering of stop orders Stop order triggering based on the last trade price is applied for all products for which stop orders are supported The exchange defines by product whether stop order triggering based on the best buy sell price is additionally applied Eurex and EEX Set Up Information Currently Eurex and EEX apply exclusively triggering based on the last trade price 4 3 4 Triggering Priority At the end of a transaction several buy and or sell stop orders can be triggered and each triggered stop order can potentially match again and trigger new stop orders Hence a triggering priority must be established No special priority is given to the stop market orders compared to the stop limit orders or the One Cancels the Other OCO orders see chapter 4 4 below Also the limit price of a stop limit order does not play a role for the trigger priority In the following stop market orders stop limit orders and OCO orders are all referred to as stop orders Buy and sell stop orders of the same instrument can be thought of as saved on the book on two separate lists sorted by stop price and priority time stop order book Buy orders with the lowest stop prices are listed first on the buy stop order list Sell orders with the highest stop prices are listed first on the sell stop order list When two stop orders have the same stop price the older
49. options strategy instrument exists already then it does not create a new instrument but simply returns the information about the already existing instrument 4 Detection of the Existence of an Equivalent Non Standard Options Strategy For all complex instruments if a complex instrument with the same signature already exists no new instrument is created but the necessary information to trade the existing instrument is returned to the user that requested the creation of the complex instrument For non standard options strategies this feature is extended to the point that T7 detects the existence of an equivalent non standard options strategy instrument and in this case does not create a new instrument but rather returns the information about the equivalent instrument The equivalent instrument may have the legs in a different sequence and it may have the sides of all legs inverted 136 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In any case the user that requested the creation of a non standard options strategy receives the identifier the instrument type and the signature of the instrument which was either created or found to exist already 17 3 Matching of Non Standard Options Strategies Matching of non standard options strategies follows the rules that have been described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for
50. order is listed first When several stop orders of both lists Buy and Sell can be triggered they are triggered one after the other in a round robin processing The first stop order of the buy stop order list is triggered first Then the first stop order of the sell stop order list is triggered and then the second stop order on the buy stop order list and so on It is also possible that stop orders in more than one instrument are triggered in one transaction e g in state change transactions in mass quote transactions or due to synthetic matching The lists of triggered buy or sell stop orders are then be created for each of the affected instruments and the above described round robin processing is extended to the stop order lists of all affected instruments l e first the first buy stop order of the first instrument is triggered then the first sell stop order of the first instrument then the first buy stop order of the second instrument and so on until all stop orders that are the first on their respective list are triggered And then the procedure continues with all stop orders that are second on their respective list 35 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 It is possible that the execution of a triggered stop order leads to the triggering of additional stop orders In the case of synthetic matching this could happen even in a different instrument In such a situation the additional stop orders ar
51. price interval Inside each price interval valid limit prices are those that can be obtained by adding an integer multiple of the price step to the lower end of the price interval Price steps are always integer multiples of the tick size and therefore valid limit prices are always integer multiples of the tick size But not every multiple of the tick size is a valid limit price Example 4 1 The tick size is 0 01 The price step table defines the first price interval to range from 0 01 to 10 00 with a price step of 0 01 and a second price interval from 10 00 to infinity with a price step of 0 10 Then 9 98 9 99 and 10 00 are valid limit prices and so are 10 10 10 20 10 30 etc but 10 01 is not a valid limit price An order with a limit price of 10 01 would be rejected by T7 In general trade prices are prices that are also valid limit prices However in the context of matching of complex instruments it is possible that trade prices occur that are not valid limit prices according to the price step table Configuration Data The price step tables are published by T7 s Reference Data Interface in the product snapshot message RDI message group name TickRules 27 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 4 1 2 Quantity The Total Quantity of an order is provided by the user that enters the order T7 provides the Open Quantity of an order which is the part of the total quantity that is still av
52. quarterly expirations and they do not need to represent a gap free sequence of expirations Eurex Set Up Information Eurex requires that strips have at least 2 and at most 20 legs There are no instrument subtypes defined for strips Example 13 1 A technically valid strip for the FEU3 money market future may have the following signature e Leg 1 Buy 1 of FEU3 Jun15 e Leg 2 Buy 1 of FEU3 Sep15 e Leg 3 Buy 1 of FEU3 Juni6 e Leg 4 Buy 1 of FEU3 Dec16 e Leg 5 Buy 1 of FEU3 Mar17 13 2 Creation of Strips The exchange does not create strips instruments Strips instruments are created by users When creating a strips instrument the user must adhere strictly to all the rules as outlined in chapter 13 1 above i e regarding the sequence of the leg instruments their ratios and their sides Failure to do so will result in a rejection of the creation request 123 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Since the formula for the pricing of strips contains the leg instruments previous day settlement prices a specific strip instrument can only exist if previous day settlement prices are available for all its leg instruments 13 3 Pricing of Strips For the pricing of strips Averaged Net Change Pricing is applied following exactly the same rules as for packs and bundles as described in chapter 12 3 above 13 4 Matching of Strips For strips T7 considers the pricing formula described for p
53. reference price as PPR Price Range Reference Price APR Reference Price x T00 where the values for the Absolute Price Range Parameter APR and the Percent Price Range Parameter PPR are taken from the table entry for the price interval that contains the reference price Price range tables contain only entries for positive reference prices In case of a negative reference price the absolute value of the reference price has to be used i e the value without the minus sign During a Fast Market the price range calculated from the standard Price Range Table or the Extended Price Range Table is increased Fast Percentage Price Range Fast Price Range x 1 100 where Price Range is the price range being calculated as given above and Fast Percentage isa parameter that depends on the product and may differ for the standard price range and the extended price range A calculated price range is never rounded but applied with its exact value 54 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 6 1 For the options series on the Nokia stock NOA3 that expire in the next 24 months Eurex has set up the following standard price range tables Price Interval Start Price Interval End Absolute Price Percent Price Range Parameter Range Parameter 0 00 1 00 0 10 0 1 00 5 00 0 10 5 00 maximum price 0 50 0 The corresponding Fast Market Percentage parameter is set to 100
54. session and an owning business unit On order entry the user who entered the order becomes the owning user of the order his business unit becomes the owning business unit and the session through which the order was entered becomes the owning session of the order In general only the owning user of an order can modify or delete the order Exceptions are the following two cases e A user that is not the owning user can modify or delete the order if he is configured as a Supervisor user and belongs to the owning business unit e A user that is not the owning user can modify or delete the order if the user is configured as a Head Trader and belongs to the same trader group as the owning user 31 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In any case the modification of an order by a Supervisor or a Head Trader does not modify the ownership of the order i e the order keeps its original owning user In general the modification or the deletion of an individual order is possible through any session that belongs to the owning business unit However the modification of an individual order through a session that is not the owning session is not permitted in the following cases e If the order is a lean order see chapter 4 1 6 above e If the session through which the modification request is entered is a high frequency session See the Eurex Enhanced Trading Interface Manual for information on the differe
55. technical numeric instrument ID of the involved inter product spread instrument as the sorting criterion Book paths that include inter product spread instruments with a lower instrument ID are matched first 15 4 5 Execution Prices The synthetic matching of currently offered inter product spreads is equivalent to the matching of futures spread instruments with a Short Synthetic Match Path See chapter 11 3 6 for the description of execution prices in the case of futures spreads which applies for currently offered inter product spreads as well 131 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 15 4 6 Market Orders The description in chapter 11 3 7 about the handling of market orders in the context of synthetic matching of futures spreads hold also in the context of synthetic matching of inter product spreads Please note that in this context synthetic prices generated with the help of inter product spread instruments are not regarded as relevant for the determination of published best prices as applied in the procedures outlined in chapter 11 3 7 This is notwithstanding the fact that such prices are indeed published through T7 s market data interfaces but this happens separately from the publishing of synthetic prices due to synthetic matching of futures spreads 15 5 Uncrossing of Inter Product Spreads Like all complex instruments an inter product spread instrument enters automatically the instrument
56. the Pro Rata Allocation The Time Allocation method is described in chapter 7 5 4 The enumeration of the different order allocation methods indicates an increase of the time sensitivity which is defined by the impact of the orders time priority on the order allocation While the Pro Rata Allocation does not show any time sensitivity the Time Pro Rata allocation may be characterized by a medium scale time sensitivity And the Time Allocation obviously has the strongest possible time sensitivity T7 allows the exchange to define by product and by instrument type which order allocation method is applied in continuous trading and which is applied for auction trades Another type of allocation is path allocation in synthetic matching which is not to be confused with order allocation Path allocation is described as part of the synthetic matching procedure for futures spread instruments in chapter 11 3 5 7 5 2 Pro Rata Allocation The pro rata allocation method first sorts the eligible orders by their open quantity orders with larger open quantity coming first If there are orders with the same open quantity these are then sorted between them by their time priority orders with an older time priority stamp preceding those with a newer priority time stamp It then calculates the allocated share for one eligible order after the other in the sequence that they have just been sorted with the following procedure 1 Divide the quantity of the
57. the owner of the order For an order that is not flagged as a lean order the receipt of status information messages is not restricted to the session through which the order had been entered and information messages about all events regarding the order may be recovered via a retransmission request T7 does not accept orders that are both lean and persistent Orders that are entered through a high frequency session must always be lean and non persistent See the Eurex Enhanced Trading Interface Manual for more information on the different types of sessions in T7 on receiving information messages about order events including retransmission of such messages and in general on the technical aspects of order maintenance 4 1 7 Other Attributes Several order attributes which are sent by the user are not directly relevant to the order matching but serve other purposes e g in the post trade processing or to satisfy requirements of the regulator These are 29 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e The trading capacity distinguishing proprietary agency and market making orders e Clearing related attributes like clearing account take up member and open close indicator e Free format text fields e Aregulatory information attribute for use by the trading surveillance office e A country code indicating the real origin of the order e Arate identifier according to FIA guidelines e Other infor
58. the leg instruments The matching of these two book paths is performed in independent match steps even in the case of equal price in the same way as it is done for long synthetic match paths in the futures spread context as described in step 3 of the procedure in chapter 11 3 3 Which of the two is matched first in the case of equal price depends on the configuration by the exchange For incoming leg instrument orders additionally to the book paths listed in chapter 11 3 3 there are book paths that include inter product spread instruments In the case of equal price depending on the configuration by the exchange T7 chooses one of two procedures 1 T7 matches first the paths with that price listed in chapter 11 3 3 in the way described there and when these paths are exhausted then it matches the synthetic paths with that price that include inter product spreads 2 Oritis the other way around The matching of several synthetic book paths that include inter product spread instruments is performed in independent match steps in the same way as it is done for long synthetic match paths in the futures spread context as described in step 3 of the procedure in chapter 11 3 3 15 4 4 Sorting Book Paths for Path Allocation Matching of an incoming leg instrument order against several equally priced synthetic book paths that include inter product spread instruments requires to define a priority rule among such book paths T7 simply uses the
59. the product See chapter 6 3 for the details of the Extended Price Range Validation 5 4 2 Minimum Quote Size When a quote is entered the total quantity of a quote must be greater than or equal to the Minimum Quote Size which is defined individually for each product by the exchange The quantity being relevant here is the total quantity of the quote and not its open quantity see chapter 4 1 2 for the definitions of these terms Due to partial executions the open quantity of a quote may fall below the value of the Minimum Quote Size but this is not considered to be a violation of the Minimum Quote Size It is even possible to enter a new replacing quote in Quote Modification Mode see chapter 5 3 3 above leaving the open quantity below the Minimum Quote Size as long as the total quote size remains greater than or equal to the Minimum Quote Size The Minimum Quote Size may have a different value during a Fast Market Typically during a Fast Market quoting requirements are relaxed and so the Minimum Quote Size is likely to be lower If a quote was successfully entered during a Fast Market and then the Fast Market ends the total quantity of that quote is at that point no longer re tested It may remain on the order book even if its total quantity is less than the Minimum Quote Size outside a Fast Market However any new quotes are tested again against the value of the Minimum Quote Size outside a Fast Market even if entered in Quote M
60. the same business unit as the user Besides that there is no further relationship between users and sessions i e a user does not belong to a specific session and a session does not belong to a specific user The ownership of a quote depends entirely on the quote s owning session The owning session of a quote is the session through which the quote had been entered A session can only have one quote per instrument and the entry of a new quote results in the replacement of the quote that belonged to the same session See chapter 5 2 and 5 3 for details on the ownership and the maintenance of quotes Also orders know the concept of the owning session While permissions to maintain orders depend mainly on the owning user there are some restrictions with respect to the owning session as well 14 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 They are described in chapter 4 2 4 on order ownership A clearing business unit does not actively participate in trading and therefore it needs only a Listening Session that allows it to receive the trade information being sent out by T7 2 2 Market Structure 2 2 1 Markets Products and Instruments In T7 trading is organized into Instruments An order always refers to the buying or selling of a specified quantity of a certain instrument T7 supports the trading of futures contracts and option series which are set up by the exchange as instruments Example 2 2 An
61. there is no limit set T7 does no limit check Also if limits are set but an individual limit has a zero value the corresponding statistic is not checked by T7 In this way it is possible to make use of only one or only some of the limits The time interval can be set to zero however this means that the MMP is effectively switched off even if some limits are defined It does specifically not mean that the MMP reacts if and only if the matching of a single incoming order already exceeds a limit 5 5 4 Additional Rules for MMP Exclusion of uncrossing trades The MMP takes into account only trades that have been executed during the instrument state Continuous Auction uncrossing trades and in general uncrossing trades when entering the Continuous state are not taken into account for the MMP statistics However trades resulting from a subsequent stop order triggering are taken into account the same as trades resulting from feeding orders as part of the uncrossing procedure which is done in some cases for complex instruments while entering the instrument state Continuous as described in chapter 11 4 4 50 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Reset of statistic after limit violation A statistic value is reset to zero when the corresponding limit is exceeded If a limit is exceeded and the affected quotes are reactivated faster than the size of the time window the trades before the limit were exceeded
62. until no more orders on the order book are executable against the incoming order 1 It finds the best available limit price level on the side of the order book that opposes the incoming order This is the highest price for the buy side and the lowest price for the sell side 2 It distributes the remaining available quantity of the incoming order to the book orders at this price level according to the applicable order allocation method 3 When all available book orders on the price level have been matched the price level is exhausted and the matching engine of T7 continues with the next best available price level If at the end there are no more orders left on the order book against which the incoming order can be executed and if the incoming order still has a remaining open quantity then the incoming order is written to the order book if it was not there already The allocation method applied in step 2 matters only if the remaining quantity of the incoming order is less than the accumulated quantity of the book orders at this price level 62 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 7 1 Assume that during the instrument state Continuous the buy order book for FESX Jun15 contains four orders which are listed in the order of their entry time e Order 1 buy 20 contracts at price 3125 e Order 2 buy 30 contracts at price 3124 e Order 3 buy 10 contracts at price 3125 e Order 4 buy 5 co
63. volatility strategy instruments Options volatility strategy instruments are created by users When creating an options volatility strategy instrument the user must indicate its instrument subtype and adhere to all the rules as given in the template Failure to do so will result in a rejection of the creation request There are however special rules concerning the ratios of the option legs and concerning the ratio of the underlying leg that must be fulfilled T7 validates during the creation of an options volatility strategy instrument that these rules are not violated Any violation leads to the rejection of the request for the creation of the options volatility strategy instrument These rules are described in chapter 18 3 below Furthermore there are two conditions that must be fulfilled for an options volatility strategy instrument to be allowed to be traded These conditions are e All leg instruments including the underlying leg instrument must be in the instrument state Continuous e The underlying leg execution price which is part of the signature of the options volatility strategy instrument must be close to the current market price The exact definition of this condition is given in chapter 18 3 3 below These two conditions are checked during creation and if any of these conditions is not fulfilled the instrument is not created The two conditions are however validated also during the life time of the instrument and if any
64. zero open quantity remaining after the basic allocation This gives the allocation quantities of the remainder allocation for each order Due to the design of the allocation procedure each book order receives at most one additional unit of quantity in the remainder allocation iii The allocation quantities of the basic allocation and the remainder allocation are added up to give the final order match quantities The following two sub chapters describe in detail the two allocation methods that are part of the time pro rata allocation procedure as described above Ideal Time Pro Rata Allocation This sub chapter describes the determination of the ideal allocation quantities which constitutes the sub step i of the basic allocation step as described above The ideal time pro rata allocation calculates the ideal allocation quantities in an iterative procedure To this end the orders are sorted in descending time priority i e older orders that have the higher time priority come first The procedure then iterates over the eligible orders one after the other to determine the ideal allocation quantity for each order applying the following formula af x a a where i is the ideal allocation quantity for the order at position i in the sorted list of eligible orders a MIN MIN is the minimum function i e MIN X Y is either X or Y whichever is smaller 75 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference
65. 14 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 However after the direct book path received its share in the path allocation in the following order allocation the market orders and the limit orders are allocated separately and the market orders are allocated first Note that in synthetic matching a book market order that belongs to the same instrument as the incoming order can match against the incoming order even if there are no limit orders on the same side of the same order book if at the same time there is a synthetic book path against which the incoming order can match Example 11 15 The best prices for the instrument FVS Jan15 are as given in example 11 14 above Buy Sell Best Direct Price 24 40 25 60 Published Best Price 24 50 25 60 Best Available Price 24 50 25 40 There are market orders on both sides of the order book of FVS Jan15 The sell book market orders can match against an incoming buy order of the same instrument at the best available sell price 25 40 provided that the incoming order can be executed at that price which is the case for an incoming buy market order as was shown in the first part of example 11 14 The buy book market orders could match against an incoming sell order of the same instrument at the best available buy price 24 50 if the incoming order were executable at that price which is not the case for an incoming sell market order as was shown
66. 15 which is selling FVS Feb15 is matched against the buy side of the simple instrument FVS Feb 15 The Triangle Match Path The triangle match path involves orders in three futures spread instruments where each of the futures spread instruments has one leg with one of the other instruments in common and has the other leg with the other of the other instruments in common In the graphic representation as shown below this results in a triangle thence the name of the match path c1 2 gt Te Figure 11 2 Example for a Triangle Match Path 100 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In the following the leg instruments are S1 S2 and S3 in the order of their expiry dates The futures spread instrument with the legs S1 and S2 is called C1 2 The others are then called C1 3 with the legs S1 and S3 and C2 3 with the legs S2 and S3 A possible triangle match path consists then of e the buy side of C1 2 i e buy S1 and sell S2 e the sell side of C1 9 i e sell S1 and buy S3 e the buy side of C2 3 i e buy S2 and sell S3 The only other possible triangle match path made out of C1 2 C1 3 and C2 3 has the side reversed for all instruments i e e the sell side of C1 2 i e sell S1 and buy S2 e the buy side of C1 8 i e buy S1 and sell S3 e the sell side of C2 3 i e sell S2 and buy S3 T7 supports the matching of these synthetic match paths no matter to which of the three futures s
67. 15 at a price of 0 65 e a buy order for the simple instrument FVS Mar15 at a price of 23 50 e a buy order for the futures spread FVS SPD Mar15 Apr15 at a price of 0 60 112 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e a buy order for the simple instrument FVS Apr15 at a price of 22 95 The simple instrument FVS Jan15 has therefore a best available buy price of 24 55 0 40 0 65 23 50 which is given by the synthetic book path for matching along a long synthetic match path that corresponds to the first three orders in the list above And the simple instrument FVS Mar15 has a best available buy price of 23 55 0 60 22 95 which is given by the synthetic book path for matching along a short synthetic match path that corresponds to the last two orders in the list above This best available buy price is better than the direct buy price of 23 50 which is given by the third order in the list An incoming sell order for the simple instrument FVS Jan15 with a limit price of 24 50 is executed at an order execution price of 24 55 against the first of the synthetic book paths described above e the incoming sell order of the simple instrument FVS Jan15 is executed at a price of 24 55 against the first leg of the buy order for FVS SPD Jan15 Feb15 e the second leg of the buy order for FVS SPD Jan15 Feb15 is executed at a price of 24 15 price of the first leg minus the price of the spread i e 24 55 0 40
68. 2 and 2 5 is rounded to 3 before being added to the Percent statistic 49 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 5 3 A session s Percent limit for simple instruments in the product OESX is set to 240 Consider three quotes being executed in the sequence as given by the following table Side and Total quote Open at time of Size of Added to Resulting i 4 Bae Percent Instrument size execution execution Percent statistic pee Statistic Buy OESX Jun15 3200 C ue 100 100 100 100 Sell OESX 4 Jun15 3050 P oQ 50 0 80 180 Buy OESX Jun15 3400 C 39 20 15 50 230 Sell OESX Jun15 3050 P oQ 10 10 20 250 With the last execution the Percent limit of 240 is exceeded and quotes are deactivated Note that the sell quote in the instrument OESX Jun15 3050 P is executed twice The example illustrates how the Percent statistic compares the quantity being executed to the total quote size rather than to the open quantity at the moment of execution 5 5 3 Maintenance of the Limits The MMP limit sets are permanently stored and applied by T7 until they are modified They can be changed at any moment while the system is accessible After a limit modification there is no check if the new limit is already exceeded The new values will be taken into account only at the next time that a quote is matched The MMP limits are not obligatory If
69. 2 2 it is 95 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 relevant to note that for complex instruments the alternative reference price that needs to be available is in any case derived from the alternative reference prices of the leg instruments For each leg the alternative reference price of the leg instrument is multiplied with the leg ratio and then the results are added in case of buy legs and subtracted in case of sell legs to obtain the alternative reference price of the complex instrument Example 10 10 An order is entered for the NESG SPD Oct15 Dec15 futures spread instrument There are no orders currently in the spread instrument s order book so only the non standard price reasonability check can be performed There is a last trade price in the NESG Oct15 instrument at 65 25 There has been no trade in the NESG Dec15 instrument so far on this day so the instrument s previous day s settlement price of 66 10 is applied instead The alternative reference price is therefore TP 1 x 65 25 1 x 66 10 0 85 10 3 9 Request For Quote For complex instruments the validation of RfQs concerning the spread between the best buy price and the best sell price or alternatively the quantity of the best price as described for simple instruments in chapter 5 6 is not done 96 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 11 Futures Spreads This chapter outline
70. 3 e the sell side of C2 3 i e sell S2 and buy S3 e the buy side of S2 T7 supports the matching of these synthetic match paths no matter to which of the instruments the incoming order belongs as long as the instrument of the incoming order is part of the match path T7 furthermore supports the matching of these synthetic match paths for a combination of any three leg instruments as long as the two involved futures spread instruments are enabled for synthetic matching Example 11 5 Consider the example of an incoming simple instrument order in the product FVS that matches along a long synthetic match path of the type e the buy side of S1 e the sell side of C173 e the buy side of C2 3 e the sell side of S2 An incoming buy order for the simple instrument FVS Jan15 S1 may be executed against a combination of book sell orders in the futures spread instrument FVS SPD Jan15 Mar15 C1 3 of book buy orders in the futures spread instrument FVS SPD Feb15 Mar15 C2 3 and of book sell orders in the simple instrument FVS Feb15 S2 The match path consists therefore of e the buy side of FVS Jan15 e the sell side of FVS SPD Jan15 Mar15 i e sell FVS Jan15 and buy FVS Mar15 e the buy side of FVS SPD Feb15 Mar15 i e buy FVS Feb15 and sell FVS Mar15 e the sell side of FVS Feb15 1 the buy side of the simple instrument FVS Jan15 is matched against the first leg of the sell side of the futures spread instrument FVS SPD Jan15 Mar1
71. 36 36 37 37 37 38 38 38 40 40 41 41 41 42 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 5 3 1 The Mass Quote Request 5 3 2 Quote Entry 5 3 3 Quote Modification 5 3 4 Quote Deletion on Request 5 3 5 Automatic Quote Deletion 5 3 6 Quote Deactivation 5 3 7 Safeguards 5 3 8 Regulatory Algorithm Identifier 5 4 Quote Validations 5 4 1 Standard Limit Price Validations 5 4 2 Minimum Quote Size 5 4 3 Mandatory Double Sided Quotes 5 5 Market Maker Protection 5 5 1 Overview 5 5 2 MMP Statistics Definitions 5 5 3 Maintenance of the Limits 5 5 4 Additional Rules for MMP 5 6 Request For Quote 6 Price Range Tables and their Applications 6 1 Price Range Table Basics 6 1 1 Functionality Overview 6 1 2 Calculation of Price Ranges 6 1 3 Availability of Price Range Tables 6 2 Price Reasonability Check 6 2 1 Procedure 6 2 2 Reference Price Determination 6 2 3 Product Settings 6 3 Extended Price Range Validation 6 4 Maximum Quote Spread Validation 7 Matching 7 1 Definitions 7 2 Continuous Trading 7 2 1 Matching Procedure in Continuous Trading 7 2 2 Match Event Structure 7 3 Market Order Matching in Continuous Trading 7 3 1 The Market Order Matching Range 7 3 2 Matching of Incoming Market Orders 42 42 42 43 43 43 45 45 45 45 46 46 47 47 48 50 50 52 54 54 54 54 55 56 56 56 58 58 59 60 60 62 62 63 64 64 64 Eurex Exchange s T7 Eurex Frankfurt AG
72. 5 which is selling FVS Jan15 and 2 the second leg of the sell side of the futures spread instrument FVS SPD Jan15 Mar15 which is buying FVS Mar15 is matched against the second leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is selling FVS Mar15 and 3 the first leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is buying FVS Feb15 is matched against the sell side of the simple instrument FVS Feb15 Example 11 6 Consider the example of an incoming futures spread order in the product FVS that matches along a long synthetic match path of the type 103 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e the sell side of S1 e the buy side of C1 2 e the buy side of C2 3 e the buy side of S3 An incoming buy order for the futures spread instrument FVS SPD Jan15 Feb15 C 1 2 may be executed against a combination of book sell orders in the simple instrument FVS Jan15 S1 of book buy orders in the futures spread instrument FVS SPD Feb15 Mar15 C2 3 and of book buy orders in the simple instrument FVS Mar15 S3 The match path consists therefore of e the sell side of FVS Jan15 e the buy side of FVS SPD Jan15 Feb15 i e buy FVS Jan15 and sell FVS Feb15 e the buy side of FVS SPD Feb15 Mar15 i e buy FVS Feb15 and sell FVS Mar15 e the buy side of FVS Mar15 1 the sell side of the simple instrument FVS Jan15 is matched against the first leg of the
73. 6 sell 10 contracts at price 3132 The main objectives Uncrossing and Price Continuity can be reached with any auction price in the range 3128 to 3131 Below the price 3128 sell order 5 cannot be matched anymore because of its price limit which reduces the available quantity for the execution to 10 This in turn does not allow buy order 2 to be fully executed Since the remainder of order 2 and order 5 are crossed the objective of Uncrossing would not be reached A similar reasoning applies to prices above 3131 To select a single auction price in the interval between 3128 0 and 3131 0 the third rule is applied 5 x 3128 0 20 x 31310 15 x 3128 0 10 x 3131 0 5490415 4410 o The result is rounded down to 3129 0 as the next lower price consistent with the price step table The executed quantity is 25 There are situations where no auction price can be determined and therefore no auction trade is done e The order book is not crossed there are no two orders that can be matched against each other e There are only market orders on both sides of the order book In this case there is no limit price that could serve as a reference for the determination of the auction price Therefore no auction trade is done and the uncrossing condition mentioned above is considered as fulfilled anyway 7 4 3 Order Allocation in an Uncrossing Trade The quantity to be matched in an uncrossing trade is either the accumulated quantity of buy orders t
74. Beneficiary to the Eurex Member Services and Admissions in advance Additionally they may submit trade enrichment rules as described in chapter 8 2 3 above that contain specific values for the TAIFEX Member ID the TAIFEX Branch ID and the TAIFEX Beneficiary Trades in these products that originate from the execution of orders with the small message layout or of quotes are then automatically enriched by T7 either with the information given in the specified trade enrichment rule if available or else with the previously submitted information about the default TAIFEX Member ID the default TAIFEX Branch ID and the default TAIFEX Beneficiary 8 3 Trade Entry and Trade Reversal In exceptional circumstances a market supervision may decide to enter a trade directly into T7 without going through the normal order book matching procedure or it may decide to reverse a trade that has already happened An important use case is the reversal of mispriced trades Such events may have an effect on the trade statistics data that is published through the market data interfaces of T7 See chapter 9 3 for more information on this topic 8 4 Conversion Procedure for Variance Futures For Variance Futures trading on T7 is performed in volatility o as pricing information and in vega notional v as quantity information The corresponding volatility vega representation is denoted as o v trading notation However clearing of Variance Futures is performed in a diff
75. Eurex Frankfurt AG Functional Reference V 2 5 1 8 Trade Management 8 1 Overview T7 is a trading system the purpose of which is to receive orders and quotes and to match these thereby creating trades Finally it forwards all created trades to the appropriate clearing system depending on the product T7 offers therefore no clearing functionality and only limited trade management functionality which is described in this chapter The trade management functionality offered by T7 includes e For both orders and quotes the automatic enrichment of trade items with the identification of the trading member and of the clearing member as known to the clearing system e For quotes and for a specific type of orders the automatic enrichment of trade items with pre defined values for clearing related information e A trade reversal and trade entry facility available exclusively to market supervision 8 2 Handling of Clearing Related Information 8 2 1 Member Information for the Clearing System T7 automatically adds to each trade item the corresponding information about the trading member and the clearing member as known to the clearing system that receives the trade The underlying assumption is that all the trades of a specific participant are cleared by the same clearing member 8 2 2 Entering Clearing Related Information for Orders On an order it is possible to specify values for the following attributes that are not trading relat
76. FDBM LOCS F1BM Jan15 FDBM Jan15 which is selling FDBM Jan15 and 129 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 2 the first leg of the buy side of the inter product spread instrument F1BMFDBM LOCS F1BM Jan15 FDBM Jan15 which is buying F1BM Jan15 is matched against the sell side of the simple instrument F1BM Jan15 Example 15 3 An incoming sell order for the inter product spread instrument F1 BMFDBM LOCS F1BM Jan15 FDBM Jan15 may be executed against a combination of book buy orders in the simple instrument F1BM Jan15 and of book sell orders in the simple instrument FDBM Jan15 The match path consists therefore of e the buy side of F1BM Jan15 e the sell side of F1BMFDBM LOCS F1BM Jan15 FDBM Jan15 i e sell F1BM Jan15 and buy FDBM Jan15 e the sell side of FDBM Jan15 Here 1 the buy side of the simple instrument F1BM Jan15 is matched against the first leg of the sell side of the inter product spread instrument F1BMFDBM LOCS F1BM Jan15 FDBM Jan15 which is selling F1BM Jan15 and 2 the second leg of the sell side of the inter product spread instrument F1 BMFDBM LOCS F1BM Jan15 FDBM Jan15 which is buying FDBM Jan15 is matched against the sell side of the simple instrument FDBM Jan15 15 4 2 Synthetic Pricing For the currently offered inter product spreads the description given for futures spreads in chapter 11 3 2 holds T7 publishes synthetic prices and quantities for inter product sprea
77. Functional Reference V 2 5 1 7 3 3 Matching of Book Market Orders 7 3 4 Book Market Order Triggering by Incoming Orders 7 3 5 Book Market Order triggering by Incoming Quotes 7 4 Auctions and Order Book Uncrossing 7 4 1 Uncrossing Procedure 7 4 2 Auction Price Determination 7 4 3 Order Allocation in an Uncrossing Trade 7 5 Order Allocation Methods 7 5 1 Overview 7 5 2 Pro Rata Allocation 7 5 3 Time Pro Rata Allocation 7 5 4 Time Allocation 7 6 Volatility Interrupt 7 6 1 Overview 7 6 2 Procedure 8 Trade Management 8 1 Overview 8 2 Handling of Clearing Related Information 8 2 1 Member Information for the Clearing System 8 2 2 Entering Clearing Related Information for Orders 8 2 3 Automatic Trade Enrichment 8 2 4 Additional Fields for Cooperation Products 8 3 Trade Entry and Trade Reversal 8 4 Conversion Procedure for Variance Futures 9 Market Data Publishing 9 1 Market State Information 9 2 Order Book Information 9 3 Trade Reporting 9 3 1 Trade Volume Reporting 9 3 2 Last Trade Price and Quantity 9 3 3 General Trade Statistics 9 4 Other Public Market Data 10 Complex Instruments 10 1 Definition of a Complex Instrument 10 2 Creation and Deletion of Complex Instruments 10 3 Trading of Complex Instruments 65 66 68 69 69 70 71 72 72 73 74 77 78 78 79 80 80 80 80 80 81 81 82 82 84 85 85 86 86 87 88 89 90 90 90 91 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5
78. Interface in the product snapshot message for the options product RDI field name RefMarketSegmenitiD In general the futures product is either the underlying of the options product or it has the same underlying as the options product Eurex Set Up Information Eurex supports the instrument type Options Volatility Strategy for equity index options products but not for equity options products EEX Set Up Information EEX does not support the instrument type Options Volatility Strategy The signature of an options volatility strategy consists of the following items e For each option leg o the instrument identifier o the side othe ratio e For the underlying leg o the instrument identifier o the side othe ratio o the leg execution price The leg execution price of the underlying leg is part of the specific instrument s signature in addition to side and ratio It is defined at the creation of an options volatility strategy instrument If the creation of two options volatility strategy instruments is requested where all leg instruments and all sides and ratios are the same and only the underlying leg execution prices are different then they are still 138 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 created as different instruments The fact that it is part of the signature of the options volatility strategy instrument means that the leg execution price of the underlying leg is pre determined and
79. NF Jun15 contracts and at the same time buy the same quantity of CONF Sep15 contracts where the trade price per CONF Jun15 contract shall not be more than 5 7 lower than the price per CONF Sep 15 contract T7 prevents the entry of a complex order with a limit price that if it were to become the execution price could not be decomposed into leg execution prices that are acceptable for clearing In general this condition is relevant for complex instruments where the side is Buy for all the legs Example 10 5 Consider a Strangle standard options strategy which consists of buying both a Call and a Put instrument where both instruments are far out of the money Assume the size of the price step to be equal to one tick The leg execution prices must in any case be at least one tick above zero to be accepted for clearing In order to guarantee this T7 accepts for a Strangle strategy order only limit prices that are at least two ticks above zero 93 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Leg execution prices are not eligible to be considered in the context of the following trade price related functionalities e Leg execution prices do not trigger stop orders ch 4 3 3 e Leg execution prices do not serve as reference prices in the non standard procedure of the Price Reasonability Check ch 6 2 2 e Leg execution prices are ignored when the condition for a volatility interrupt is checked ch 7 6 2 Neither
80. OKS2 the daily futures on the KOSPI 200 index option on T7 as part of the Eurex market Trades are then transferred through the Eurex clearing system to the KRX for clearing and settlement For details please refer to the web page about the Eurex KRxX link on the Eurex web site Trades in this product must carry the related information about the KRX Member ID and about the KRX Beneficiary The Eurex clearing system transports this information in the first of the three text fields Therefore for the OKS2 product this text field is not available to be used by members for their own purpose For orders with the normal message layout the KRX Member ID and the KRX Beneficiary Account must be provided by the participant on the order already at the time of order entry Participants that enter orders with the small message layout or quotes in the OKS2 product must have communicated the default KRX Member ID and the default KRX Beneficiary Account to the Eurex Member Services and Admissions in advance Additionally they may submit trade enrichment rules as described in chapter 8 2 3 above that contain specific values for the KRX Member ID and the KRX Beneficiary Account Trades in this product that originate from the execution of orders with the small message layout or of 81 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 quotes are then automatically enriched by T7 either with the information given in the specified trade
81. Range where the Market Order Matching Range is calculated with the best available buy price as the reference price In case that synthetic matching is supported the best available price can be a synthetic price which may differ from the best limit price taken from orders in the same instrument and even from the published best price See chapter 11 3 2 for details on synthetic pricing Note that contrary to the case of real incoming market orders the Market Order Matching Range is here applied to the opposing order book side Example 7 2 continued 2 The buy order book for FESX Jun15 contains now the following orders e Order 6 buy 20 contracts without price limit market order e Order 4 buy 15 contracts at price 3120 e Order 5 buy 30 contracts at price 3118 66 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 And the sell order book contains e Order 3 sell 30 contracts at price 3132 Another buy market order is entered e Order 8 buy 10 contracts without price limit market order The best available buy price is 3120 and the best available sell price is 3132 Their price difference is greater than the market order matching range of 10 and therefore the incoming market order cannot be matched It is instead written to the order book Then a buy limit order is entered e Order 9 buy 20 contracts at price 3130 This incoming limit order is itself not executable and is therefore written to the order
82. The following optional internal order restrictions e Closing Auction Only CAO e Book Or Cancel BOC Example 4 6 A normal limit order has an internal order type Regular and no internal order restriction A Book Or Cancel order has an internal order type Regular and an internal order restriction BOC An order with internal order type Stop and an internal order restriction BOC would theoretically be possible but has been explicitly excluded by the rules outlined in chapter 4 7 1 above Note that this notation has been designed to support in an optimal way the business functionality of T7 and therefore differs from the notation used in the external interfaces of the system which follows the FIX standard The following table shows how order profiles look and which order profiles are applied by Eurex Order Profile Attributes Order Profile Internal Order Types amp Allowed Price Restrictions Condon Allowed Order Validity Limit Order Market Order Closing Auction Limit Order Closing Auction Market Order Book Or Cancel Order Stop Limit Order Stop Market Order One Cancels the Other Order Configuration Data The available order profiles and the assignment of order profiles to products are available in the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes 39 Eurex Exchange s T7 Eurex Frankfurt AG Functional Ref
83. The product state Closing is a short phase that sits between Trading and Post Trading It covers the time between the end of continuous trading and the end of the last auction typically a closing auction The product state Closing ends automatically when there is no more running auction in any of the product s instruments The end of the product state Closing marks the moment when trades can no longer occur for the affected product for the rest of the day 23 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 For products that have no closing auctions at the end of the continuous trading phase the product state Closing has zero duration except if there was an auction running at the time when Closing started Normally instruments are in an auction or auction freeze instrument state or they are in the instrument state Book 3 3 5 Post Trading The product state Post Trading terminates the trading session of a business day It is typically a time where traders can maintain their orders in preparation of the next trading day No matching occurs in this phase Normally instruments are in the instrument state Book 3 3 6 End Of Day The product state End Of Day represents the time in the evening that is reserved for the end of day processing by the exchange Members have no access to the order books in this product state All instruments are in the instrument state Closed 3 3 7 Halt Market Supervision may ha
84. a and therefore also no information on synthetic prices The complete market data contains e Market state information as e g product states and Instrument states e Best price and quantity information e Order book depth price and quantity information e Price quantity and time priority of individual visible orders e Individual trade volume reporting e General trade statistics e Requests for Quotes and Cross Announcements For further details on the market data streams especially on which data is contained in which stream please refer to the Eurex Market amp Reference Data Interfaces Manual and to the Eurex Enhanced Order Book Interface Manual Additionally Eurex offers the Eurex Extended Market Data Service which contains data on e Settlement prices e Open interest e Eurex order book trades and Eurex off book trades In this chapter the term order is generally applied to mean both orders and quotes 84 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 9 1 Market State Information The public market data contains the following information related to the general state of the market e Product states see ch 3 3 e Instrument states for simple instruments see ch 3 2 e Instrument states for complex instruments see ch 10 3 4 e Listing status for simple instruments see ch 3 5 e Fast market indicator see ch 3 4 9 2 Order Book Information Published order book information gives
85. ace in the instrument snapshot message RDI field name MultiLegModel Example 11 1 For the future on the Nestle stock NESG Eurex creates automatically the futures spread instrument that combines the two simple instruments with the nearest expiration dates E g in the beginning of May 2015 the spread NESG SPD May15 Jun15 is automatically available All other possible futures spread instruments are not created automatically by the exchange but can be created by users e g the spread NESG SPD May15 Nov15 T7 supports synthetic matching between different simple instruments and futures spread instruments The exchange defines which futures spread instruments are enabled for synthetic matching This set up is done for every possible futures spread instrument When a futures spread instrument is created that is set up for synthetic matching then synthetic matching is available immediately upon creation of the instrument even for user created instruments 97 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Configuration Data The information whether a specific futures spread instrument is available for synthetic matching is published by T7 s Reference Data Interface both in the instrument snapshot message and in the complex instrument update message for the futures spread instrument RDI field name ImpliedMarketIndicator 11 3 Synthetic Matching in Continuous Trading This chapter describes the synthetic
86. acks and bundles in chapter 12 3 above when creating leg trades and forwarding them to clearing Eurex Set Up Information Eurex does not accept GTC or GTD orders for Strips Apart from that matching of strips follows the rules that have been described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for strips i e strips orders and quotes match only against orders and quotes of the same instrument 124 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 14 Standard Futures Strategies This chapter outlines the specific features of standard futures strategies in T7 The common features of complex instruments in T7 as described in chapter 10 apply for standard futures strategies except if stated otherwise in the following Eurex Set Up Information Eurex supports standard futures strategies for selected futures products EEX Set Up Information EEX currently does not support standard futures strategies for any product 14 1 Definition of Standard Futures Strategies A Standard Futures Strategy consists of two or more leg instruments that belong to the same futures product The signature of a standard futures strategy complies with a strategy type template that is defined by the exchange A standard futures strategy type template contains e the identifier and the name of the standard futures strategy type e the number of t
87. ad to an auction trade 2 Orthe best buy and sell prices available in the order book without any quantity information This price information contains only direct prices but no synthetic prices e During other instrument states no order book information is published by T7 The published best synthetic buy and sell prices and quantities which are published for instruments with synthetic matching take only limited synthetic matching opportunities into account See chapter 11 3 2 for details on published best prices and quantities in a synthetic context Thus since not all synthetic matching opportunities are taken into account it is possible that an incoming order is executed at a better price than had been published And it is possible that at the published best 85 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 synthetic price there is more synthetic quantity available for matching than indicated in the published market data The order book depth data shows the quantities that are available for matching at the best price level and at a limited number of further price levels The exchange decides by product on the number of published price levels Order book depth data never takes synthetic matching opportunities into account It provides therefore an undisturbed snapshot of the order book of an instrument and it can thus be used by participants to calculate synthetic matching opportunities on their own inclu
88. against the first leg of the buy order for FVS SPD Feb15 Mar15 e the second leg of the buy order for FVS SPD Feb15 Mar15 is executed at a price of 23 50 price of the first leg minus the price of the spread i e 24 15 0 65 against the buy order for FVS Mar15 Note that the execution in FVS Mar 15 occurs at 23 50 which is lower than the best available buy price 23 55 for that instrument Taking advantage of this better price would require matching a match path that is not supported by T7 Example 11 13 The following orders are in the order books of the product FVS e a sell order for the simple instrument FVS Jan15 at a price of 24 50 e a buy order for the simple instrument FVS Mar15 at a price of 23 50 e a buy order for the futures spread FVS SPD Feb15 Mar15 at a price of 0 65 The futures spread FVS SPD Jan15 Feb15 has therefore a best available sell price of 0 35 24 50 23 50 0 65 which is given by the synthetic book path for matching along a long synthetic match path that corresponds to the three orders in the list above An incoming buy order for the futures spread FVS SPD Jan15 Feb15 with a limit price of 0 40 is executed at an order execution price of 0 35 against this synthetic book path e the first leg of the incoming buy order for FVS SPD Jan15 Feb15 is executed at a price of 24 50 against the sell order for FVS Jan15 e the first leg of the buy order for FVS SPD Feb15 Mar15 is executed at a price of 24 15 pri
89. ailable for matching and the Accumulated Executed Quantity which is the part of the total quantity that has already been matched During the life time of an order the total quantity of the order is always equal to the sum of the open order quantity and the accumulated executed quantity When an order is deleted the total quantity of the order is equal to the sum of the deleted order quantity and the accumulated executed quantity 4 1 3 Order Validity The Order Validity limits the life time of the order T7 supports the following values for the Order Validity e Good For Day GFD orders are deleted automatically in the next end of day processing e Good Till Cancelled GTC orders are automatically deleted only after the instrument has expired e Good Till Date GTD orders carry an expiry business date and are automatically deleted in the end of day processing if the next business date is later than the specified expiry business date e Immediate Or Cancel IOC orders are deleted automatically after having been processed on entry without ever going to the order book 4 1 4 Order Identification When a new order is accepted by T7 the system assigns it an Exchange Order ID The exchange order ID is guaranteed to be unique among all orders and quotes of the same product that have an open quantity on the same business day The entering user may optionally assign a Client Order ID to the order The client order ID is verified by T7 t
90. akers may consider that even the minimum price is too high for a buy quote 59 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 7 Matching 7 1 Definitions Orders For the matching process T7 treats orders and quotes identically Therefore throughout this chapter the term Order is generally applied to both orders and quotes Matching Matching is the procedure of finding pairs or groups of orders that are executed against each other In its simplest form there is one buy order and one sell order that are both executed at the same execution price and with the same quantity However in general several orders on the buy side can be executed against several orders on the sell side The execution price is the same for all involved orders and the accumulated executed quantity on the buy side must equal the accumulated executed quantity on the sell side T7 informs the owners of the orders with an execution confirmation and then creates a trade and forwards this trade to the clearing system Direct Matching and Synthetic Matching The matching of orders that all belong to the same instrument is called Direct Matching In Synthetic Matching orders of different simple and complex instruments are executed against each other T7 supports synthetic matching for futures spreads and for inter product spreads Synthetic matching is not described in this chapter Synthetic matching of futures spreads is described in chapt
91. ally starts a volatility auction in the affected instrument or in the affected product The exchange enables or disables the Volatility Interrupt functionality by product It is applied only to trading in simple instruments There is no Volatility Interrupt for complex instruments 78 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Configuration Data The information whether the volatility interrupt functionality is enabled for a product at all and if so for which instrument and whether a volatility auction is started in all instruments of the product or only in the affected instrument is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Eurex Set Up Information Currently Eurex enables Volatility Interrupts for bond futures product type FBND for most index futures product type FINX for futures on ETFs and for volatility index futures product type FVOL 7 6 2 Procedure Before T7 executes an incoming order at a new execution price the central matching engine checks the new execution price against all execution prices in the same instrument that occurred in a short time interval before the current transaction This includes the executions of the incoming order that have already occurred at different prices If T7 finds an execution price in that time interval which differs too much from the new execution pri
92. an indication at which price an incoming order can be executed and how much can be executed at that price In general public order book information is based exclusively on limit orders Market orders on the order book may add to the available executable order volume but this is never reflected in the published order book data except for the potential auction price Orders that are not available for matching are ignored Thus for example stop orders are ignored before they are triggered but OCO orders are considered because they are available for matching before triggering The order book information that is published in the public market data depends on the instrument state e During the instrument state Continuous T7 publishes 1 The order book depth prices and the related accumulated quantities Only orders of the same instrument s order book are considered here i e the order book depth data contains only direct prices and quantities but no synthetic prices and quantities 2 The best synthetic buy and sell prices and their related synthetic quantities but only if the best synthetic buy or sell price is equal to or better than the corresponding best direct price in the order book depth data 3 Price visible quantity and time priority for each visible order e During auction instrument states and during auction freeze instrument states T7 publishes 1 Either a potential auction price if an uncrossing at this moment would le
93. ance Futures V2 1 0 30 Jan 2014 933 Complex instrument leg volumes included in the reported trade volumes of simple instruments 11 3 2 Clarifications concerning the calculation of the A published best quantity V 2 1 1 21 Feb 2014 8 2 4 Modified the use of text fields for TAIFEX specific 7 information 3 2 1 9 9 2 Clarifications concerning publication of market data 2 2 2 12 13 Added packs and bundles strips standard futures 14 15 strategies and inter product spreads V 2 5 0 15 Sep 2014 4 1 5 Added missing condition for a new priority time stamp 10 3 9 Less validations for RfQs in complex instruments all Correction of bad chapter references V 2 5 1 22 Oct 2014 Corrected the definition of the Accumulated Return of 20 1 Modified Variation Margin in the context of Variance Futures 149
94. any of these conditions is not fulfilled e The stop price of a buy OCO order must be higher than the best available buy price e The stop price of a sell OCO order must be lower than the best available sell price e The stop price of a buy OCO order must be higher than its limit price e The stop price of a sell OCO order must be lower than its limit price The best available price is normally given by the limit price of the best limit order on the order book side For the case of synthetic matching its definition is given in chapter 11 3 2 The same condition is checked for the modification of an OCO order The Price Reasonability Check and the Extended Price Range Validation apply to the limit price of an OCO order in the same way as for a regular limit order An OCO order looses its priority when its limit price is modified when its stop price is modified or when its quantity is increased Validations that are specific to market orders as e g the validation against a market order specific order size limit are in the same way applied to OCO orders on entry OCO orders can be entered with an order validity of GFD GTC or GTD The entered order validity continues to apply after the order is triggered 4 5 Book Or Cancel Orders BOC orders are orders that are never matched on entry BOC orders which could be partially or fully executed upon entry are immediately deleted without execution BOC orders that are not executable on entry
95. are accepted and written to the order book In all other aspects BOC orders are treated as regular limit orders Specifically it is possible to modify a BOC order in the order book such that it can be executed immediately The matching will take place as if it were a normal regular order BOC market orders are not supported BOC orders must have a limit price 4 6 Closing Auction Only Orders Closing Auction Only orders are orders that are active only in the instrument states Closing Auction and Closing Auction Freeze In all other instrument states they are inactive i e they can be entered modified or deleted but they are not available for matching and they do not contribute to the published market data When the instrument enters the Closing Auction state all Closing Auction Only orders become automatically active and they receive a new priority timestamp The Closing Auction Only orders participate then in the closing auction as any regular order 37 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Unexecuted Closing Auction Only orders are not automatically deleted by T7 after the Closing Auction is terminated Instead they become inactive EEX Set Up Information EEX has no closing auction for its products and therefore does not support Closing Auction Only orders Eurex Set Up Information Eurex allows for Closing Auction Only orders only an order validity of GFD Closing Auction Only order
96. are no longer taken into account Deactivation only after processing of the incoming order is complete A deactivation due to MMP takes place only after the matching of an incoming order or quote has been completed If in a synthetic matching situation an incoming order matches synthetically against several of a session s quotes in different instruments all these executions are performed and the quote deactivation is done only afterwards even if it was already the first of the executions that led to a violation of an MMP limit Deactivation during mass quote request processing Quotes that are sent together in one mass quote request are in this context considered independent incoming orders Any quote of the incoming mass quote request can be matched and cause a violation of a limit of the session that entered the mass quote request The consequence of this is a quote deactivation immediately after the processing of the matching quote and before the processing of the remaining quotes of the mass quote request Example 5 4 A market maker enters a mass quote request with double sided quotes in the following sequence 1 OESX Jun15 3300 C Buy 100 14 00 Sell 100 14 60 2 OESX Jun15 3350 C Buy 100 5 20 Sell 100 5 80 3 OESX Jun15 3400 C Buy 100 1 80 Sell 100 2 30 4 OESX BUL Jun15 3300 3400 Buy 100 11 90 Sell 100 12 60 The market maker s quote machine didn t calculate the prices well and so all the sell quotes in the mass quote requ
97. are registered trademarks of European Energy Exchange AG EEX All MSCI indexes are service marks and the exclusive property of MSCI Barra RDX is a registered trademark of Vienna Stock Exchange AG IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd IPD and has been licensed for the use by Eurex for derivatives SLI SMI and SMIM are registered trademarks of SIX Swiss Exchange AG The STOXX indexes the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored endorsed sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto Dow Jones Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones amp Company Inc Dow Jones UBS Commodity IndexSM and any related sub indexes are service marks of Dow Jones amp Company Inc and UBS AG All derivatives based on these indexes are not sponsored endorsed sold or promoted by Dow Jones amp Company Inc or UBS AG and neither party makes any representation regarding the advisability of trading or of investing in such products All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fixing Limited as well as The London Silver Market Fixing Limit
98. arket price prevailing at the yet unknown future point in time when the stop order will be triggered 58 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 6 4 Maximum Quote Spread Validation If the exchange requires that quotes have to be entered as double sided quotes then single sided quotes are rejected and double sided quotes are accepted only if the price difference between the buy side and the sell side of the quote does not exceed the Maximum Quote Spread The Maximum Quote Spread is determined either as being equal to the Price Range being calculated on basis of the price of the buy quote or as being equal to the Price Range being calculated on basis of the price of the sell quote whichever Price Range value turns out to be larger Maximum Quote Spread max Price Range BuyQuote Price Price Range Sell Quote Price The double sided quote is rejected if the quote spread is greater than the Maximum Quote Spread i e Sell Quote Price Buy Quote Price gt Maximum Quote Spread As an exception the entry of a single sided sell quote is admitted even if double sided quotes are mandatory if the difference between the limit price of the sell quote and the minimum price of the instrument is smaller than the Maximum Quote Spread i e Sell Quote Price Minimum Price lt Maximum Quote Spread This is to allow the entry of single sided sell quotes for out of the money options for which market m
99. ations of the respective time span are represented without any gaps As a consequence packs always have four legs and bundles have an integer multiple of four legs i e 8 legs for a 2 year bundle 12 legs for a 3 year bundle etc Example 12 1 A pack for the FEU3 money market future may have the following signature e Leg 1 Buy 1 of FEU3 Jun15 e Leg 2 Buy 1 of FEU3 Sep15 e Leg 3 Buy 1 of FEU3 Dec15 e Leg 4 Buy 1 of FEU3 Mar16 A 2 year bundle for the FEU3 money market future may have the following signature e Leg 1 Buy 1 of FEU3 Sep15 e Leg 2 Buy 1 of FEU3 Dec15 e Leg 3 Buy 1 of FEU3 Mar16 e Leg 4 Buy 1 of FEU3 Juni6 e Leg 5 Buy 1 of FEU3 Sep16 e Leg 6 Buy 1 of FEU3 Dec16 e Leg 7 Buy 1 of FEU3 Mar17 e Leg 8 Buy 1 of FEU3 Jun17 120 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Packs and bundles instruments have an instrument subtype which defines the number of legs and thus the length of the covered time span Since the instrument subtype of a pack typically indicates how distant the covered time period is from today a pack instrument may change its instrument subtype during its lifetime Configuration Data The list of available packs and bundles instrument subtypes is available in the Instrument Subtypes File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Eurex Set Up Information Eurex categorizes packs with a color sche
100. ative limit prices for Bull strategies In such a strategy a call is bought and another call with the same expiration date and a higher strike price is sold Since the market price of the former is never lower than the market price of the latter the market price of the strategy must always be positive The list of templates of supported strategy types is valid for an entire market For different markets there are different lists of supported standard options strategy templates Technically standard options strategy types are realized as instrument subtypes Configuration Data The list of available standard options strategy types together with the information which of the types are available for Eurex and which for EEX is available in the Instrument Subtypes File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes 16 2 Creation of Standard Options Strategies The exchange does not create standard options strategy instruments Standard options strategy instruments are created by users When creating a standard options strategy instrument the user must indicate its instrument subtype and adhere strictly to all the rules as given in the template including the sequence of legs their ratios and their sides Failure to do so will result in a rejection of the creation request 16 3 Matching of Standard Options Strategies Matching of standard options strategies follows the rules that have b
101. atively the limits can be defined independently for each instrument type The market maker can freely choose whether any limits are defined at all and if so for which instrument types and for which statistics When a quote is executed T7 checks whether the owning session has relevant limits defined and if so it compares the limits with the corresponding traded volume statistics If one of the limits is exceeded T7 automatically triggers a quote deactivation that applies to the same scope as the violated limit If a specific instrument type limit is exceeded the quotes for that instrument type are deactivated And if a product wide limit is exceeded then the quotes in all instrument types are deactivated Example 5 2 continued Assume now that the market maker that owns the Call Butterfly quote had configured market maker protection to work product wide for the product OESX The configured Volume limit is 50 for OESX and the time window size is 2 seconds One second before the trade in the Call Butterfly instrument his quote in the simple instrument OESX Jun15 3250 C traded 20 lots which brought the session s product wide Volume statistic to 20 The new trade of the Call Butterfly quote increases the product wide Volume statistic to 60 20 40 This exceeds the configured limit of 50 The session s quotes for OESX are deactivated and since it was a product wide limit that was exceeded this happens for the session s quotes for simple in
102. book path Then the sum of all the shares for the instrument is allocated to the orders at once 3 If the quantity of the incoming order is not yet exhausted then the remaining book paths on the same price level are matched These are the remaining book paths that can be matched by forming long synthetic match paths if there had been more than one available in the previous step To this end these book paths are first sorted according to the path sorting procedure that is explained in chapter 11 3 4 below Then they are executed as much as 108 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 possible in separate match steps one after the other Again the share that is given to a specific book path is available to all order book sides that make up the book path And again for each instrument on such a book path this share needs to be distributed among the eligible best priced orders using the order allocation method that is normally used for the instrument The order allocation is however applied inside each match step and not combining the quantities of different match steps There is an own match step for each considered book path here and therefore if a specific order book side occurs in several book paths then an order allocation is done for each of these book paths 4 If all the book paths in step 2 and step 3 could be fully matched at the current price level and the quantity of the incoming order is not ye
103. book without execution Since it is not executable itself the incoming limit order also does not trigger the book market orders Therefore even though the spread between the new best available buy price of 3130 and the best available sell price at 3132 is now smaller than the market order matching range of 10 the book market orders are not triggered and remain on the order book Finally another buy limit order is entered e Order 10 buy 10 contracts at price 3135 This incoming buy limit order is executable and therefore triggers the book market orders 6 and 8 Their execution limit is now Max 3135 3132 Range 3132 3142 The triggered book market orders 6 and 8 are thus executed against order 3 at the latter order s limit price of 3132 All three orders get fully executed leaving the sell order book empty and so the incoming limit order 10 is written to the order book In the case that the incoming order is a market order the Market Order Matching Range is applied for the execution of the triggered book market order in the same way as for real incoming market orders i e e If the incoming order is a buy market order then a triggered buy market order can match if the execution price is not greater than the published best buy price plus the Market Order Matching Range where the Market Order Matching Range is calculated with the published best buy price as the reference price If there is no published best buy price available i
104. bove listed conditions for the update of the priority time stamp is fulfilled then T7 will make a fresh attempt to match the modified order as if fora new incoming order Note that a fresh attempt to match a book order the quantity of which has been changed is irrelevant for limit orders but it could result in a match in the case of a book market order See chapter 7 3 for details The following attributes of an order can not be modified e Instrument identifier e Side Buy or Sell e Technical order attributes Persistent and Lean see ch 4 1 5 above Furthermore orders cannot be modified to change their category as defined in ch 4 7 1 below If the user wishes to modify any of these attributes of the order the user would have to delete the existing order and place a new one 4 2 3 Order deletion A user can delete an order that rests on the order book The deletion request must identify the order with the help of its Client Order ID if available or its Exchange Order ID Furthermore T7 supports the deletion of all of a user s orders in a product or in an instrument with one request See chapter 4 2 4 on order ownership and who is allowed to delete a specific order During an auction freeze state a deletion request for an order results in this order being marked as pending deletion rather than being deleted right away See chapter 3 2 3 for details 4 2 4 Ownership concept Every order is attributed an owning user an owning
105. ce then a Volatility Interrupt is applied as follows 1 The execution at the offending new execution price and any further executions of the incoming order are prevented 2 The instrument state is changed to Volatility Auction Depending on the instrument where the volatility condition is detected the state change is done either only for the concerned instrument or for all simple instruments of the product Exceptions for the latter case are simple instruments that are neither in the state Continuous nor in an auction state or an auction freeze state e g expired instruments Complex instruments may also change their states due to the automatic dependency of their states on the states of their leg instruments see ch 10 3 4 3 The incoming order is written to the book or in case of an IOC order it is cancelled Executions of that order that had been done at other prices before the condition was detected remain valid 4 All quotes and all non persistent orders are deleted for the simple instruments that are moved to the state Volatility Auction Only persistent orders are kept And the same happens to all quotes and non persistent orders of all the complex instruments that have at least one leg instrument the state of which is moved to Volatility Auction The prevention of the offending execution means in effect that the cause of a Volatility Interrupt is not visible in the public trade volume reporting 79 Eurex Exchange s T7
106. ce of the first leg minus the execution price of the incoming order i e 24 50 0 35 against the second leg of the incoming buy order for FVS SPD Jan15 Feb15 e the second leg of the buy order for FVS SPD Feb15 Mar15 is executed at a price of 23 50 against the buy order on the simple instrument FVS Mar15 113 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 11 3 7 Market Orders in Synthetic Matching Incoming Market Orders Incoming market orders can match synthetically just like incoming limit orders For the calculation of the execution limit of an incoming market order in the synthetic case the published best price see ch 11 3 2 is used rather than the best limit price on the order book side of the incoming order Therefore e The execution limit of an incoming buy market order is obtained by adding the Market Order Matching Range to the published best buy price where the Market Order Matching Range is calculated using the published best buy price as reference price e The execution limit of an incoming sell market order is obtained by subtracting the Market Order Matching Range from the published best sell price where the Market Order Matching Range is calculated using the published best sell price as reference price Example 11 14 The best prices for the instrument FVS Jan15 in the product FVS Futures on Mini VSTOXX are as follows Buy Sell Best Direct Price 24 40 25 60 Publis
107. ch is pre defined by the exchange e Non standard Options Strategies are multi leg options strategies that are freely defined by the users e Options Volatility Strategies are strategies of a predefined type that combine one or more options series with the underlying which is represented by a futures instrument Support of more types of complex instruments may be added in the future The Instrument Type distinguishes the various types of complex instruments from each other and from simple instruments There are a number of functionalities for which instrument types play an important role For example a number of quoting functionalities like market maker protection work on a scope that encompasses all instruments that belong to the same product and instrument type Simple Instruments Futures Contracts Option Series Complex Instruments Futures Spreads Standard Futures Strategies Packs and Bundles Strips Inter Product Spreads Standard Options Strategies Non Standard Options Strategies Volatility Strategies Figure 2 4 The Instrument Types Not all complex instrument types are available for all products The exchange enables or disables the support of the various complex instrument types on a by product basis 17 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 2 5 Eurex supports the instrument type Options Volatility Strategy for equity index options products but not for equity op
108. d based on these input parameters the realized variance o7Z 1 t the discount factor D and the Accumulated Return on Modified Variation Margin ARMVM of the present business day t are calculated the preliminary clearing price P c is replaced by the final clearing price P c in accordance with the conversion formula described above 148 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 21 Change log Version Date Chapter Change all New Trading Architecture becomes T7 8 2 3 8 2 4 New concept for trade enrichment rules 4 2 6 New book order count limits 9 9 2 New Eurex Enhanced Order Book Interface 4 1 7 4 2 5 New order and request attributes origin country code 5 3 8 rate identifier regulatory algorithm identifier 8 2 4 Introducing the Eurex Taifex link VAT TA Sepena 5 3 6 5 5 1 Added product scope for quote deactivation with 18 5 impact on market maker protection 3 5 3 10 2 Intra day inactivation of complex instruments replaces 10 3 4 18 2 intra day deletion of complex instruments 534 Clarified mass quote processing in the case of quotes Ag matching on entry Clarifications concerning the validation against the 10 3 7 18 5 i minimum quote size for complex instruments 6 2 2 10 3 8 Clarifications concerning the price reasonability check V 2 0 1 14 Oct 2013 4 2 6 Clarifications concerning book order count limits 8 4 16 1 Added Vari
109. d they are in any case already deleted when the End Of Day processing starts 5 3 6 Quote Deactivation It is possible to deactivate or reactivate all quotes of a session that belong to the same product and optionally to the same instrument type The deactivation or reactivation is always valid for all the quotes of a session for the specified product and instrument type It is not possible to deactivate or 43 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 reactivate individual quotes The scope of a deactivation and of the market maker protection parameters set by the market maker see chapter 5 5 below must be the same i e e Either quotes are activated or deactivated and market maker protection limits are defined for all quotes in a product independent of the instrument type e Orall that is done independently for each different instrument type The deactivation or reactivation of the quotes of a session can be requested through any session that belongs to the same business unit Additionally an automatic deactivation of quotes is triggered in case of a violation of a Market Maker Protection limit see chapter 5 5 below When a session s quotes are inactive it means that they do not participate in matching and T7 does not take them into account for the calculation of market prices However inactive quotes can still be maintained just like active quotes A trader can thus continue to perform normal quote
110. d instruments as derived from best prices in the leg instruments T7 furthermore publishes synthetic prices for leg instruments that are obtained with the help of inter product spread instruments Such prices are however published separately from synthetic prices derived with the help of futures spread instruments See the Eurex Market and Reference Data Interfaces Manual for technical details Note that synthetic prices for leg instruments that are obtained with the help of inter product spread instruments can be Best Available Prices but are never regarded as Published Best Prices in the sense of the description in chapter 11 3 2 Published synthetic prices for futures instruments that are obtained with the help of inter product spread instruments may cross with each other or may cross published synthetic prices that are derived form the futures spread functionality T7 flags such prices in the market data messages but it does not resolve such situations by itself 130 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 15 4 3 Matching Procedure The matching procedure for an incoming order in the context of synthetic matching of inter product spread orders follows the description given in chapter 11 3 3 for futures spreads with only a few alterations as follows For incoming inter product spread orders there are at maximum two possible book paths e The direct book path e The synthetic book path that is formed by
111. d sell prices or the potential auction price e No trading occurs but at the end of an auction instrument state an order book uncrossing may occur potentially resulting in an auction trade which is published by the exchange 3 2 3 Auction Freeze Instrument States An auction freeze state is a state where the exchange market supervision has frozen the market during an auction call phase in order to control the order book situation Like for the auction 20 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 instrument states described above for each type of auction there is one auction freeze instrument state 1 Opening Auction Freeze 2 Closing Auction Freeze 3 Volatility Auction Freeze 4 Intraday Auction Freeze In an auction freeze state e No order entry or modification is possible e No immediate order deletion is possible but order deletion requests will result in the order being marked as pending deletion see below e No quote entry or replacement is possible e No immediate quote deletion is possible but quote deletion requests will result in the quote being marked as pending deletion e Only top of book market data is published by the exchange i e either the best buy and sell prices or the potential auction price e No trading occurs but at the end of an auction freeze instrument state an order book uncrossing may occur potentially resulting in an auction trade which is published by
112. ders and quotes e Trade data is published by the exchange 3 2 2 Auction Instrument States There are four auction instrument states that represent the auction call phases of various types of auctions 1 Opening Auction An opening auction occurs each time before continuous trading starts This happens normally only once a day in the morning But if under exceptional circumstances trading is halted and re started during the day there is an opening auction again before continuous trading resumes 2 Closing Auction For some products there is a closing auction either at the end of the continuous trading phase or during the day to determine an auction price as a basis for a settlement price There can be only one closing auction per day 3 Volatility Auction A volatility interrupt results in a volatility auction See chapter 7 6 for information on volatility interrupts 4 Intraday Auction An auction that does not fit into the other three categories is an intraday auction This will occur only for special products Configuration Data The information whether there is a closing auction for a product is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes In an auction instrument state e Order maintenance is possible e Quote maintenance is possible e Only top of book market data is published by the exchange i e either the best buy an
113. ders are matched together with the best priced book limit orders in one single match step However in the order allocation these market orders and limit orders are allocated separately and the market orders are allocated first Example 7 2 continued 1 The buy order book for FESX Jun15 contains now the following orders e Order 6 buy 30 contracts without price limit market order e Order 4 buy 15 contracts at price 3120 e Order 5 buy 30 contracts at price 3118 And the sell order book contains the following order e Order 3 sell 30 contracts at price 3132 A limit order to sell 10 contracts at price 3115 is entered It is fully executed against book market order 65 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 6 at the best available buy price of 3120 which is the limit price of order 4 7 3 4 Book Market Order Triggering by Incoming Orders An incoming limit order or market order on the same side as a book market order cannot be matched before that book market order The term incoming order also applies here to the following e Orders that are being modified such that the limit price is improved e Quotes that are reactivated e Stop orders and OCO orders that are triggered see chapters 4 3 and 4 4 e Futures spread orders that are fed into the market after an uncrossing see chapter 11 4 4 Thus in case that an incoming order could be executed but that there are one or several market order
114. diate renewed deactivation of the quotes The reactivation processing is in this case no longer continued for the remaining quotes that had not yet been processed 5 6 Request For Quote A Request for Quote RfQ is a request that is directed to market makers which indicates trading interest in a specific instrument An RfQ can be single sided or double sided and it can optionally carry a quantity Market makers are informed about an RfQ through the Market Data Interface An RfQ is generated either automatically by T7 or on request of a user of the system The exchange determines by product whether RfQs are supported at all and if so whether automatic RfQ generation is supported Automatic RfQs If supported for the product an automatic RfQ is generated if an incoming market order does not match at entry at all and is written to the order book Furthermore an automatic RfQ is generated if a Stop Market order or an OCO order is triggered and is not immediately matched not even partially when being triggered Automatic RfQs are generated only if all of the following conditions are fulfilled e The instrument state is Continuous e There had been no other RfQ for the same instrument shortly before e The spread between the best buy price and the best sell price is not narrow enough or alternatively the quantity of the best price is not high enough An automatic RfQ is always double sided and carries no quantity User Requested RfQs
115. difference between the total quantity to be allocated and the sum of the rounded allocation quantities of the Basic Allocation Step turns out to be 25 23 2 This is the remaining quantity that is distributed in the Remainder Allocation Step In the Remainder Allocation Step the orders are sorted by quantity first The two orders with the same quantity are then sorted by time priority The remainder quantity of 2 is now allocated one by one to the orders sorted in this way en Remainder Order Priority Order Quantity Basic Allocations Allocated Total Allocated Order 3 50 7 1 8 Order 1 20 9 1 10 Order 2 20 7 0 K Sum 90 23 2 25 The result shows that both the time priority and the order size play a role in the allocation The higher time priority of Order 1 gives it a bigger share than Order 3 But since the order size matters as well Order 3 gets still a bigger share than Order 2 notwithstanding the lower time priority The last table below compares the results of the three allocation methods for the current example T gt Time Pro Rata 3 Order Priority Order Quantity Time Allocation Aleea Pro Rata Allocation Order 1 20 20 10 6 Order 2 20 5 7 5 Order 3 50 0 8 14 7 5 4 Time Allocation The time allocation method first sorts the eligible orders by their priority time stamp orders with an older priority time stamp coming first It then determines the allocation
116. ding such opportunities that are not taken into account in the published best prices T7 supports synthetic matching for futures products The related mechanisms are explained in detail in chapter 11 3 The data on visible individual orders is complete i e it can be used by participants to construct an unlimited order book depth and to calculate all existing synthetic matching opportunities The individual orders can be identified through the combination of the instrument identifier the side and the priority time stamp However the owners of the individual orders remain undisclosed Maintenance of hidden orders e g market orders Closing Auction Only orders outside a closing auction or stop orders before being triggered is not reported The Potential Auction Price is the auction price that would result if an uncrossing would take place at this moment See chapter 7 4 for details The order book information that is published during an auction instrument state or an auction freeze instrument state i e either best buy and sell prices or a potential auction price never considers synthetic matching opportunities simply because there is in any case no synthetic matching in the uncrossing of simple instruments 9 3 Trade Reporting T7 publishes general trade statistics data as well as information on individual trades 9 3 1 Trade Volume Reporting The term Trade Volume Reporting refers to the publication of data about individual matches wh
117. e orders from at least two participants are executed against each other as previously negotiated When a user enters a cross announcement specifying the instrument and the quantity T7 publishes this information to the market The corresponding matching orders must then be entered within a certain time frame See the Conditions for Trading at Eurex Deutschland and Eurex Z rich for more information 40 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 5 Quotes 5 1 Quote Characteristics A Quote is a special kind of order with some specific functionality and a minimal set of attributes Typically quotes are sent as pairs of buy and sell quotes also referred to as Double Sided Quotes T7 supports also Single Sided Quotes where only a buy quote or only a sell quote is entered for an instrument In general quotes are used for market making purposes A quote in T7 belongs to the session through which it had been entered A session can only have one buy quote and one sell quote per instrument If a quote is entered through a session that already has a quote on the same side of the same instrument s order book then the old quote is replaced by the new one A quote must have a limit price There is no such thing as a market quote without a price limit Quotes do not carry clearing related information But trades resulting from the execution of quotes may be automatically enriched with such information by T7 See
118. e book path that allows matching along a long synthetic match path The book paths that allow matching along a short synthetic match path are sorted among themselves according to the sorting rule given in chapter 11 3 4 above The same is done for the book paths that allow matching along a triangle match path At that point all book paths are sorted The allocation method then steps through the sorted list of book paths and allocates as much quantity as possible to each book path until the incoming quantity is exhausted Allocating as much quantity as possible means here to allocate either all the remaining quantity of the incoming order or the available quantity of the book path at the current price level whichever quantity is smaller Synthetic Path First Allocation Method The Synthetic Path First allocation method works like the Direct Path First allocation method Only the sequence of book path types is modified such that e the book paths that allow matching along a short synthetic match path come first e then come the book paths that allow matching along a triangle match path e then comes the direct book path e and the book path that allows matching along a long synthetic match path comes last 111 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Pro rata Allocation Method For the Pro Rata path allocation method the book paths are first sorted in the same way as for the Direct Path First allocation
119. e handling of market orders where the market order matching range for incoming market orders is taken in reference to the published best price see ch 7 3 2 while book market orders match at the best available price on their side see ch 7 3 3 For the calculation of a published best quantity T7 does not sum up the available quantities of all the short synthetic match paths the synthetic price of which is equal to the published best price Instead it takes the maximum among these quantities This may often underestimate the available synthetic quantity but it avoids an overestimation of the available synthetic quantity which else would occur in some market situations Example 11 8 The following orders are in the order books of the product FVS e Simple instrument FVS Jan15 o Buy 30 ata price of 24 50 o Buy 20 ata price of 24 50 e Simple instrument FVS Feb15 o Buy 20 ata price of 24 10 o Buy 40 at a price of 24 10 e Simple instrument FVS Mar15 o Buy 10 at aprice of 23 50 o Buy 15 at aprice of 23 50 e Futures spread FVS SPD Jan15 Feb15 o Buy 10 at a price of 0 40 e Futures spread FVS SPD Jan15 Mar15 o Buy 20 ata price of 1 00 e Futures spread FVS SPD Feb15 Mar15 o Buy 40 ata price of 0 65 There are no sell orders in the order books The simple instrument FVS Jan15 has e A best direct buy price of 24 50 with a quantity of 50 given by the orders in the own order book This price and quantity is published as the firs
120. e immediately added to their respective lists of triggered stop orders and they are immediately considered in the round robin processing The processing continues until all stop orders have been triggered in all the instruments Any new incoming orders or quotes are processed only afterwards Example 4 3 Assume the following stop order lists for two FESX instruments Assume further that in this example the numeric order IDs happen to reflect the sequence of order entry and thus the time priority of the orders Note however that in general T7 does not guarantee such a correlation FESX Jun15 FESX Sep15 Buy Stop Orders Sell Stop Orders Buy Stop Orders Sell Stop Orders Order ID Stop Price Order ID Stop Price Order ID Stop Price OrderID Stop Price 1 3253 5 3256 4 3244 2 3246 3 3255 6 3256 8 3245 7 3245 Assume that a match event with trade prices of 3255 for FESX Jun15 and of 3245 for FESX Sep15 occurs such that all listed stop orders are triggered The triggering of the stop orders would be processed in the sequence 1 5 4 2 3 6 8 and 7 4 4 One Cancels the Other Orders 4 4 1 OCO Order Functionality A One Cancels the Other OCO order is an order that combines the behavior of a regular limit order with that of a stop market order An OCO order has both a limit price and a stop price On entry it first behaves exactly like a regular limit order It can match l
121. e limit prices of the executed orders are not violated and 2 Afterwards the order book is uncrossed i e there are no longer two orders left on the order book that can be executed against each other The rules that are applied to determine the execution price for an uncrossing procedure are described in chapter 7 4 2 below The uncrossing procedure is normally applied at the end of an auction phase An auction phase is a phase where the instrument state is an auction state possibly alternating with an auction freeze state See chapters 3 2 2 and 3 2 3 for details on these instrument states Under exceptional circumstances however an auction can be cancelled without an uncrossing being done Furthermore the uncrossing procedure must be applied whenever an instrument s state is moved to the Continuous instrument state even without a previous auction phase For complex instruments 69 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 which do not have an auction phase see chapter 10 3 4 this is the standard case Since the main application of the uncrossing procedure is the generation of an auction trade at the end of an auction phase the uncrossing trade is also called an Auction Trade and the corresponding trade price is also called an Auction Price even if no auction phase was involved An uncrossing trade is performed as one match event with a single match step see ch 7 2 2 above for the definitions o
122. e limits for his quotes The system automatically deactivates his quotes if a limit is exceeded A Manual Stop Release of Trading functionality is available The effect of this is ona participant level on a business unit level or for an individual user A manual stop release can be performed by an exchange participant by a clearing member via the existing Eurex interfaces or by the clearing house The Advanced Risk Protection functionality of Eurex is supported and can warn slow or stop a participant if a predefined position limit is exceeded Price validation functionalities for orders and quotes are described in chapter 6 145 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 20 Appendix 20 1 Variance Futures Variance futures on equity indexes represent a product class of Eurex that is supported by T7 A variance futures product enables participants to hedge risks associated with the variance of the corresponding underlying equity index Each variance futures instrument considers the daily history of the underlying equity index during its life time The overall life time of a variance futures instrument is characterized by the number of business days denoted by T while the elapsed life time of a variance futures instrument is denoted by t When a variance futures instrument is regularly created after an expiration the first trading day is represented by t 0 the last trading day is represented by t T
123. e paths have been sorted according to the sorting procedure that is outlined in chapter 11 3 4 below The procedure involves two allocation steps which are performed one after the other a Path Allocation Step The Accumulated Available Book Quantity is the sum of the available quantities of all book paths that are taken into account in this match step See chapter 11 3 2 above for the determination of the available quantity of a synthetic book path If the quantity of the incoming order that can be matched is smaller than the accumulated available book quantity then the quantity of the incoming order is distributed to the competing book paths following a specific Path Allocation Method T7 supports a variety of path allocation methods for this purpose They are described in chapter 11 3 5 below The exchange defines by product which path allocation method is applied b Order Allocation Step The share that is given to a specific book path is then available to all order book sides that make up the book path For each instrument on such a book path this share needs then to be distributed among the eligible best priced orders For this purpose the order allocation method is applied that is normally used for that instrument as described in chapter 7 2 1 It is in principle possible that different instruments on the same book path have different order allocation methods It is possible that the same instrument receives a share in more than one
124. e to be allocated to the order at position i in Aj A ak the sorted list of eligible orders which is given by the total quantity k 1 to be allocated A minus the sum of the quantities that were already allocated to the orders which have a higher priority Example 7 8 A quantity of 25 is to be allocated among three orders in the order book with a total open quantity of 90 Their time priority is given by the sequence in the following list highest time priority first e Order 1 Quantity 20 e Order 2 Quantity 20 e Order 3 Quantity 50 For the time allocation these orders are sorted by time priority The first order is fully allocated The remaining quantity is given to the second order and since nothing is left the third order receives nothing Order Priority Order Quantity Quantity Available To be Allocated Allocated Quantity Order 1 20 25 20 Order 2 20 25 20 5 5 Order 3 50 25 20 5 0 0 Since order 3 has the lowest time priority it receives nothing even though it is the largest order 7 6 Volatility Interrupt 7 6 1 Overview The Volatility Interrupt is a special mechanism that is applied during continuous trading in order to prevent large deviations of execution prices in a short period of time To this end T7 compares each execution price to recent execution prices in the same instrument and if the price difference is considered excessively large it stops continuous trading and automatic
125. ead instrument FVS SPD Jan15 Feb15 which is selling FVS Feb15 and 3 the second leg of the sell side of the futures spread instrument FVS SPD Jan15 Mar15 which is buying FVS Mar15 is matched against the second leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is selling FVS Mar15 101 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 The exchange enables or disables the support of matching triangle match paths by product Configuration Data The information on whether triangle matching is supported for a product is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes The Long Synthetic Match Path The long synthetic match path involves orders in two simple instruments and in two futures spread instruments The two futures spread instruments have exactly one leg in common and the other legs are the involved simple instruments In the graphic representation the long synthetic match path appears as the prolongation of the short synthetic match path as shown below 1 C1 2_ C2 3 s3 Buy Sell Buy Sell 7 5N Buy Sell lt amp amp gt a s KAA a so kea A 83 53 Figure 11 3 An example for a long synthetic match path In the following the involved simple or leg instruments are S1 S2 and S3 in the order of their expiry dates The complex instruments that can the
126. ead instruments like for other instrument types as described in chapter 7 2 1 An incoming order matches against orders on the other side of the order book of the same instrument Synthetic matching of an inter product spread instrument against its leg instruments is explained further in the following Synthetic matching of inter product spreads is supported exclusively in the form of matching an inter product spread instrument against its leg instruments This way of matching corresponds to the Short Synthetic Match Path for futures spreads as described in chapter 11 3 1 Other ways of synthetic matching that combine one inter product spread instrument with another inter product spread instrument or any other complex instrument are not supported in T7 Example 15 2 An incoming buy order for the simple instrument FDBM Jan15 Italian Base Load Month Futures may be executed against a combination of book buy orders in the inter product spread instrument F1BMFDBM LOCS F1BM Jan15 FDBM Jan15 and of book sell orders in the simple instrument F1BM Jan15 Phelix Base Load Month Futures The match path consists therefore of e the buy side of FDBM Jan15 e the buy side of F1BMFDBM LOCS F1BM Jan15 FDBM Jan15 i e buy F1BM Jan15 and sell FDBM Jan15 e the sell side of F1BM Jan15 Here 1 the incoming order on the buy side of the simple instrument FDBM Jan15 is matched against the second leg of the buy side of the inter product spread instrument F1 BM
127. ed which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced PCS and Property Claim Services are registered trademarks of ISO Services Inc Korea Exchange KRX KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc BSE and SENSEX are trademarks service marks of Bombay Stock Exchange BSE and all rights accruing from the same statutory or otherwise wholly vest with BSE Any violation of the above would constitute an offence under the laws of India and international treaties governing the same The names of other companies and third party products may be trademarks or service marks of their respective owners Eurex Exchange s T7 Functional Reference Content 1 Introduction 1 1 Content of this document 1 2 Usage Notes 1 3 Further reading 2 Fundamental Concepts 2 1 Participant Structure 2 1 1 Overview 2 1 2 Participant and Business Unit 2 1 3 User 2 1 4 Session 2 2 Market Structure 2 2 1 Markets Products and Instruments 2 2 2 Complex Instruments 3 Trading States 3 1 Overview 3 2 Instrument States 3 2 1 Instrument State Continuous 3 2 2 Auction Instrument States 3 2 3 Auction Freeze Instrument States 3 2 4 Instrument State Book 3 2 5 Instrument State Restricted 3 2 6 Instrument State Closed 3 3 Product States 3 3 1 Start Of Day 3 3 2 Pre Trading 3 3 3 Trading 3 3 4 Closing 3 3 5 P
128. ed and are forwarded in the trade items to the clearing system e Open Close Indicator The open close indicator specifies whether the trade should be used to open a position or to close a position For complex instruments the open close indicator is available independently for each leg of an order e Clearing Account The clearing account is the position account used in the clearing system It is also used by the Eurex clearing system to decide if a trade shall be given up to another member or whether it shall be marked for give up For complex instruments the clearing account is available independently for each leg of an order e Take Up Member The take up member is the member as known to the clearing system to which a trade will be given up e Text Fields There are three printable text fields that can be freely used for various purposes T7 does not validate or modify the values of these attributes but forwards them unchanged to the clearing system The clearing system will then handle invalid data in an appropriate way 80 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 8 2 3 Automatic Trade Enrichment For quotes and also for orders which are sent with a special small message layout clearing related information as described above cannot be provided directly on the order or quote Instead participants can submit trade enrichment rules that are then used by T7 s trade manager to fill clearing related
129. een described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for standard options strategies i e standard options strategy orders and quotes match only against orders and quotes of the same instrument 134 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 17 Non Standard Options Strategies This chapter outlines the specific features of non standard options strategies in T7 The common features of complex instruments in T7 as described in chapter 10 apply for non standard options strategies except if stated otherwise in the following 17 1 Definition of Non Standard Options Strategies A Non Standard Options Strategy consists of two or more leg instruments that belong to the same options product The user can define freely the signature of a non standard options strategy There are no strategy type templates that are defined by the exchange for non standard options strategies And T7 does not require a specific sorting of the leg instruments The exchange however defines by product e amaximum for the number of legs e amaximum for the leg ratios e amaximum for how much the ratio of one leg may exceed the ratio of another leg of the same instrument Eurex Set Up Information Eurex supports non standard options strategies for most options products It allows for all these products a maximum of five legs and a maximum value of 99 f
130. emoved from the order book and a fully matched order that is in the process of being entered is not written to the book Or an order matches partially if not all its open quantity is executed In this case an order that was already on the order book remains on the order book and an order that is in the process of being entered and is not an IOC order is written to the order book The quantity that was executed is deducted from the open quantity and added to the accumulated executed quantity It is possible for a single order to get involved in multiple executions at different points in time For example an order may be partially executed upon entry while the remaining open order remains in the order book The open portion may then be executed a minute later an hour later or even days later Continuous Trading and Uncrossing T7 supports essentially two different matching procedures 1 Continuous Trading In the instrument state Continuous the matching engine of T7 attempts to execute an incoming order in the extended sense as described above immediately against orders on the book The rules for Continuous Trading are described in chapter 7 2 below 2 Uncrossing An auction phase usually ends with an uncrossing procedure that may result in an auction trade Orders at both sides of the order book are executed against each other at one single auction price so that afterwards the order book is uncrossed i e there are no longer two orders
131. enables or disables the creation of complex instruments by instrument type and product Configuration Data The information on which instrument types are enabled for a product is published by T7 s Reference Data Interface in the product snapshot message RDI group message name FlexRules It can also be found in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Example 10 2 Eurex enables the instrument type Standard Options Strategy for all its options products But the instrument type Options Volatility Strategy is disabled for a number of options products e g for all equity options products When a complex instrument is created T7 assigns a new instrument identifier to the complex instrument The identifier and the signature of the new complex instrument are disseminated to the market participants on the reference data and market data feeds If a user requests the creation of a complex instrument that already exists the instrument is not created again The exchange reserves itself the right to limit the number of complex instruments that are created through a single session for a product There are mainly two ways how complex instruments are deleted 1 T7 deletes a complex instrument automatically during end of day processing if one of its leg instruments has expired 2 Some complex instruments and they include all user created complex instru
132. er 11 3 and synthetic matching of inter product spreads is described in chapter 15 4 This chapter describes direct matching Incoming Orders and Book Orders The matching procedure makes a difference between Incoming Orders and Book Orders Strictly speaking an incoming order is an order that is in the process of being entered and a book order is an order that is on the order book already In the context of matching however book orders are sometimes treated as incoming orders These cases are e Orders that are being modified such that the price is improved e Quotes that are reactivated e Market orders that are triggered see chapters 7 3 4 and 7 3 5 e Stop orders and OCO orders that are triggered see chapters 4 3 and 4 4 e Futures spread orders and inter product spread orders that are fed into the market after an uncrossing see chapters 11 4 4 and 15 5 In this chapter therefore the term Incoming Order is applied not only to actual incoming orders but extended also to book orders given in the above list 2 The term Implied Matching is a widely used synonym for Synthetic Matching Eurex applies the term Synthetic Matching There is no subtle difference of meaning intended 60 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Full Match and Partial Match An order will match fully if its entire open quantity is executed Since there is nothing left to match a fully matched book order is r
133. er 7 1 for the matching rules in continuous trading The open quantity and the accumulated executed quantity of the order are determined Any remainder is written to the order book except for an IOC order which is deleted instead 4 2 2 Order modification A user can modify an order that rests on the order book The modification request must identify the order with the help of its client order ID if available or of its exchange order ID See chapter 4 2 4 on order ownership and who is allowed to modify a specific order The user may modify the limit price and may modify the total order quantity A new limit price and a new total order quantity are subject to the same validations as for order entry The accumulated executed quantity is carried forward to the modified order while the open order quantity gets recalculated if the total order quantity is modified An attempt to modify the total quantity 30 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 of an order to a value below the already executed quantity results in the deletion of the order The priority time stamp of an order is updated when e The limit price of the order is changed or e A market order is modified to become a limit order or vice versa or e The total order quantity is increased The modification of any other order attribute has no impact on the time priority of an order If the instrument state is Continuous and if any of the a
134. er quantity divided by the total accumulated quantity of all price best book orders The matched quantity of a book order is given by the multiplication of its quantity ratio and the quantity of the incoming order In this way all price best book orders are considered for execution The Pro Rata Allocation method is described in chapter 7 5 2 2 Time Pro Rata Allocation The price best orders are sequenced by their time priority Orders with a higher time priority receive a higher matched quantity compared to the Pro Rata Allocation at the expense of orders with a lower time priority Compared to the Time 72 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Allocation orders with a high time priority receive a lower matched quantity Depending on the specific order book situation it may be possible that not all price best orders are considered for execution and consequently the number of orders considered by the Time Pro Rata Allocation is smaller compared to the Pro Rata Allocation The Time Pro Rata Allocation method is described in chapter 7 5 3 3 Time Allocation The price best orders are sorted by their time priority The first price best order is filled as much as possible and the remaining quantity of the incoming order is passed to the next price best order Usually the number of orders that receive a share in the case of the Time Allocation is smaller compared to the case of the Time Pro Rata Allocation or of
135. erence V 2 5 1 Eurex Set Up Information Eurex supports stop market orders OCO orders BOC orders and closing auction only orders exclusively for futures products but not for options products Stop limit orders are currently not supported for any product The following table shows the assignment of order profiles to products at Eurex Order Profile All Options Futures Products Futures Products w o Products with Closing Auction Closing Auction Limit Order y J J Market Order y Jv y Closing Auction Limit Order y Closing Auction Market Order J Book Or Cancel Order y y Stop Limit Order Stop Market Order J J One Cancels the Other Order WA Jv 4 7 3 Complex Instrument Orders T7 accepts for complex instruments only limit orders with any order validity Market orders as well as orders with any specific internal order type Stop Orders OCO Orders or restriction Closing Auction Only Orders BOC Orders are not supported for complex instruments Technically T7 assigns order profiles independently per instrument type However currently the only order profile supported for complex instruments in any product is the Limit Order profile 4 8 Cross Announcement The Cross Announcement functionality serves to announce a Cross Trade or a Pre Arranged Trade to the market A cross trade is a trade where an exchange participant trades against an own order in the order book In a pre arranged trad
136. erent variance pricing notation with futures price P and futures quantity Q which is denoted as P Q clearing notation Each match in a variance futures instrument thus generates a trade in the o v trading notation which is converted by T7 into the P Q clearing notation Trades are communicated to the clearing 82 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 system only in the P Q clearing notation As the values for the conversion parameters are known only at the end of the trading day T7 does a preliminary conversion at the time of the trade leading to preliminary values for P Q based on the previous day s values of the conversion parameters The preliminary trade information is immediately communicated to the clearing system At the end of the trading day when the day s conversion parameter values have been approved T7 calculates the final P Q values and replaces the preliminary trades with the final trades For details on Variance Futures at Eurex please refer to chapter 20 1 of this document and further on to the specific documentation on Variance Futures on the Eurex web site 83 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 9 Market Data Publishing T7 provides market data in several ways 1 The Eurex Enhanced Market Data Interface Eurex EMDI provides price level aggregated market data without netting for high bandwidth customers Wit
137. est happen to be fully executable on entry The market maker had set 100 as a limit for the Volume statistic of simple instruments and again 100 as a limit for the Volume statistic of standard options strategies He did not set any product wide limit The first quote matches fully with a quantity of 100 which is equal to the limit but does not exceed the limit Then the second quote matches fully with a quantity of 100 which brings the session s Volume statistic for simple instruments to 200 thus exceeding the corresponding limit of 100 An immediate deactivation for the session s quotes in simple instruments is triggered The third quote enters the book but is already inactive and so does not match The fourth quote is not inactive since it does not belong to a simple instrument It matches fully which brings the Volume statistic for standard options strategies to 200 a volume of 100 coming from each leg This finally triggers a deactivation for the session s quotes in standard options strategies Deactivation during processing of a reactivation The situation is similar for the reactivation of the quotes of a session Quotes being reactivated are processed one after the other like independent incoming orders That means that if the reactivation of quotes leads to an execution of such a quote then this might cause an MMP limit to be violated and 51 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 thus to an imme
138. etter priced buy orders 1 and 2 with an accumulated quantity of 25 are fully executed at the auction price of 3125 e The remaining quantity of 10 is distributed among the second best priced orders 3 and 4 depending on the configured allocation method For FESX this is the time allocation method Therefore the remaining quantity of 10 is entirely allocated to order 3 which has the higher time priority as compared to order 4 e Sell order 5 is fully executed at the auction price of 3125 which is better than the order s price limit 7 5 Order Allocation Methods 7 5 1 Overview An Order Allocation Method describes how a tradable quantity is shared amongst a group of eligible orders if the tradable quantity is insufficient to allow all eligible orders to be fully executed T7 always observes a strict price priority This means that an eligible limit order receives a share only if all market orders and all limit orders with a better limit price are fully matched Therefore the different order allocation methods describe different ways on how to distribute a tradable quantity to be shared amongst orders of the same price level if that tradable quantity is lower than the accumulated quantity of the orders at that price level Currently T7 supports three order allocation methods which are explained in detail in the following subsections 1 Pro Rata Allocation This allocation is based on the quantity ratio defined by the individual book ord
139. ettlement price in trading notation is applied here i e the previous day s settlement volatility 57 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 6 2 3 Product Settings T7 allows the exchange to determine by product whether the Price Reasonability Check is supported at all and which type of price is used in the non standard procedure Configuration Data The values of the parameters that control the settings for the price reasonability check are available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes 6 3 Extended Price Range Validation When a user enters or modifies a limit order or a quote T7 performs the Extended Price Range Validation on the limit price of the order or quote if the following conditions are fulfilled e The Extended Price Range Validation is enabled for the product and the instrument type e The limit price of the order or the quote is not being checked with the Price Reasonability Check no matter if it is not done because it has not been requested or because the available market price information is not sufficient or because the check is disabled e The instrument state is Continuous The Extended Price Range Validation leads to a rejection of the order or quote if the limit price of a buy order or quote exceeds the best sell price by more than the extended price range as given in chap
140. ex Eurex Clearing Eurex Bonds Eurex Repo as well as the Eurex Exchanges and their respective servants and agents a do not make any representations or warranties regarding the information contained herein whether express or implied including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy correctness quality completeness or timeliness of such information and b shall not be responsible or liable for any third party s use of any information contained herein under any circumstances including without limitation in connection with actual trading or otherwise or for any errors or omissions contained in this publication This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction This publication is not intended for solicitation purposes but only for use as general information All descriptions examples and calculations contained in this publication are for illustrative purposes only Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to posses
141. example for an instrument is FDAX Jun15 which is the futures contract on the DAX index that expires in June 2015 A trader that wants to buy 20 contracts of this futures contract places a buy order with a quantity of 20 in the instrument FDAX Jun15 An example for an options instrument is ODAX Jun15 7000 C which is the call option on the DAX index with a strike of 7000 that expires in June 2015 Instruments of the same type that refer to the same underlying are grouped together to form Products In T7 every tradable instrument must belong to a product A futures product normally contains all futures instruments for the same underlying that differ only in the expiry date An options product normally contains all call options instruments and all put options instruments that differ only in the expiry date the strike price or the version number Note however that for convenience an exchange may assign similar instruments with the same underlying to different products Example 2 3 The instruments ODAX Jun15 7100 C and ODAX Sep15 6900 P belong to the same product ODAX However the Weekly DAX Option ODX1 Jun15 7100 C belongs to a different product ODX1 though it differs from ODAX Jun15 7100 C only in the expiry date Instruments of the same product are traded in the same way i e trading parameters and trading schedules are defined for products or groups of products rather than for individual instruments A product has a trading state but
142. f these terms It is reported as an auction trade in the public Trade Volume Reporting 7 4 2 Auction Price Determination All orders that are executed in a specific uncrossing procedure are executed at the same execution price irrespective of their limit price This execution price is the auction price of the specific uncrossing procedure T7 determines the auction price so that the following two main objectives are reached 1 Uncrossing After the auction trade there will be no two orders left in the order book that are executable against each other As a consequence the best sell price that is available after the execution of the auction trade is always higher than the corresponding best buy price Market orders are considered as being executable against any limit order 2 Price Continuity The auction trade price will not be lower than the best buy price that is available after the execution of the auction trade and it will not be higher than the best sell price that is available after the execution of the auction trade As a by product of fulfilling these two objectives the principle of Maximizing Executions is fulfilled as well i e the auction price is a price for which the executed volume is maximized It is possible that prices in a whole price range can reach the above objectives In this case T7 applies the following additional rules to decide on a single auction price 3 If the range of possible prices is limited on bot
143. for one eligible order after the other in the sequence that they have just been sorted Each order receives an allocated quantity that is equal to its open quantity provided that the quantity left to be allocated after the previous orders in the list got their share is sufficient If that quantity is not sufficient then the order is allocated whatever remaining quantity was left to be allocated In this way it is possible that orders which are last in the list receive nothing Note that the term Time Allocation is a synonym of the term Price Time Allocation The term Time Allocation is applied here because price priority is something that is a common feature of all matching procedures in T7 independent of the order allocation method What distinguishes the time allocation method from other order allocation methods is the priority time being the only criteria for the allocation among orders of the same price level This calculation of the allocated share can also be expressed with the help of a mathematical formula a MIN q Ail 77 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 where a is the quantity that is allocated to the order at position i in the sorted list of eligible orders MIN is the minimum function i e MIN X Y is either X or Y whichever is smaller qi is the open quantity of the order at position i in the sorted list of eligible orders i 1 is the quantity availabl
144. frequently this rule helps matching book market orders in quote driven markets The condition to be applied is that the spread of the incoming quote is smaller than or equal to the Price Range as defined in chapter 6 1 2 This condition depends on whether a market order is a buy order or a Sell order i e in the case of an incoming double sided quote e buy market orders are triggered if Sell Quote Price Buy Quote Price lt Price Range Buy Quote Price e and sell market orders are triggered if Sell Quote Price Buy Quote Price lt Price Range Sell Quote Price The condition is also considered to be fulfilled in the following cases e The same conditions are applied when quotes are reactivated rather than real incoming e The same conditions are applied when a single sided quote is incoming and the other side of the quote is already on the order book Additionally in the case of a single sided sell quote the same condition is applied but by calculating the spread using the instrument s minimum limit price instead of the missing buy quote price i e e buy market orders are triggered if Sell Quote Price Minimum Price lt Price Range Minimum Price e and sell market orders are triggered if Sell Quote Price Minimum Price lt Price Range Sell Quote Price The triggering of the book market orders occurs immediately after the quote has been written to the order book This means that the triggered market orders might
145. g to the same options product The signature of a standard options strategy complies with a strategy type template that is defined by the exchange A standard options strategy type template contains e the identifier and the name of the standard options strategy type e the number of the legs e and for each leg the ratio the side Call or Put optionally a rule concerning the expiration date optionally a rule concerning the strike price Oo 0 0 0 Example 16 1 Eurex defines a 2x1 Ratio Call Spread as Short Name ABUL Number of Legs 2 1 Leg 2 Leg Ratio 1 2 Side Sell Buy Option Type Call Call Expiration Rule na same as 1 leg Strike Rule n a higher than for 1 leg An example for a valid 2x1 Ratio Call Spread instrument is therefore the instrument with the signature e Leg 1 ODAX Jun15 9150 C Ratio 1 Side Sell e Leg 2 ODAX Jun15 9200 C Ratio 2 Side Buy Apart from belonging to the same product the leg instruments of a standard options strategy instrument must also have the same contract size And if they have a version number they must all have the same version number 133 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In the templates an exchange may also define minimum limit prices for certain strategy types which are motivated by the wish to prevent the entry of obviously mispriced orders Example 16 2 Eurex prevents the entry of neg
146. ge for OESX is defined as 1 i e the underlying leg execution price of an OESX options volatility strategy instrument can not differ by more than 1 percent from the reference price The above presented example for a 2x1 Ratio Put Spread versus Short Underlying instrument OESX 100 200 RBER Jul14 3200 3000 vs S 17 FESX Sep 14 3260 0 would therefore be accepted if the reference price is 3240 0 but not if the reference price is 3220 0 18 4 Matching of Options Volatility Strategies Matching of options volatility strategies follows largely the rules that have been described in chapter 7 on matching in general and in chapter 10 3 on matching for complex instruments T7 supports no synthetic matching for options volatility strategies i e options volatility strategy orders and quotes match only against orders and quotes of the same instrument Limit prices and execution prices have to be interpreted differently than for other complex instrument types 1 They refer only to the option part of an options volatility strategy instrument When decomposing an order execution price for an options volatility strategy T7 distributes the value of the order execution price only among the option leg instruments The underlying instrument receives in any case the leg execution price that is specified in the signature of the instrument 2 They are to be understood as assuming the option leg ratios to be as given in the options volatility strategy template and
147. h sides by limit prices of orders in the order book then the following formula is applied to calculate the auction price _ BMQ x LoP BLQ x HiP SLQ x LoP SMQ x HiP AP BMQ BLQ SLQ SMQ where AP is the auction price BMQ isthe accumulated quantity of Buy market orders BLQ _ is the accumulated quantity of Buy limit orders which can be executed at a price in the determined range SLQ isthe accumulated quantity of Sell limit orders which can be executed at a price in the determined range SMQ is the accumulated quantity of Sell market orders LoP _ is the lowest price of the determined range HiP _ is the highest price of the determined range If the resulting price is not a valid price according to the applicable price step table then the auction price is rounded down to the next valid price 70 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 4 Ifthe range of possible prices is limited only on one side by the limit price of an order in the order book than this limit price is chosen as the auction price Example 7 4 For FESX Jun15 the order book contains three orders on each side as follows e Buy order book o Order 1 buy 5 contracts without price limit market order o Order 2 buy 20 contracts at price 3131 o Order 3 buy 25 contracts at price 3127 e Sell order book o Order 4 sell 10 contracts without price limit market order o Order 5 sell 15 contracts at price 3128 o Order
148. hapter 7 1 above the term incoming includes e Orders that are modified from being limit orders to being market orders e Triggered stop market orders and triggered OCO orders In the case that the instrument supports synthetic matching the best price that is applied here is the published best price See chapter 11 3 2 for details on synthetic matching and published best prices If the order book situation is such that an incoming market order cannot or can no longer match at a price inside the Market Order Matching Range then depending on whether it is an IOC order or not the remaining part of the incoming market order is either cancelled or it is saved on the book even if there are still orders on the opposite side of the order book Example 7 2 For FESX Jun15 the market order matching range is 10 independent of the price to which it refers The sell order book contains the following orders 64 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Order 1 sell 20 contracts at price 3125 e Order 2 sell 10 contracts at price 3130 e Order 3 sell 30 contracts at price 3132 The buy order book contains the following orders e Order 4 buy 15 contracts at price 3120 e Order 5 buy 30 contracts at price 3118 A buy market order is entered e Order 6 buy 60 contracts without price limit market order The best available buy price is 3120 The incoming buy market order can therefore match until a price of
149. hat can be executed at the auction price or it is the quantity of sell orders that can be executed at the auction price whichever is lower The traded quantity is allocated to the executable orders as follows e Orders with a limit price that is better than the auction price higher in the case of buy orders and lower in the case of sell orders are fully executed e Orders with a limit price that is equal to the auction price are allocated according to the applicable allocation procedure e Orders with a limit price that is worse than the auction price lower in the case of buy orders and higher in the case of sell orders are not executed at all 71 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 7 5 For FESX Jun15 the order book contains the following orders e Buy order book o Order 1 buy 15 contracts at price 3126 o Order 2 buy 10 contracts at price 3126 o Order 3 buy 15 contracts at price 3125 o Order 4 buy 20 contracts at price 3125 e Sell order book o Order 5 sell 35 contracts at price 3124 The determination of the auction price and quantity yields an execution of 35 contracts at an auction price of 3125 Prices below 3124 or above 3125 would not reach the objective of Uncrossing A price of 3124 or between 3124 and 3125 would not reach the objective of Price Continuity Only a price of 3125 reaches both objectives The execution of the individual orders is then done as follows e The b
150. he legs e and for each leg o the ratio o the side o optionally a rule concerning the expiration date Example 14 1 Eurex defines a Futures Butterfly as Short Name FBUT Number of 3 Legs 1 Leg 2 Leg 3 Leg Ratio 2 1 Side Buy Sell Buy Expiration Rule a Greater than 1 leg Greater than 2 leg An example for a valid Futures Butterfly instrument is therefore the instrument with the signature e Leg 1 FEU3 Jun15 Ratio 1 Side Buy e Leg 2 FEU3 Sep15 Ratio 2 Side Sell e Leg 3 FEU3 Dec15 Ratio 1 Side Buy 125 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In the templates an exchange may also define minimum limit prices for certain strategy types which are motivated by the wish to prevent the entry of obviously mispriced orders The list of templates of supported strategy types is valid for an entire market For different markets there are different lists of supported standard futures strategy templates Technically standard futures strategy types are realized as instrument subtypes Configuration Data The list of available standard futures strategy types together with the information which of the types are available for Eurex is available in the Instrument Subtypes File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes 14 2 Creation of Standard Futures Strategies The exchange does not
151. he mass quote request In case of a double sided quote the buy side is processed before the sell side 5 3 2 Quote Entry A user may enter quotes in Quote Entry Mode When a new quote is entered in quote entry mode for a specific side in a specific instrument and if there is no quote belonging to the same session already on that side of the order book for that instrument then the new quote is simply added If there is already an old quote belonging to the same session on that side of the order book for that instrument then the new quote replaces the old quote The entered quantity of the new quote becomes the open quantity while the accumulated executed quantity of the new quote is initialized to zero Nevertheless the new quote will receive the priority timestamp of the old replaced quote if the price remains the same and if the new quantity is not higher than the old quote s remaining open quantity In all other cases the entry time of the quote defines its time priority 5 3 3 Quote Modification Alternatively T7 supports the entry of quotes in Quote Modification Mode which adheres to rules that resemble those valid for order modification When a new quote is entered in quote modification mode for a specific side in a specific instrument and if there is no quote belonging to the same session already on that side of the order book for that instrument then the new quote is not added by T7 If there is already an old quote belo
152. hed Best Price 24 50 25 60 Best Available Price 24 50 25 40 The market order matching range for FVS is 1 00 independent of the reference price e An incoming buy market order for FVS Jan15 can be matched until the published best buy price plus the market order matching range i e 24 50 1 00 25 50 It can thus be matched at the best available sell price of 25 40 e An incoming sell market order for FVS Jan15 can be matched until the published best sell price minus the market order matching range i e 25 60 1 00 24 60 In the given situation it can not be matched Book Market Orders on the Direct Book Path Book market orders that are on the direct book path for the incoming order i e the incoming order and the book market orders belong to the same instrument are executed at the best available price for the book market orders side of the order book It is possible that the best available price is a synthetic price and is better than the price of the best limit order on the direct book path and it is even possible that there are no limit orders at all on the direct book path In these cases the direct book path consists only of the market orders and its price is equal to the best available price If there are limit orders on the direct book path and if the best limit price is equal to the best available price then the book market orders and the best limit orders are taken together in the direct book path 1
153. here in this way the earlier expiry date is found gets the priority over the other book path 2 If the first comparison step did not lead to a decision and if there are two simple instruments on each book path For each book path take the simple instrument with the later expiry date among the simple instruments on the book path The book path where in this way the earlier expiry is found gets the priority over the other book path 3 Ifthe first two comparison steps did not lead to a decision Compare all the futures spread instruments of the book paths according to the rule that is described above The book path that turns out to have the highest prioritized futures spread gets the priority over the other book path Example 11 9 Sorting synthetic book paths for matching along a short synthetic match path equivalent to Buy FVS Jan15 109 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Position Synthetic Book Path 1 Buy FVS SPD Jan15 Feb15 Buy FVS Feb15 2 Buy FVS SPD Jan15 Mar15 Buy FVS Mar15 3 Buy FVS SPD Jan15 Apr15 Buy FVS Apr15 All sorting is done with comparison rule 1 i e according to the expiry date of the simple instrument with the earliest expiry date FVS Feb15 expires before FVS Mar15 and FVS Mar15 expires before FVS Apr15 Example 11 10 Sorting synthetic book paths for matching along a long synthetic match path equivalent to Sell FVS SPD Feb15 Mar15
154. hes to trade an OESX Butterfly strategy that consists of buying a quantity of 10 in the OESX Jun15 3400 C instrument the same quantity in the OESX Jun15 3500 C instrument and selling a quantity of 20 in the OESX Jun15 3450 C instrument The appropriate complex instrument has three legs and its signature is e Leg 1 Buy 1 of OESX Jun15 3400 C e Leg 2 Sell 2 of OESX Jun15 3450 C e Leg 3 Buy 1 of OESX Jun15 3500 C Trader A needs to enter a buy order with a quantity of 10 for this complex instrument This does not guarantee full execution but it does guarantee that if the order is executed all leg instruments are executed at the same time and that the executed quantities of the leg instruments relate to each other as given by the ratios in the signature E g a partial execution of a quantity of 5 in this complex instrument means that the executed quantity is 5 for leg 1 10 for leg 2 and 5 for leg 3 10 2 Creation and Deletion of Complex Instruments Before orders or quotes can be submitted for a complex instrument the complex instrument must be created Complex instruments that are not created by the exchange can be created by users at any time during trading hours provided that the signature of a requested complex instrument complies with the rules as outlined in the respective chapters below for the different supported complex instrument types 90 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 The exchange
155. his case The same happens if a stop market order is modified to become a stop limit order or vice versa A stop order can be entered with an order validity of GFD GTC or GTD The entered order validity continues to apply after the order has been triggered When a stop order is entered then the stop price of the stop order is validated against the current market prices Only buy stop orders the stop price of which is greater than the Best Available Buy Price and sell stop orders the stop price of which is smaller than the Best Available Sell Price are 33 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 accepted and saved as stop orders on the order book The best available price is normally given by the limit price of the best limit order on the order book side For the case of synthetic matching its definition is given in chapter 11 3 2 The handling of stop orders that fail this validation is defined for each product by the exchange Depending on the configuration of the product they are either rejected or they are immediately converted to regular orders Eurex and EEX Set Up Information Currently Eurex and EEX always reject stop orders which fail the entry validation of the stop price against current market prices This applies to all products where stop orders are supported The same validation is applied for a modification request if the stop price or in case of a stop limit order the limit price
156. hot message RDI group message name PriceRangeRules The value of the fast percentage parameter to be applied on a standard price range during a fast market is published by T7 s Reference Data Interface in the product snapshot message RDI field 55 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 name FastMarketPercentage It is also available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes The extended price range tables are available as part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Related information including the assignment of products to these tables are available in the Trading Parameters File which is part of the Products and Instruments Files 6 2 Price Reasonability Check 6 2 1 Procedure When a user enters or modifies a limit order or a quote the user can optionally request T7 to perform a Price Reasonability Check on the limit price of the order or quote and to reject the order or quote if it fails the check The check is performed exclusively in the instrument state Continuous The check leads to a rejection of the order or quote if the limit price of a buy order or quote exceeds a given reference price by more than the standard price range as given in chapter 6 1 above or if the given reference price exceeds the limit price of a sell order or quote by that amo
157. hout netting means that every single change to the market data is made visible and every single match is reported individually Price level aggregated market data means that Eurex EMDI delivers order book information in the form of the accumulated available quantities for price levels The number of reported price levels is limited For instruments with synthetic matching this includes synthetic price and quantity information on the best available price level 2 The Eurex Market Data Interface Eurex MDI provides price level aggregated market data with netting for low bandwidth customers With netting means that changes of the order book information are aggregated over a time interval with a product dependent duration And the same happens to the trade reporting such that only snapshots of the general trade statistics are provided but there is no reporting of every individual match Like Eurex EMDI also Eurex MDI delivers order book information in the form of accumulated available quantities for a limited number of price levels including synthetic price and quantity information on the best price level where applicable 3 The Eurex Enhanced Order Book Interface Eurex EOBI provides order by order market data without netting for high bandwidth customers Order by order means that Eurex EOBI delivers order book information by reporting price and quantity data of each individual visible order Eurex EOBI does not provide any price level aggregated dat
158. ich is available only in the Eurex Enhanced Market Data Interface A single incoming order can be matched at several different prices and at each price level there can be several book orders or in case of synthetic matching even book paths involved Such a match event is structured into match steps so that there is only one execution price for a single match step And in synthetic matching there is always only one execution price per involved instrument and match step See chapter 7 2 2 for a description of match events and match steps See chapter 11 3 on the extensions for synthetic matching of futures products The trade volume reporting publishes data about individual match steps In direct matching i e not synthetic matching the trade volume reporting consists of one data set per match step A single trade volume reporting data set contains the following information e Match Step Identifier The match step identifier provides a unique identification of the match step in the scope of the product It is also reported in the private execution information that T7 sends to the owner of an executed order It can thus be used to relate private information 86 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 about the executions of own orders to the public information given in the trade volume reporting e Execution Price The execution price is the price at which the orders were executed e Execution Quantity
159. ifferent session In addition to the deletion of individual quotes with a mass quote request T7 supports also a special Delete All Quotes Request which allows the deletion of all quotes at once which belong to a specified session in a product Such a request can be sent through any session that belongs to the same business unit During an auction freeze instrument state just as for orders T7 cannot delete quotes as this would change the order book situation Like for orders a request to delete a quote during an auction freeze state is accepted by T7 but the quote is merely marked as pending deletion The handling of quotes that are marked as pending deletion is identical to the handling of orders in this situation as described in chapter 4 2 3 5 3 5 Automatic Quote Deletion Quotes are deleted automatically in the following situations e The instrument enters the state Restricted or the state Closed e The product enters the state Halt e A Volatility Interrupt occurs e The owning session gets disconnected e Inthe case of certain risk protection events that require the deletion of all orders and quotes e A technical back end partition overload condition has been detected e A technical failure requires a restart of the central matching engine Quotes are always considered as having an order validity of Good For Day However since quotes are always deleted when the instrument enters one of the instrument states Restricted or Close
160. ike a regular limit order and it contributes to the published market data The stop price defines a trigger condition just as for stop orders Once the trigger condition is fulfilled the OCO order behaves like a stop market order i e it gets a new priority timestamp and is converted to an incoming market order The limit price does not apply anymore When several stop orders and OCO orders are triggered T7 does not distinguish between stop orders and OCO orders when working out the sequence of processing An OCO order that fulfills the trigger condition on entry is rejected by the system l e contrary to stop orders immediate conversion to regular market orders is in general not supported for OCO orders Though the name One Cancels the Other may suggest otherwise T7 treats an OCO order as one single order and not as two orders that are linked This is also reflected by an OCO order having only one Exchange Order ID that does not change throughout its life time and specifically not when the OCO order is triggered 36 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 4 4 2 OCO Order Maintenance OCO orders are mandatorily entered with a limit price and with a stop price Both the limit price and the stop price must be valid prices in respect of the rules for limit prices as outlined in chapter 4 1 1 On entry the stop price and the limit price are validated as follows and entry of the OCO order is rejected if
161. is 1 00 independent of the reference price There is an incoming sell limit order for FVS Jan15 with a limit price of 24 20 which is executable against the best available buy price of 24 55 Before the incoming order can match the sell market order on the order book of FVS Jan15 is triggered It can match until a price of 23 55 MIN 24 20 24 55 1 00 The sell market order on the order book for FVS Mar15 is not triggered even though there is an execution in that instrument because FVS Mar15 is not the instrument of the incoming order 11 4 Synthetic Uncrossing 11 4 1 Procedure Overview A complex instrument enters automatically the instrument state Continuous when all its leg instruments have entered the instrument state Continuous And when entering the instrument state Continuous an uncrossing procedure is done for the complex instrument as described in chapter 10 3 5 For futures spread instruments that are enabled for synthetic matching the uncrossing procedure is extended in order to account for the possibility that the order books are crossed synthetically In general in one instrument state change transaction more than one complex instrument may have to change its instrument state It is furthermore possible that several or even all simple instruments of a product have their instrument state changed to Continuous inside one transaction For the synthetic uncrossing procedure the processing sequence of all these instru
162. is modified or if the quantity of the stop order is increased A rejection of the modification request means here that the stop order remains on the order book unchanged 4 3 3 Stop Order Triggering When stop orders are triggered they are converted to incoming regular orders and treated as such thereafter However at this point there is no Price Reasonability Check and no Extended Price Range Validation for triggered stop limit orders The priority time stamp is updated The Exchange Order ID is not modified Stop orders are triggered one by one in separate transactions They are always triggered at the end of the transaction which creates the triggering condition Example 4 2 An incoming sell order matches against the order book at the price levels 80 75 and then 70 The first match at 80 creates the condition for triggering a stop order on the book T7 will first complete the matching of the incoming order at 75 and 70 and process the triggering of the stop order afterwards If the incoming order causes a volatility interrupt while attempting to match at 70 the instrument state change to the volatility auction is done first and the processing of the stop order that got triggered by the match at 80 is done last T7 supports two types of trigger conditions triggering based on the last trade price and triggering based on the best buy or best sell price The methods are described in the following 1 Stop order triggering based on the
163. its trade completely independently from each other For example users from different trading business units cannot access each other s orders or quotes even if these users belong to the same participant 12 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Eurex and EEX Set Up Information Currently Eurex and EEX allow only one trading business unit per participant Additional business units per participant may be made available at a point later in time However the trades of all business units of a participant are sent to the clearing house in the name of the participant the Eurex member The clearing house does not distinguish between business units A Clearing Member of the exchange has a specific Clearing Business Unit that receives trade information for the trades of all own trading business units as well as for the trades of the trading business units of related Non Clearing Members Clearing members as well as Service Providers that are not trading members but that have access to the system are also set up as participants in T7 2 1 3 User A user is a person such as a trader or an administrator that interacts with T7 A user can also be a machine like an order routing system or a quote machine Every request that reaches T7 must carry the identifier of a user which executes the request And every order and every quote in T7 must carry the identifier of a user which owns the order Eurex requires
164. l The pricing convention applied for packs and bundles is Averaged Net Change Pricing Prices in a 121 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 packs and bundles instrument depend on the differences between the leg instrument prices and their corresponding rounded previous day settlement prices and the sum of these price differences is divided by the number of legs to obtain an average price difference Precisely the relations between the price of a packs and bundles instrument and its leg instrument prices can be expressed as follows N Pres x pi TSROUND p i 1 Here PP amp B is the price of the packs and bundles instrument Pi is the price of the i th leg instrument pros is the previous day settlement price of the i th leg instrument means rounding the previous day settlement price to the next price that is TSROUND a in agreement with the tick size ch 4 1 1 of the leg instrument with round half up as tie breaker N is the number of leg instruments of the packs and bundles instrument 12 4 Matching of Packs and Bundles T7 considers the pricing formula described in chapter 12 3 above when creating leg trades and forwarding them to clearing after a packs and bundles order has been executed Since the price formula contains the leg instruments previous day settlement prices packs and bundles instruments can only be traded if previous day settlement prices are available for
165. last trade price During the product state Trading a new trade price can trigger stop orders The cause of the trade is of no relevance i e the trade could be caused by a matching incoming order by an auction trade or by another stop order that is triggered and matched itself The only exception is that stop orders are not triggered by leg trade prices resulting from the decomposition of pure complex instrument trades A buy stop order is triggered if the new trade price is higher than or equal to the stop price of the stop order A sell stop order is triggered if the new trade price is lower than or equal to the stop price of the stop order Note that prices of trades that occur outside the product state Trading do not trigger stop 34 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 orders Consequently stop orders are never triggered by a closing auction trade in the product state Closing 2 Stop order triggering based on the best buy sell price During the instrument state Continuous a best buy price or best sell price can trigger stop orders This applies also to best buy and best sell prices resulting immediately after an auction if the instrument state Continuous follows the auction A buy stop order is triggered if the new best buy price is higher than or equal to the stop price of the stop order A sell stop order is triggered if the new best sell price is lower than or equal to the stop price
166. lt the market if it judges that market conditions or technical conditions impair the integrity of the market In such a case a product will be set to the product state Halt In the product state Halt no matching occurs and order book access is restricted All instruments are in the instrument state Restricted 3 3 8 Holiday The product state Holiday applies to products that are not open for trading on that day even though the exchange is open Members have no access to the order books for a product that is in the product state Holiday All instruments are in the instrument state Closed 3 4 Fast Market An exchange declares a Fast Market for a product when an especially volatile market situation is expected During a Fast Market the following price and quantity validations may be relaxed depending on the product specific settings as decided by the exchange e The Minimum Quote Size may be lower ch 5 4 2 e The Price Range may be enlarged ch 6 1 2 which implies that The Price Reasonability Check may be relaxed ch 6 2 The Maximum Quote Spread for double sided quotes may be enlarged ch 6 4 The Market Order Matching Range ch 7 3 1 may be enlarged and The conditions for the acceptance of requests for an RfQ ch 5 6 are stricter 24 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e The Extended Price Range may be enlarged ch 6 1 2 which implies that the Extended Price Range Validati
167. mass quote request they are processed in sequence T7 prevents a new quote matching against an old quote that is due to be replaced or to be deleted by the same request This includes explicitly cases of synthetic matching of quotes in different instruments However matching against an old quote in a different instrument is not prevented if that old quote is not due to be replaced or deleted by the same request 4 If the entry or the deletion of an individual quote is rejected by T7 then T7 rejects both sides of the new quote and it deletes both sides of the session s old quote in the affected instrument 5 3 8 Regulatory Algorithm Identifier T7 supports that quote maintenance requests are enriched by a regulatory algorithm identifier if required by the trading surveillance office 5 4 Quote Validations 5 4 1 Standard Limit Price Validations The limit price of a quote is subject to the same validations as the limit price of an order e lt must comply with the price step table that is relevant for the instrument 45 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e The entering user may request that the limit prices of the quotes are validated with the Price Reasonability Check See chapter 6 2 for the details of the Price Reasonability Check e Quotes that are not validated with the Price Reasonability Check are tested with the Extended Price Range Validation provided that this validation is enabled for
168. match against the quote that triggered it at the limit price of the quote If there are market orders eligible to be triggered on both sides of the order book then only the market orders are triggered on the side of the order book where the accumulated quantity of market orders is higher If the quantities on both sides are equal only the buy market orders are triggered This will then automatically result in the book market orders on the other side of the order book being fully matched by the triggered market orders The price limit for the execution of market orders that are triggered due to the conditions of this chapter is identical to the limit that is applied to incoming market orders The rules are described in chapter 7 3 2 above Example 7 3 Starting with an empty order book the following orders are entered for FESX Jun15 e Order 1 buy 20 contracts at price 3150 e Order 2 sell 10 contract at price 3165 68 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Then the following market orders are entered e Order 3 buy 20 contracts without price limit market order e Order 4 sell 20 contract without price limit market order e Order 5 sell 10 contract without price limit market order The difference between the best buy price 3150 and the best sell price 3165 is greater than the market order matching range which is always 10 no matter for which price it is calculated Therefore all these market o
169. match path Buy FVS SPD Jan15 Feb15 Buy FVS SPD Feb15 Mar15 Buy FVS Mar15 e 15ata price of 24 50 against the short synthetic match path Buy FVS SPD Jan15 Mar15 Buy FVS Mar15 and e 50 ata price of 24 50 against the direct match path Note that the two short synthetic match paths are partly not available anymore after the execution of the better priced long synthetic match path Nevertheless the incoming sell order matches at least the best published quantity of 70 at the best published price or better See the following chapters for more details on matching in a synthetic context with futures spread instruments 11 3 3 Matching Procedure The matching procedure for an incoming order is extended to include direct matching that had been described in chapter 7 2 1 as well as synthetic matching in its various forms In order to have a unified description of direct matching and synthetic matching direct matching is in the following referred to as matching of an incoming order against the Direct Book Path A Book Path can in this way be the direct book path or a synthetic book path To be executable against a book path an incoming limit order must be e either an order to buy at a price that is at or above the available sell price e or an order to sell at a price that is at or below the available buy price 107 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 If the incoming order is matched against one or more
170. matching for futures products with the help of futures spread instruments that are enabled for synthetic matching Throughout this chapter it is assumed that the involved futures spread instruments are enabled for synthetic matching Furthermore in this chapter the term order always stands for both orders and quotes And finally the term incoming order is always to be taken in the extended sense as explained in chapter 7 1 above 11 3 1 Match Paths This chapter explains how different simple instruments and futures spread instruments can be combined for synthetic matching Prices are ignored in this chapter In continuous trading T7 supports five ways of matching in futures products 1 Direct matching of orders of the same simple instrument 2 Direct matching of orders of the same futures spread instrument 3 The Short Synthetic Match Path denotes synthetic matching of orders in two simple instruments and in one futures spread instrument where the simple instruments are the leg instruments of the futures spread instrument 4 The Triangle Match Path denotes synthetic matching of orders in three different futures spread instruments where each of the leg instruments of an involved futures spread instrument is also a leg instrument of one of the other involved futures spread instruments 5 The Long Synthetic Match Path denotes synthetic matching of orders in two simple instruments and in two futures spread instruments where the future
171. mation that is needed in the context of trading the Eurex KRX link product or Eurex TAIFEX link products See chapter 8 2 for more information on the handling of clearing related attributes of free format text fields and of attributes containing information related to the cooperation between Eurex and other exchanges 4 2 Order Maintenance 4 2 1 Order entry On order entry T7 validates that the order attributes which are relevant for trading contain valid values Orders with invalid attribute values are rejected The entered total order quantity must not violate the Transaction Size Limits that have been configured for the product and for the entering business unit or user Depending on various conditions the limit price of a limit order may be validated with the Price Reasonability Check see chapter 6 2 or with the Extended Price Range Validation see chapter 6 3 Entry of orders is possible during the instrument states Book and Continuous and during auction instrument states During the instrument states Closed and Restricted and during auction freeze instrument states order entry is not possible If the instrument state is Book or an auction state an incoming order is written to the book without matching IOC orders are deleted instead of being written to the book In the instrument state Continuous an incoming order will be possible if first matched against orders and quotes on the opposite side of the order book See chapt
172. me that is commonly known in money market futures trading The colors indicate how far away the 1 year time period is that the pack covers Instrument subtype Short name Expiration of the 1 leg instrument Number of legs White Pack WHITE P within the next 12 months 4 Red Pack RED P within the next 13 24 months 4 Green Pack GREEN P within the next 25 36 months 4 Blue Pack BLUE P within the next 37 48 months 4 Gold Pack GOLD P within the next 49 60 months 4 Bundles are categorized according to the time period that they cover Instrument subtype Short name Time period covered Number of legs 2 Year Bundle BUNDLE2 24 months 8 3 Year Bundle BUNDLE3 36 months 12 4 Year Bundle BUNDLE4 48 months 16 5 Year Bundle BUNDLE5 60 months 20 12 2 Creation of Packs and Bundles The exchange creates packs and bundles instruments in those futures products for which packs and bundles are enabled Packs and bundles instruments can not be created by users A user that wishes to trade a packs and bundles instrument which has not been created by the exchange may consider creating a strip instead see chapter 13 below about strips provided that strips are enabled for the product 12 3 Pricing of Packs and Bundles For packs and bundles instruments prices are expressed in a way that differs from the standard net price notation as described in chapter 10 3 3 for complex instruments in genera
173. ments are labeled as temporary Temporary complex instruments are deleted automatically during end of day processing if there are no orders in the order book for this instrument which have to be carried forward to the next business day Complex instruments keep the same instrument identifier during their entire lifetime However the lifetime of a complex instrument ends when it is deleted If after deletion of a complex instrument a new complex instrument with the same signature is created on another day this new complex instrument will have a different instrument identifier Market supervision may inactivate a complex instrument at any time during the day for various reasons When a complex instrument is inactivated all orders and quotes in that instrument are deleted and further order and quote entry is not possible Once a complex instrument has become inactive it can nevertheless be reactivated again on the same day by requesting the creation of a complex instrument with the same signature If it is not reactivated during the same day it will finally be deleted in the end of day processing 10 3 Trading of Complex Instruments 10 3 1 Overview Once a complex instrument is created orders and quotes for the complex instrument can be entered modified and deleted in the same way as for simple instruments In general they are also executed 91 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 against each othe
174. ments is of relevance because in synthetic matching orders in different instruments compete for the same liquidity The synthetic uncrossing procedure for futures instruments comprises the following steps in the given sequence The details for each step are described in the chapters that follow below 1 Uncrossing trades and instrument state changes of all simple instruments which have their instrument state changed to Continuous in the current transaction 2 Synthetic uncrossing trades and instrument state changes of all futures spread instruments which have to change their instrument state to Continuous because of the instrument state 117 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 changes of the simple instruments in step 1 3 Feeding of all futures spread orders which belong to the futures spread instruments that changed their instrument state in step 2 4 Triggering of stop orders Each of the four steps of the synthetic uncrossing procedure is completed for all affected instruments before the next step is done This means especially that e lf the instrument state of several simple instruments is changed to Continuous in one transaction then the uncrossing trade of the simple instruments is done for all these simple instruments before step 2 is started for any affected futures spread instrument e If there are several affected futures spread instruments then the synthetic uncrossing trade is
175. n be part of along synthetic match path are C1 2 with legs S1 and S2 C1 3 with legs S1 and S3 and C2 3 with legs S2 and S3 A long synthetic match path can be formed with any combination of two of these three futures spread instruments The following six synthetic match paths are possible 1 Combining C1 2 and C1 8 first variant e the buy side of S2 e the buy side of C1 2 i e buy S1 and sell S2 e the sell side of C1 3 i e sell S1 and buy S3 e the sell side of S3 2 Combining C1 2 and C1 3 reversed variant e the sell side of S2 e the sell side of C1 2 i e sell S1 and buy S2 e the buy side of C1 3 i e buy S1 and sell S3 e the buy side of S3 3 Combining C1 2 and C2 3 first variant as shown in figure 11 3 e the buy side of S1 e the sell side of C1 2 i e sell S1 and buy S2 e the sell side of C2 3 i e sell S2 and buy S3 e the sell side of S3 4 Combining C1 2 and C2 3 reversed variant e the sell side of S1 e the buy side of C1 2 i e buy S1 and sell S2 e the buy side of C2 3 i e buy S2 and sell S3 e the buy side of S3 102 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 5 Combining C1 3 and C2 3 first variant e the buy side of S1 e the sell side of C1 3 i e sell S1 and buy S3 e the buy side of C2 3 i e buy S2 and sell S3 e the sell side of S2 6 Combining C1 3 and C2 3 reversed variant e the sell side of S1 e the buy side of C1 9 i e buy S1 and sell S
176. nature e Leg 1 ODAX Jun15 9150 C Ratio 4 Side Buy e Leg 2 ODAX Jun15 9200 C Ratio 3 Side Buy e Leg 3 ODAX Jun15 9250 C Ratio 7 Side Sell Then the trader places a buy order for that instrument with quantity 5 and a limit price of 115 90 Only the overall net price limit of the order is guaranteed in the execution T7 will determine the execution prices of the individual leg instruments so that they together result in the overall net execution price of the complex instrument as determined by the matching procedure No specific leg execution prices are guaranteed In order to determine the leg execution prices from a given execution price in the complex instrument T7 normally applies a decomposition procedure that compromises between the following goals 1 Make every leg execution price close to the current market price 92 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 2 Distribute a possible deviation from the current market price evenly among the legs 3 Do this with a reasonably limited computational effort As an exception the decomposition procedure is not applied in certain synthetic matching situations where leg execution prices are determined with the help of execution prices of simple instrument orders that are involved in the match step See chapter 11 3 6 for details Example 10 3 continued Now trader B enters a sell order that matches trader A s order fully at a net execution price
177. ness units and for their specific sessions e Limits that are applicable for specific products This type of limit is supported only for a small number of products e Limits that are applicable for futures products if no such limit has been set up for the specific product e Limits that are applicable for options products if no such limit has been set up for the specific product Configuration Data The Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes contains the information for which products the setting of product specific limits is supported 32 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Eurex and EEX Set Up Information Currently after a limit had been exceeded Eurex and EEX re enable order entry when the related book order count falls below 70 of the limit 4 3 Stop Orders 4 3 1 Overview A stop order is an order that is initially inactive It is not able to match and it is not included in the public market data When the market reaches the price level that is given by the stop price of the stop order then the stop order is triggered i e it is converted to an active regular order and if possible matched according to the rules for incoming regular orders A buy stop order is normally placed at a stop price above the current market price and a sell stop order is normally placed at a stop price below the cur
178. nge s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 5 3 Quote Maintenance 5 3 1 The Mass Quote Request Users maintain individual quotes using Mass Quote Requests A mass quote request is a list of requests to enter replace or delete individual single sided or double sided quotes Traders may supply a Mass Quote Identifier when entering quotes which takes the place of the client order identifier known for orders The mass quote identifier identifies the mass quote request and is therefore the same for all quotes contained in the same mass quote request In the instrument state Continuous the entry or the replacement of a quote implies that T7 attempts to execute the incoming quote against the order book The sequence of the processing of the individual requests in the mass quote request is of relevance only in the case that quotes are executed on entry e g in the context of market maker protection see the corresponding remarks in chapter 5 5 4 or in the context of synthetic matching see chapter 11 3 The requests that are contained in a single mass quote request are processed by T7 in a two step approach In the first step all quotes are logically entered into the book thereby replacing any old quotes In the second step T7 s matching engine picks out those quotes that improved the best price on their order book and attempts to match them as incoming quotes one after the other in the sequence in which they occurred in t
179. nging to the same session on that side of the order book for that instrument then the new quote replaces the old quote The entered quantity of the new quote becomes the total quantity of the new quote and the accumulated executed quantity of the old quote is taken over as starting value for the accumulated executed quantity of the new quote 42 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 The open quantity of the new quote is then derived as the total quantity of the new quote minus the accumulated executed quantity of the old quote In case that the total quantity of the new quote is not greater than the accumulated executed quantity of the old quote the request to enter a new quote is automatically interpreted as a request to delete the old quote and no new quote is entered Like in quote entry mode the new quote will receive the priority timestamp of the old replaced quote if the price remains the same and if the new open quantity is not higher than the old quote s open quantity In all other cases the entry time of the quote defines its time priority 5 3 4 Quote Deletion on Request It is possible to delete an individual quote that rests on the order book The deletion request identifies the quote by side and instrument and assumes that the quote is meant that belongs to the same session as the one through which the deletion request is sent It is not possible to delete an individual quote through a d
180. non standard options strategies i e non standard options strategy orders and quotes match only against orders and quotes of the same instrument The decomposition procedure which determines the leg execution prices may in the case of non standard options strategies split the quantity of one of the legs and assign different prices to these quantities of the same leg The reason is that for non standard options strategies there are situations where any possible assignment of a valid trade price to each of the legs leads to leg execution prices that are unreasonably far from the current market price and there are even situations where it is outright impossible to decompose the order execution price in any valid way Splitting the quantity of one leg and assigning different prices to the two split quantities solves the problem T7 therefore generally applies this method for non standard options strategies in order to improve the quality of the leg execution prices Example 17 3 A non standard options strategy is created with the following signature e Leg 1 ODAX Jun15 9150 P Ratio 5 Side Buy e Leg 2 ODAX Jun15 9250 P Ratio 2 Side Sell A match occurs for this instrument with an execution quantity of 1 and an execution price of 2 0 Starting from the reference prices of the leg instruments respectively 0 8 for the first leg and 1 5 for the second leg the decomposition procedure might split the execution of the first leg into two
181. not as given in the signature of the instrument This is taken into account by T7 when decomposing an order execution price into the option leg execution prices The ratios that are given in the signature in the instrument are however applied as usual in the determination of the option leg execution quantities Example 18 6 There is an order to buy a quantity of 2 with a price limit at 26 5 in the order book of the above presented example OESX 100 200 RBER Jul14 3200 3000 vs S 17 FESX Sep14 3260 0 The order is then fully matched at its limit price by an incoming sell order The leg execution prices and quantities are determined as follows e OptionLeg 1 Sell 200 OESX Jul14 3200 P at 46 1 e Option Leg 2 Buy 400 OESX Jul14 3000 P at 19 8 e Underlying Leg Sell 34 FESX Sep14 at 3260 0 The order execution price is related to the leg execution prices as follows 1 x 1x 46 1 41 x 2x 19 8 6 5 Here the leg execution price of the first leg has been multiplied by the template ratio 1 and by 1 because the leg instrument is being sold and the leg execution price of the second leg has been multiplied by the template ratio 2 and by 1 because the leg instrument is being bought 143 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 The underlying leg execution price is given by the signature of the instrument and all the leg execution quantities are simply obtained as usual by multiplying the leg ratios
182. nstrument state Restricted e No order entry and no order modification is possible but order deletion is supported e No quote maintenance is possible and there are no quotes in the order book e No public market data is published by the exchange e No matching occurs T7 does not support the presence of quotes in the order book during the instrument state Restricted Therefore all quotes of an instrument are automatically deleted by T7 when the instrument enters the state Restricted 3 2 6 Instrument State Closed The instrument state Closed is the state where no access to the order book is available In the instrument state Closed e Maintenance of individual orders is not possible but requests that require the deletion of all orders in a specified scope are still processed provided that the product state allows access to the system at all e No quote maintenance is possible and there are no quotes in the order book e No public market data is published by the exchange e No matching occurs T7 does not support the presence of quotes in the order book during the instrument state Closed Therefore all quotes of an instrument are automatically deleted by the system when the instrument enters the state Closed 3 3 Product States Product states give a structure to the business day They also control the general access to T7 In general the instrument state changes with the product state Figure 3 2 displays the sequence of product
183. nstruments which are in an auction instrument state but no such prices are published for the complex instrument which is in the instrument state Book Nevertheless whenever the instrument state of a complex instrument changes to Continuous an uncrossing trade is done to ensure that the order book is not crossed during continuous trading In general the rules for the uncrossing complex instruments including the determination of the uncrossing price and the order allocation are exactly the same as those for simple instruments which can be found in chapter 7 4 As an exception there is a modified handling for complex instruments that are subject to synthetic matching See chapter 11 4 for this 10 3 6 Volatility Interrupt There is no volatility interrupt functionality for complex instruments 10 3 7 Minimum Quote Size For complex instruments the condition being tested in the validation of incoming quotes against the minimum quote size as described for simple instruments in chapter 5 4 2 is modified For each leg of a complex instrument quote the product of the leg ratio times the order quantity must not be smaller than the minimum quote size 10 3 8 Price Reasonability Check In general applications of the price range tables as described in chapter 6 are available for complex instruments as well though different price ranges may be applied For the non standard procedure of the price reasonability check as described in chapter 6
184. nt types of sessions in T7 These restrictions do not apply to order deletion 4 2 5 Regulatory Algorithm Identifier T7 supports that order maintenance requests are enriched by a regulatory algorithm identifier if required by the trading surveillance office 4 2 6 Book Order Count Limits T7 supports various pre trade limits that restrict the number of orders for a product that a business unit or a session may have at any given moment in the order book The aim is to help participants to prevent the accidental massive submission of orders from algorithmic trading or order routing machines The orders which are counted include all types of orders and quotes on the order book even inactive orders and quotes If a limit is exceeded for a product and a business unit or session further entry or modification of orders and quotes by that business unit or session for that product is prevented by the system until the number of orders has been considerably reduced This affects all types of orders and quotes including IOC orders Note that the system checks the counters only at the end of a transaction It is therefore possible in the context of quote mass transactions see chapter 5 3 1 that a limit gets exceeded by a number of quotes which are added in the same mass request There are large general limits defined by the exchange for business units and for sessions Additionally participants may define tighter limits for their specific busi
185. ntracts at price 3123 An incoming sell limit order Order 5 sell 100 contracts at price 3124 is partially executed in two match steps at two trade prices against the buy order book in the following way e First match step at price 3125 o 20 contracts are executed against order 1 at price 3125 o 10 contracts are executed against order 3 at price 3125 e Second match step at price 3124 o 30 contracts are executed against order 2 at price 3124 Order 4 is not executed since its limit price 3123 is lower than the limit price 3124 of the incoming sell order The remaining quantity 40 of the incoming sell order is written to the sell order book If the quantity of the incoming sell order had been 25 instead of 100 then the sell order would have been fully matched in one match step at price 3125 against order 1 and order 3 While the distribution of the total executed quantity of 25 among the equally priced orders 1 and 3 depends on the configured allocation method see below order 2 is in any case not executed because of its lower price priority The limit price of the book order to be matched becomes the execution price An incoming order may thus match at various execution prices depending on the limit prices of the book orders that it is executed against 7 2 2 Match Event Structure Match Event The matching of a single incoming order against possibly many orders on the book at various price levels constitutes a Match Event Match Step
186. o 3 Side Buy e Leg 3 ODAX Jun15 9250 C Ratio 7 Side Sell 2 Inversion of Sell only Strategies If a user requests a non standard options strategy instrument the legs of which have all Sell as the side then T7 changes the side to Buy for all legs This prevents the creation of instruments that can have only negative prices 3 Detection of Standard Options Strategies T7 does not allow creating a non standard options strategy instrument that could have been created as a standard options strategy instrument If a user requests the creation of a non standard options strategy instrument that could have been created as a standard options strategy instrument then T7 will create it as the appropriate standard options strategy instrument This may involve changing the sequence of legs and it may involve switching the sides of all legs Example 17 2 Trader B requests the creation of a non standard options strategy instrument with the following signature e Leg 1 ODAX Jun15 9200 C Ratio 2 Side Sell e Leg 2 ODAX Jun15 9150 C Ratio 1 Side Buy T7 detects that by inverting the sides and by changing the sequence of the legs this instrument fits to the standard options strategy type 2x1 Ratio Call Spread It therefore creates a standard options strategy instrument with the following signature e Leg 1 ODAX Jun15 9150 C Ratio 1 Side Sell e Leg 2 ODAX Jun15 9200 C Ratio 2 Side Buy If T7 then detects that the appropriate standard
187. o Normalization Example 18 3 In the above presented example for a valid 2x1 Ratio Put Spread versus Short Underlying OESX 100 200 RBER Jul14 3200 3000 vs S 17 FESX Sep14 3260 0 the applied option leg multiplier for the option legs is 100 Since both the minimum options volatility strategy multiplier and the maximum options volatility strategy multiplier are set to 100 for the product OESX 100 is the only allowed value for the option leg 141 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 multiplier 18 3 2 Underlying Leg Ratio Rule T7 requires that the underlying leg ratio is smaller than or equal to a Maximum Underlying Leg Ratio which is calculated with the following formula Maximum Underlying Leg Ratio ROUNDDOWN option Leg Multiplier x Maximum Strategy Delta Contract Value Option Contract Value Future where ROUNDDOWN means that the computed value is rounded down to the next lower integer number Option Leg Multiplier is the multiplier that is applied to the option leg ratios Maximum Strategy Delta reflects the maximum possible delta value of the option part of the options volatility strategy type Contract Value is the contract value that is given in the contract specifications of the product Example 18 4 The contract value for both OESX and FESX is 10 The maximum strategy delta is 1 And in the above presented example for a valid 2x1 Ratio Put Spread versus Short Underl
188. o be unique across the instrument and session scope in the order book at the time of order entry The client order ID is however not verified to be unique for IOC orders When modifying or deleting an order the user identifies the order either with the exchange order ID or with the client order ID if available The user may or may not assign a new client order ID to the order with each order modification or deletion The exchange order ID remains in any case unchanged for the entire life time of the order i e an order modification does not result in a change of the exchange order ID even if the time priority of the order is changed 4 1 5 Time Stamps T7 sets the Entry Time Stamp of an order when the order is entered It is for informational purpose only Any modification of an order has no impact on the entry time stamp of the order Furthermore T7 sets and maintains the Priority Time Stamp The priority time plays a role in the order allocation during matching The priority time stamp of an order is updated in a number of well defined situations e Modification of the limit price or conversion of a market order to a limit order or vice versa 28 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Modification of the total order quantity such that it is increased e Triggering of a stop order or an OCO order e Modification of the stop price of a stop order or an OCO order e Activation of a closing auction onl
189. oa Eurex Exchange s T7 Functional Reference Version V 2 5 1 Date 22 October 2014 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Eurex 2014 Deutsche B rse AG DBAG Clearstream Banking AG Clearstream Eurex Frankfurt AG Eurex Clearing AG Eurex Clearing as well as Eurex Bonds GmbH Eurex Bonds and Eurex Repo GmbH Eurex Repo are corporate entities and are registered under German law Eurex Zurich AG is a corporate entity and is registered under Swiss law Clearstream Banking S A is a corporate entity and is registered under Luxembourg law U S Exchange Holdings Inc and International Securities Exchange Holdings Inc ISE are corporate entities and are registered under U S American law Eurex Frankfurt AG Eurex is the administrating and operating institution of Eurex Deutschland Eurex Deutschland and Eurex Z rich AG are in the following referred to as the Eurex Exchanges All intellectual property proprietary and other rights and interests in this publication and the subject matter hereof other than certain trademarks and service marks listed below are owned by DBAG and its affiliates and subsidiaries including without limitation all patent registered design copyright trademark and service mark rights While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG Clearstream Eur
190. odification Mode Configuration Data The information on minimum quote sizes is published by T7 s Reference Data Interface in the product snapshot message RDI group message name QuoteSizeRules 5 4 3 Mandatory Double Sided Quotes The exchange may require depending on the product and the instrument type that quotes are entered as double sided quotes Configuration Data The information whether quotes for a product are required to be double sided is published by T7 s Reference Data Interface in the product snapshot message RDI field name QuoteSidelndicator The information is also available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Eurex and EEX Set Up Information Currently Eurex and EEX do not require double sided quotes for any product If quotes have to be entered as double sided quotes then single sided quotes are rejected and 46 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 double sided quotes are accepted only if the price difference between the buy side and the sell side of the quote does not exceed the Maximum Quote Spread See chapter 6 4 for the detailed rules including the calculation of the Maximum Quote Spread 5 5 Market Maker Protection 5 5 1 Overview T7 offers a Market Maker Protection MMP mechanism which can prevent too many quotes of a market maker matching during a sho
191. of the conditions turns out to be not fulfilled anymore then the instrument is automatically set to inactive with the consequence that all its orders and quotes are automatically deleted and that further order and quote entry is inhibited For technical efficiency T7 may not detect immediately a situation that 140 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 requires the inactivation of an options volatility strategy instrument but it is guaranteed that T7 detects the situation and reacts accordingly before the next operation on the order book is done Like other inactive complex instruments an options volatility strategy instrument can be activated again by sending a new creation request provided that the conditions above are fulfilled again Options volatility strategy instruments become in this way instruments where each individual instrument is typically open for trading only for a short time In any case they become inactive latest when the product leaves the Trading product state and they will in any case be deleted in the end of day processing GTD and GTC orders are therefore not supported for options volatility strategy instruments 18 3 Specific Validations 18 3 1 Option Leg Ratio Rule T7 requires that the option leg ratios in the signature of an options volatility strategy instrument must be obtained by multiplying the ratios given in the options volatility strategy type template with a common
192. on is relaxed ch 6 3 e The conditions for a Volatility Interrupt to occur are relaxed ch 7 6 In T7 Fast is a special status of the product that the exchange can set independently of the product and instrument states This allows for example to have a product to be set to Fast Market already early in the morning before trading starts without any impact on the sequence and timing of the product states 3 5 Listing Status The Listing Status of an instrument is a general status that controls whether an instrument is currently available for trading or whether for some reason it is not available for trading The listing status exists in addition to the instrument state that had been described before The listing status of an instrument that can be traded is Active An instrument that is not tradable has a listing status of Expired or of Suspended as explained in the following 3 5 1 Intra day Expiry Instruments that expire during the trading day rather than at the end of the trading day will upon expiration acquire the listing status Expired as opposed to Active The instrument state of an instrument with a listing status Expired is either Restricted or Closed depending on the product state 3 5 2 Instrument Suspension The market supervision of an exchange may suspend an instrument intraday A suspended instrument will acquire the listing status Suspended as opposed to Active The instrument state of an instrument with a listing sta
193. on release 25 11 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 2 Fundamental Concepts This chapter introduces the fundamental concepts that define the structure of the markets and their participants in Eurex Exchange s T7 2 1 Participant Structure 2 1 1 Overview The participant hierarchy in T7 has three levels 1 The member firm is called a Participant 2 Different units in a member firm e g trading desks that trade independently from each other are called Business Units 3 A business unit has one or more Users that represent individual people typically traders and each business unit has one or more Sessions A Session is a permanently registered connection channel to the exchange Any request that is sent to the exchange e g the entry of an order is always sent by a logged on user through a connected session Participant i 5 usiness Unit Session Figure 2 1 The participant hierarchy in T7 2 1 2 Participant and Business Unit A member firm of the exchange is set up as a participant In order to trade in T7 a participant must have at least one Trading Business Unit set up The business logic of T7 makes use of the business unit rather than of the participant If an exchange member wishes to have several trading desks that trade independently it is possible to have several trading business units being set up for the same participant In T7 different trading business un
194. or the ratio The ratio of one leg cannot be greater than 4 times the ratio of a different leg of the same instrument Apart from belonging to the same product the leg instruments of a non standard options strategy instrument must also have the same contract size And if they have a version number they must all have the same version number 17 2 Creation of Non Standard Options Strategies The exchange does not create non standard options strategy instruments Non standard options strategy instruments are created by users When a user requests the creation of a non standard options strategy instrument T7 may decide to modify the requested signature or even the instrument type as follows 1 Normalization T7 will normalize the leg ratios Normalization means that if all the leg ratios can be divided by the same integer number T7 will do so Example 17 1 Trader A requests the creation of a non standard options strategy instrument with the following signature e Leg 1 ODAX Jun15 9150 C Ratio 20 Side Buy e Leg 2 ODAX Jun15 9200 C Ratio 15 Side Buy e Leg 3 ODAX Jun15 9250 C Ratio 35 Side Sell 135 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 T7 detects that all ratios can be divided by 5 It will therefore accept the creation request but in fact create a non standard options strategy instrument with the signature e Leg 1 ODAX Jun15 9150 C Ratio 4 Side Buy e Leg 2 ODAX Jun15 9200 C Rati
195. order by the sum of the quantities of all eligible orders that are still left to receive an allocation 2 Multiply the result by the remaining tradable quantity to be allocated among the eligible orders 3 If the result is not an integer number then round the result up to the next highest integer number The result is the allocation for the concerned order This calculation of the allocated share can also be expressed with the help of a mathematical formula a MIN a RouNDuP a x 2 l where adi is the quantity that is allocated to the order at position i in the sorted list of eligible orders MIN is the minimum function i e MIN X Y is either X or Y whichever is 73 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 smaller di is the open quantity of the order at position i in the sorted list of eligible orders ROUNDUP means that the computed value is rounded up to the next higher integer number i is the quantity available to be allocated to the order at position i in Aj A gt ak the sorted list of eligible orders which is given by the total quantity A k 1 to be allocated minus the sum of the quantities a that were already allocated to the orders which are placed higher in the sorted list of eligible orders Qi k is the accumulated open quantity of all eligible orders that have not gt ak yet been allocated their share k i Note that the rounding effects may result in a
196. ost Trading 3 3 6 End Of Day 3 3 7 Halt 3 3 8 Holiday 3 4 Fast Market 3 5 Listing Status 3 5 1 Intra day Expiry 3 5 2 Instrument Suspension Eurex Frankfurt AG V 2 5 1 10 10 10 11 12 12 12 12 13 14 15 15 16 19 19 19 20 20 20 21 22 22 22 22 22 23 23 24 24 24 24 24 25 25 25 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 3 5 3 Intra day Inactivation 3 6 End of Day Processing 4 Orders 4 1 Order Attributes 4 1 1 Limit Price 4 1 2 Quantity 4 1 3 Order Validity 4 1 4 Order Identification 4 1 5 Time Stamps 4 1 6 Technical Order Attributes 4 1 7 Other Attributes 4 2 Order Maintenance 4 2 1 Order entry 4 2 2 Order modification 4 2 3 Order deletion 4 2 4 Ownership concept 4 2 5 Regulatory Algorithm Identifier 4 2 6 Book Order Count Limits 4 3 Stop Orders 4 3 1 Overview 4 3 2 Stop Order Maintenance 4 3 3 Stop Order Triggering 4 3 4 Triggering Priority 4 4 One Cancels the Other Orders 4 4 1 OCO Order Functionality 4 4 2 OCO Order Maintenance 4 5 Book Or Cancel Orders 4 6 Closing Auction Only Orders 4 7 Order Profiles 4 7 1 Specific Order Maintenance Rules for Order Categories 4 7 2 Definition and Assignment of Order Profiles 4 7 3 Complex Instrument Orders 4 8 Cross Announcement 5 Quotes 5 1 Quote Characteristics 5 2 Quote Ownership 5 3 Quote Maintenance 25 25 27 27 27 28 28 28 28 29 29 30 30 30 31 31 32 32 33 33 33 34 35
197. path at position 3 is last in the list arison rule 1 FVS Mar15 expires before FVS Apr15 11 3 5 Path Allocation The path allocation is used to distribute the quantity of an incoming order among several book paths 110 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 in the step 2 a of the synthetic matching procedure as described in chapter 11 3 3 above There are four types of book paths that play a role here e direct book paths e synthetic book paths that result in short synthetic match paths e synthetic book paths that result in triangle match paths e synthetic book paths that result in long synthetic match paths T7 supports three different path allocation methods 1 the Direct Path First method 2 the Synthetic Path First method 3 the Pro Rata method The exchange assigns a path allocation method to each individual product Configuration Data The information on which path allocation method is applied is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes Direct Path First Allocation Method In the Direct Path First allocation method the book paths are sorted such that e the direct book path comes first e then come the book paths that allow matching along a short synthetic match path e then come the book paths that allow matching along a triangle match path e and last comes th
198. plex Instruments This chapter outlines the common features of complex instruments in T7 It concentrates on the features that are common to all types of complex instruments Features that are specific to individual complex instrument types especially their definitions but also specific rules such as synthetic matching for futures spreads are then explained in the corresponding chapters 11ff which are dedicated to the individual complex instrument types 10 1 Definition of a Complex Instrument A complex instrument is an instrument that allows buying or selling two or more simple instruments simultaneously using a single order in the same way that a simple instrument is traded The simple instruments that a complex instrument is composed of are called the Legs of the complex instrument Each leg of a given complex instrument has a Ratio which determines the relative quantity of the leg which should be traded and a Side which specifies whether the leg should be bought or sold In order to determine how many contracts of a leg should be traded the leg s ratio is used as a multiplier for the order quantity The identifiers of the leg instruments their ratios and their sides together form the Signature of a complex instrument The signature of a complex instrument describes the buy perspective i e it describes which legs are bought or sold in which quantity if one unit of the complex instrument is bought Example 10 1 Trader A wis
199. pread instruments the incoming order belongs T7 furthermore supports the matching of these synthetic match paths for a combination of any three leg instruments as long as all three combining futures spread instruments are enabled for synthetic matching Example 11 4 Consider the example of an incoming futures spread order in the product FVS that matches along a triangle match path of the type e the buy side of C1 2 e the sell side of C173 e the buy side of C2 3 An incoming buy order for the futures spread instrument FVS SPD Jan15 Feb15 C 1 2 may be executed against a combination of book sell orders in the futures spread instrument FVS SPD Jan15 Mar15 C 1 3 and of book buy orders in the futures spread instrument FVS SPD Feb15 Mar15 C2 3 The match path consists therefore of e the buy side of FVS SPD Jan15 Feb15 i e buy FVS Jan15 and sell FVS Feb15 e the sell side of FVS SPD Jan15 Mar15 i e sell FVS Jan15 and buy FVS Mar15 e the buy side of FVS SPD Feb15 Mar15 i e buy FVS Feb15 and sell FVS Mar15 1 the first leg of the buy side of the futures spread instrument FVS SPD Jan15 Feb15 which is buying FVS Jan15 is matched against the first leg of the sell side of the futures spread instrument FVS SPD Jan15 Mar15 which is selling FVS Jan15 and 2 the first leg of the buy side of the futures spread instrument FVS SPD Feb15 Mar15 which is buying FVS Feb15 is matched against the second leg of the buy side of the futures spr
200. r like for simple instruments This chapter explains the differences from the trading of simple instruments It concentrates on the features that are common to all types of complex instruments Features that are specific to individual complex instrument types such as synthetic matching for futures spreads are then explained in the corresponding chapters 11ff which are dedicated to the individual complex instrument types 10 3 2 Supported Order Categories For complex instruments only quotes and regular limit orders are supported This means that for complex instruments there are e No market orders e No stop orders e No One Cancels the Other orders e No Closing Auction Only orders e No Book Or Cancel orders 10 3 3 Net Price and Leg Execution Prices The limit price of a buy order or quote in a complex instrument is the net price that the buyer is willing to pay if the executed quantities of the leg instruments are equal to the ratios of the leg instruments Example 10 3 Trader A wishes to trade several options instruments simultaneously 1 Buy 20 contracts of ODAX Jun15 9150 C at a price of 24 20 2 Buy 15 contracts of ODAX Jun15 9200 C at a price of 8 00 3 Sell 35 contracts of ODAX Jun15 9250 C at a price of 0 70 The trader is therefore ready to pay the overall net price of 20 x 24 20 15 x 8 00 35 x 0 70 579 50 First the trader creates a three legged non standard options strategy instrument with the following sig
201. rd procedure Here BBP stands for Best Buy Price and BSP stands for Best Sell Price TP stands for the alternative reference price i e the Last Trade Price or the Theoretical Price whichever has to be applied or in case of non availability the previous day s settlement price Reference price to BBP BSP Market Price Reference price to test Available Available Condition Wee risa buy incoming sell order BBP lt TP lt BSP TP TP Yes Yes TP lt BBP lt BSP BSP BBP BBP lt BSP lt TP BSP BBP TP lt BSP BSP TP No Yes BSP lt TP BSP BSP BBP lt TP TP BBP Yes No TP lt BBP BBP BBP No No n a TP TP Note that in the case of an order modification the best price being applied in this chapter may be derived from the old limit price of the same order that is being modified And in the case of quote replacement the best price may be derived from the old quote which is being replaced by the new quote Stop limit orders can also be subject to the Price Reasonability Check However for those stop limit orders that are not triggered directly on entry or modification the reference price to be applied is the stop price of the order itself The reason is that at the point of order entry the stop price is the best guess for the market price prevailing at the yet unknown future point in time when the stop order will be triggered 1 For Variance Futures see ch 20 1 the previous day s s
202. rders cannot be matched and are written to the order book Now a double sided quote is entered e Buy 10 contracts at price 3145 and sell 10 contracts at price 3155 Both sides of the quote are not executable and so both sides of the quote are written to the order book without execution But the difference between the sell quote price and the buy quote price is equal to the price range for both sides Therefore the entry of the double sided quote triggers the market orders on both sides of the order book Since the accumulated quantity of sell market orders 20 10 30 is greater than the accumulated quantity of buy market orders 20 it is the sell market orders that are triggered e The oldest sell market order 4 is triggered first Its quantity of 20 is fully executed at price 3150 against the buy market order 3 which in this way gets fully executed as well e The next sell market order 5 is triggered afterwards Its quantity of 10 is fully executed at price 3150 against the buy limit order 1 which has a better limit price than the buy quote While all market orders get fully executed the double sided quote is not executed at all even though it triggered the execution of the book market orders 7 4 Auctions and Order Book Uncrossing 7 4 1 Uncrossing Procedure The uncrossing procedure executes one or more buy orders on the order book against one or more sell orders on the order book at one single execution price so that 1 Th
203. re considered in the feeding step that is described in chapter 11 4 4 below The procedure determines an auction price for the futures spread instrument similar to the way that is described in chapter 7 4 The differences are e The book path that allows matching futures spread orders against orders in the two leg instruments is considered The objective of uncrossing includes here that after the auction trade the order books are uncrossed in a way that no more matching opportunities along a short synthetic match path exist e The objective of price continuity applies not only to the auction price of the futures spread lying between the best buy and sell prices of that instrument but also to the leg execution prices lying between the best buy and sell prices of the respective leg instruments The order allocation for the futures spread orders follows the order allocation method that is configured for auction trades for the futures spread instruments of the product But the order allocation for the leg instrument orders follows the order allocation method that is configured for continuous trading for the simple instruments of the product because at this point the leg instruments are 118 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 considered to be already in continuous trading If there are several futures spread instruments the state of which has to be changed to Continuous then the sequence in which they a
204. re processed is of relevance due to the synthetic nature of the uncrossing trade The futures spread instruments are processed in the usual sequence i e the futures spread instrument that has the earlier expiry date in the first leg gets the priority and if the futures spread instruments have the same first leg then the futures spread instrument that has the earlier expiry date in the second leg gets the priority 11 4 4 Feeding of Futures Spread Orders Since the procedure for the synthetic uncrossing trade of futures spread instruments does not consider the triangle match paths and the long synthetic match paths an additional feeding step is applied to ensure the order books to be synthetically uncrossed It consists of feeding all remaining orders of the futures spread instruments one after the other attempting to match them synthetically like incoming orders in order to resolve any synthetically crossed situations The sequence in which the futures spread orders are processed is e All futures spread instruments in the same sequence as in the previous step and for each of these 1 First all buy orders sorted by price time priority with prices in descending order 2 Then all sell orders sorted by price time priority with prices in ascending order In the order allocation for all instruments including the futures spread instrument that is currently processed the allocation method for continuous trading is applied 11 4 5 Trigge
205. rent market price There is no guarantee that a triggered stop order is matched immediately after it is triggered It is treated just as any incoming regular order and will be placed on the order book if it cannot be matched A stop order can be a Stop Limit Order or a Stop Market Order A triggered stop limit order is converted to a limit order and a triggered stop market order is converted to a market order Eurex and EEX Set Up Information Currently Eurex and EEX support only stop market orders for futures and no stop orders at all for options 4 3 2 Stop Order Maintenance A stop order must have a stop price The stop price is used to determine under which condition the stop order is triggered See chapter 4 3 3 below for the rules on stop order triggering A stop limit order additionally must have a limit price This limit price is the limit price of the limit order that the stop limit order is converted to when being triggered A stop market order has no limit price Upon being triggered it is converted to a market order Validations that are specific to market orders as e g the validation against a market order specific order size limit are in the same way applied to stop market orders on entry Both the limit price and the stop price must be valid prices in respect to the rules for limit prices as outlined in chapter 4 1 1 The stop price and the limit price can be modified but the stop order looses its time priority in t
206. ring of Stop Orders It is possible that stop orders or OCO orders are triggered by the uncrossing procedure The processing of such triggered stop orders and OCO orders is done only after the uncrossing of all instruments has been completely processed 119 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 12 Packs and Bundles This chapter outlines the specific features of packs and bundles in T7 The common features of complex instruments in T7 as described in chapter 10 apply for packs and bundles except if stated otherwise in the following Eurex Set Up Information Eurex supports packs and bundles for selected money market futures products EEX Set Up Information EEX currently does not support packs and bundles for any product 12 1 Definition of Packs and Bundles Packs and bundles are complex instruments the signatures of which comply with the following rules e All leg instruments belong to the same futures product e The leg instruments have expiration dates that represent a quarter of a year i e the contract months March June September or December e The leg instruments are sorted with their expiration dates in ascending order e All legs are defined as Buy leg in the signature e All legs have a leg ratio of 1 The leg instruments with their quarterly expirations cover a time span of one year in the case of packs or several years in the case of bundles meaning that all quarterly expir
207. rt period of time The exchange enables or disables this feature on a by product basis Configuration Data The information whether market maker protection is enabled for a product is available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes For the MMP T7 calculates for each session and each product several statistics on the traded volumes of the session s quotes There are four different types of statistics available the Volume statistic the Delta statistic the Vega statistic and the Percent statistic A detailed description of these statistics is available in chapter 5 5 2 below For the calculation of the statistics only trades are taken into account that occurred in a time window before the last trade The size of this time window is configured by the market maker Depending on the settings that the market maker defined the statistics are calculated for the traded volume of a session s quotes in a product 1 Either for all trades of the session s quotes in the product independent of the instrument type 2 Or independently for each instrument type for all trades of quotes in instruments that belong to the specific instrument type A market maker must ensure that for one session and product market maker protection and quote deactivation is always done on the same scope i e either independently for each instrument type or product wide
208. rview T7 makes extensive use of price range tables The standard Price Range Tables are used to calculate price ranges that are applied for the following purposes e The Price Reasonability Check can be used by traders to test the reasonability of their order s or quote s limit price on entry It is described in chapter 6 2 e The Market Order Matching Range helps to protect market orders by setting a limit to the trade price at which a market order is executable The procedure is described in chapter 7 3 e The Maximum Quote Spread Validation limits the allowed price spread between the buy side and the sell side of a double sided quote for products where double sided quotes are mandatory See chapter 6 4 for details The Extended Price Range Tables are used by T7 to force the limit price of incoming orders and quotes to a crude price check the Extended Price Range Validation if they have not been validated by the Price Reasonability Check already See chapter 6 3 below 6 1 2 Calculation of Price Ranges A price range table enables the calculation of a price range depending on a reference price The table consists of a list of consecutive price intervals together with the parameters to be applied for the calculation of the price range if the reference price falls into the price interval There are two parameters the Absolute Price Range Parameter and the Percent Price Range Parameter The price range is then calculated depending on the
209. s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 20 1 Variance Futures 146 21 Change log 149 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 1 Introduction Eurex Exchange s T7 is the new trading architecture developed by Deutsche B rse Group It is a multi exchange trading system that is used by the following exchanges for derivatives trading e Eurex e EEX European Energy Exchange Eurex Exchange s T7 offers a wide range of derivatives trading functionality It is highly configurable and can be adapted to the needs of the individual markets on any level from the entire market down to individual instrument groups On the technical side Eurex Exchange s T7 provides an outstanding level of reliability and availability and at the same time it is characterized by a high throughput capacity and by low latency Eurex Exchange s T7 is a pure trading system Trades executed on this platform are forwarded to the clearing and settlement systems 1 1 Content of this document This document provides a detailed description of the business functionality that is available in Eurex Exchange s T7 It especially focuses on the following e Market structure e Trading states e Order and quote handling e Matching and trade management e Complex instruments The document is targeted at everyone that needs detailed information on the business functionality that is implemented in Eurex Exchange s T7 It i
210. s a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing should consider legal and regulatory requirements of those jurisdictions relevant to them as well as the risks associated with such products before doing so Eurex derivatives are currently not available for offer sale or trading in the United States or by United States persons other than EURO STOXX 50 Index Futures EURO STOXX 50 ex Financials Index Futures EURO STOXX Select Dividend 30 Index Futures EURO STOXX Index Futures EURO STOXX Large Mid Small Index Futures STOXX Europe 50 Index Futures STOXX Europe 600 Index Futures STOXX Europe 600 Banks Industrial Goods amp Services Insurance Media Travel amp Leisure Utilities Futures STOXX Europe Large Mid Small 200 Index Futures Dow Jones Global Titans 50 IndexSM Futures EUR amp USD DAX MDAX TecDAX Futures SMIM Futures SLI Swiss Leader Index Futures MSCI World Europe Japan AC Asia Pacific ex Japan Index Futures and VSTOXX Futures as well as Eurex inflation commodity weather property and interest rate derivatives Trademarks and Service Marks Buxl DAX DivDAX eb rexx Eurex Eurex Bonds Eurex Repo Eurex Strategy WizardSM Euro GC Pooling FDAX FWB GC Pooling GCPI MDAX ODAX SDAX TecDAX USD GC Pooling VDAX VDAX NEW and Xetra are registered trademarks of DBAG Phelix Base and Phelix Peak
211. s also used in the OTC variance swap market for price discovery The conversion from the a v trading notation into the P Q clearing notation is based on the matched volatility o and matched vega v N x U of the trading notation The variance futures clearing price P and variance futures clearing quantity Q in the P Q clearing notation are given by the following conversion formulas T t t Tf aalt T x o T x Oy t Po D x fraa lt oo ARMVM C x Roun 5 x x Qo 20 T t with the following conversion parameters e The realized variance o7 1 t as defined above e The discount factor D defined by D exp r x At 365 with the remaining life time At given in calendar days and with the interpolated interest rate r valid for the remaining life time of the variance futures instrument e The Accumulated Return of Modified Variation Margin ARMVM ARMVM _ X exp x At 365 S _1 C x exp x At 365 1 with the time difference At of two consecutive business days given in calendar days with the overnight interest rate r representing the interest rate valid on the night before and with the previous day settlement price S _ in clearing notation By definition we have ARMVM 0 on the first trading day t 0 of the instrument e The standard variance of which is set to the square of the settlement volatility ost at the end of the first trading day with a cap of 50
212. s can be market orders or limit orders The Price Reasonability Check and the Extended Price Range Validation are never applied for Closing Auction Only orders 4 7 Order Profiles 4 7 1 Specific Order Maintenance Rules for Order Categories All orders that are supported by T7 fall in exactly one of the categories of the following list e Normal limit and market orders e Closing Auction Only Orders e Book Or Cancel BOC Orders e Stop Orders e One Cancels the Other OCO Orders T7 does not support orders that fall in more than one of these categories Example 4 4 It is not possible to enter an OCO order with a BOC restriction Furthermore it is not possible to modify an order so that it changes the category in this list Example 4 5 It is not possible to modify a Stop order to become an OCO order nor to modify it to become a normal limit or market order But it is possible to modify a Stop Limit order to become a Stop Market order 4 7 2 Definition and Assignment of Order Profiles T7 categorizes orders according to Order Profiles The exchange defines these order profiles and enables or disables them for individual products When defining order profiles the order types and order restrictions play a role which are used internally by T7 T7 distinguishes 1 The following internal order types e Regular 38 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Stop e One Cancels the Other OCO 2
213. s in the book on the same side as the executable incoming order then all these book market orders are triggered one after the other before the incoming order is processed The condition for the triggering to occur is strictly that the incoming order would match at least if the book market order triggering would not be done first The mere fact that there is an incoming order or that this order has a better limit price than the currently available best buy price is not sufficient for triggering book market orders Market order triggering means that based on the time priority the book market orders are re processed one after the other as incoming orders Compared to the handling of real incoming market orders the Market Order Matching Range is applied for triggered market orders in a different way as follows but only if the incoming order is a limit order e If the incoming order is a buy limit order then the execution price of a triggered buy market order cannot be both higher than the incoming order s limit price and higher than the best available sell price plus the Market Order Matching Range where the Market Order Matching Range is calculated with the best available sell price as the reference price e If the incoming order is a sell limit order then the execution price of a triggered sell market order cannot be both lower than the incoming order s limit price and lower than the best available buy price minus the Market Order Matching
214. s specifically inter product spreads with leg instruments that have strongly differing contract values EEX Set Up Information EEX currently offers only inter product spreads that have 2 leg instruments with a leg ratio of 1 More complex inter product spreads may be added in a later stage 127 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 15 1 EEX creates location spreads instrument subtype LOCS between German and Italian power futures for example e Leg 1 Buy 1 F1BM May2015 e Leg 2 Sell 1 FDBM May2015 15 2 Creation of Inter Product Spreads Inter product spread instruments are created by the exchange They can not be created by users 15 3 Pricing of Inter Product Spreads The inter product spread functionality of T7 allows to combine instruments that belong to very different products specifically concerning the contract value Such differences need in general to be reflected in the relation between the price of an inter product spread instrument and the prices of its leg instruments In simple cases however where there are no major differences in the contract values of the leg instruments the standard net price rule for complex instruments as outlined in chapter 10 3 3 above is applied In the other cases the exact price relation depends on the kind of inter product spread These relations will be described in this chapter in a later version of this document when such instruments
215. s spread instruments have exactly one leg instrument in common and the simple instruments are the other leg instruments of the two futures spread instruments If futures instruments are part of inter product spread instruments there are two more ways of matching which are described in chapter 15 4 1 on matching of inter product spreads Direct matching is as described in chapter 7 2 1 An incoming order matches against orders on the other side of the order book of the same instrument The three ways of synthetic matching are explained further in the following The general rule for a synthetic match path to be a valid match path is that for each simple instrument that occurs in the match path no matter whether the simple instrument occurs directly or whether it occurs as the leg of a futures spread instrument the buy side and the sell side of the simple instrument must occur each exactly once 98 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 The Short Synthetic Match Path The short synthetic match path involves orders in two simple instruments and in the futures spread instrument that has these two simple instruments as leg instruments as symbolized in figure 11 1 1 C1 2 2 Buy Sell Z Buy F Sell 1 1 ee 2 2 Figure 11 1 Example for a short synthetic match path In the following the simple instrument with the earlier expiry date is called S1 and the other simple instrument is called S2 And
216. s targeted especially at traders that need detailed information on the processing on the exchange side but also for example at designers of advanced trading front end applications There is no information in this document on participant and user maintenance For more information on this topic please refer to the Participant and User Maintenance Manual Since Eurex Exchange s T7 is a trading system without any clearing and settlement functionality this document does not contain any information on clearing and settlement This document focuses on the business logic For detailed information on how to communicate with the system please refer to the documentation on GUls trading interfaces data interfaces and reports 1 2 Usage Notes This document describes the available business logic as implemented in the system Not every business functionality is available for all products or even markets Set up information which is related to specific exchanges or products has been added to various places to inform readers of specific configurations that impact the availability of specific functionalities Even though care has been taken to represent the actual configuration settings at the time of publication these configuration settings are subject to change Especially the values of the 10 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 configuration parameters given in various examples throughout this document they
217. s the specific features of futures spreads in T7 The common features of complex instruments in T7 as described in chapter 10 apply for futures spreads except if stated otherwise in the following 11 1 Definition of Futures Spreads A Futures Spread instrument is a complex instrument with two leg instruments that belong to the same futures product representing a calendar spread Buying a certain quantity of a futures spread is defined as buying the same quantity of the leg instrument with the earlier expiry date the first leg and selling the same quantity of the leg instrument with the later expiry date the second leg The signature of a futures spread can thus always be described as e Leg 1 Instrument A Ratio 1 Side Buy e Leg 2 Instrument B Ratio 1 Side Sell where the expiration date of instrument B is later than the expiration date of instrument A Depending on the product and on the market situation prices of futures spreads can be zero or negative 11 2 Creation of Futures Spreads The exchange may create automatically futures spread instruments of predictable popular demand All other futures spread instruments that represent a combination of two existing simple instruments of the same futures product can be created by the users Configuration Data The information whether a specific futures spread instrument has been created automatically by the exchange or on request of a user is published by T7 s Reference Data Interf
218. should not be taken as actual values for these parameters Depending on the parameter the actual values of the configuration parameters can be found in one of the following places e Inthe contract specifications as published by the exchange e Inthe reference data stream of the T7 system e Inthe Product and Instrument Files available on the Eurex website o For Production www eurexchange com gt Technology gt Eurex Exchange s T7 gt Documents gt Products and instruments o For Simulation www eurexchange com gt Technology gt Eurex Exchange s T7 gt System documentation and click on the relevant release and then on Simulation 1 3 Further reading The following documents on Eurex Exchange s T7 provide additional information to complement the information that is contained in this document e Functional and Interface Overview e Participant and User Maintenance Manual e Eurex Trader and Admin GUI User Manual e Eurex Enhanced Trading Interface Manual e Eurex Market and Reference Data Interfaces Manual e Eurex Extended Market Data Service Manual e Eurex Enhanced Order Book Interface Manual These and other documents providing information on Eurex Exchange s T7 can be found on the web site of Eurex by navigating to the topic Technology gt Eurex Exchange s T7 gt System Documentation and then clicking on the relevant release 2 5 http www eurexchange com exchange en technology t7 system documentati
219. slight preference of larger orders and in case of equal open order quantities in a slight preference of older orders Example 7 6 A quantity of 25 is to be allocated among three orders in the order book with a total open quantity of 90 Their time priority is given by the sequence in the following list highest time priority first e Order 1 Quantity 20 e Order 2 Quantity 20 e Order 3 Quantity 50 For the Pro Rata Allocation these orders are sorted by quantity first The two orders with the same quantity are then sorted by time priority The allocation quantities are iteratively calculated Order Order A Result before Final allocation D Allocation calculation j Priority Quantity rounding after rounding Order 3 50 25 50 90 13 89 14 Order 1 20 25 14 20 40 5 5 6 Order 2 20 25 14 6 20 20 5 5 The highest allocation goes to the largest order The allocation for the two equal sized orders is nearly the same but the rounding gives a slight precedence to the order with the higher time priority 7 5 3 Time Pro Rata Allocation Time Pro Rata Allocation Procedure The procedure for the time pro rata allocation comprises of two allocations which are executed in two consecutive steps first a basic allocation step and then a remainder allocation step With the basic allocation the quantity is distributed close to an Ideal Time Pro Rata Allocation formula The basic allocation allocates onl
220. state Continuous when all its leg instruments have entered the instrument state Continuous And when entering the instrument state Continuous an uncrossing procedure is done for the inter product spread instrument as described in chapter 10 3 5 Like for most other complex instrument types but contrary to the case of futures spreads the uncrossing trade and the related price finding algorithm do not take the order books of the leg instruments into account Nevertheless remaining synthetic crossed book situations are resolved before normal continuous trading starts To this end a feeding procedure for inter product spread orders is applied much in the same way as for futures spreads as described in chapter 11 4 4 The feed procedure for inter product spreads applies the sorting by instrument ID as already applied in chapter 15 4 4 above If futures spread instruments and inter product spread instruments are uncrossed at the same time futures spread orders are fed first 132 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 16 Standard Options Strategies This chapter outlines the specific features of standard options strategies in T7 The common features of complex instruments in T7 as described in chapter 10 apply for standard options strategies except if stated otherwise in the following 16 1 Definition of Standard Options Strategies A Standard Options Strategy consists of two or more leg instruments that belon
221. states and the related instrument states for a normal trading day The following chapters describe each product state in detail 3 3 1 Start Of Day The product state Start Of Day represents the time in the morning before activity starts Members have no access to the order books in this product state All instruments are in the instrument state Closed 3 3 2 Pre Trading The product state Pre Trading occurs in the morning before trading starts It is typically a time where traders may maintain their orders prior to the start of trading No matching occurs in this phase Normally instruments are in the instrument state Book 22 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Product States Instrument States Start of day Pre trading Opening auction Continuous Volatility auction Closing auction Closing auction 0 End of day Figure 3 2 The sequence of product states and the related instrument states for a normal Eurex trading day 3 3 3 Trading The product state Trading represents the trading phase The standard procedure for the product state Trading is that after an initial opening auction call phase the instruments are in the continuous trading phase possibly interrupted by volatility auction call phases Thus normally instruments are in the instrument state Continuous or they are in an auction or auction freeze instrument state 3 3 4 Closing
222. struments for standard options strategies for non standard options strategies and for options volatility strategies There is no specific reset action required to allow the session to bring its quotes back into the market after they have been deactivated due to an exceeded MMP limit A normal reactivation request is enough The market maker protection limits are again valid immediately after the reactivation 5 5 2 MMP Statistics Definitions The four MMP statistics represent four different methods of counting the traded contracts The Volume statistic counts the total number of traded contracts The Delta statistic holds for futures the difference between the number of bought futures contracts and the number of sold futures contracts For options T7 first computes the difference between the number of bought call contracts and the number of sold call contracts Then it computes the difference between the number of bought put contracts and the number of sold put contracts Finally it calculates the Delta statistic as the difference between the two differences The Vega statistic holds the number of bought contracts minus the number of sold contracts It is available only for options because for futures there would be no difference to the Delta statistic 48 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 For Options the Volume Delta and Vega statistics can thus be represented as formulas Volume BC BP SC
223. t States and Instrument States While product states give a structure to the business day and control general access to the system instrument states control order and quote maintenance and execution and they also control the availability of public market data 3 2 Instrument States Instrument states control e f order and quote maintenance is possible and to what extent e What order book information is published by the exchange e f orders and quotes are executed Figure 3 1 displays the instrument states and their hierarchy in terms of market activity The following chapters describe each instrument state in detail Continuous Continuous matching Auction Freeze Auction call phase Closed No access to order book Figure 3 1 The instrument state hierarchy Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 3 2 1 Instrument State Continuous The instrument state Continuous is the state where continuous trading takes place In the instrument state Continuous e Order maintenance is possible e Quote maintenance is possible e Public market data in price level aggregated form for a limited number of price levels is published by the exchange For instruments with synthetic matching this includes synthetic price information on the best available price level e Price and quantity information on an order by order basis is published by the exchange for selected products e There is continuous matching of or
224. t exhausted then the procedure is repeated with step 1 at the next available price level 11 3 4 Sorting Book Paths The path allocation methods that are described below require a method that is used to sort book paths of the same type This sorting method is defined here It is also applied in the synthetic matching procedure as described in chapter 11 3 3 above in order to prioritize the book paths that allow matching along long synthetic match paths The sorting method in general gives preference to earlier expiry dates To this end it needs a rule to compare individual instruments that are part of the book paths Here simple instruments are compared to each other by giving priority to the simple instrument with the earlier expiry date Futures spread instruments are sorted by comparing first the first legs expiry dates and then by comparing the second legs expiry dates The futures spread with the earlier expiry date in the first leg comes first If the first legs have the same expiry date then the futures spread with the earlier expiry date in the second leg comes first The sorting of the book paths is then done by performing the following comparisons one after the other until a difference between the two paths to be compared is found 1 If there are any simple instruments on each book path For each book path find the simple instrument with the earliest expiry date among the simple instruments on the book path The book path w
225. t is substituted by the instrument s minimum price e If the incoming order is a sell market order then a triggered sell market order can match if the execution price is not smaller than the published best sell price minus the Market Order Matching Range where the Market Order Matching Range is calculated with the published best sell price as the reference price In the case that the instrument supports synthetic matching the published best price may be a synthetic price See chapter 11 3 2 for details on synthetic matching and published best prices In the end if all book market orders to be triggered have been processed T7 processes the incoming order Any stop orders that are triggered by the execution of the triggered book market orders are processed only after the incoming order has been processed BOC orders see chapter 4 5 never match on entry and therefore do not trigger book market orders 67 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 7 3 5 Book Market Order triggering by Incoming Quotes Incoming executable quotes trigger book market orders in the same way as incoming orders see chapter 7 3 4 above Additionally quotes that are not executable on entry may trigger book market orders as well if the conditions outlined in the following are fulfilled The triggering of the book market orders takes place immediately after the incoming quote has been written to the order book Where trades occur in
226. t level in the order book depth by the market data interface e A published best buy price of 24 50 with a quantity of 70 given by the direct book path and by two synthetic book paths for matching along a short synthetic match path o Buy FVS Jan15 Price 24 50 Quantity 50 30 20 106 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 o Buy FVS SPD Jan15 Feb15 Buy FVS Feb15 Price 24 50 0 40 24 10 Quantity 10 MIN 10 20 40 o Buy FVS SPD Jan15 Mar15 Buy FVS Mar15 Price 24 50 1 00 23 50 Quantity 20 MIN 20 10 15 All three book paths provide the same price The quantities of the direct path and of the synthetic path with the highest quantity are added up Quantity 70 50 MAX 10 20 This price and quantity is published as the best buy price and quantity by the market data interfaces e A best available buy price of 24 55 with a quantity of 10 given by the synthetic book path for matching along a long synthetic match path Buy FVS SPD Jan15 Feb15 Buy FVS SPD Feb15 Mar15 Buy FVS Mar15 Price 24 55 0 40 0 65 23 50 Quantity 10 MIN 10 40 10 15 This price and quantity is not published by the market data interfaces but it is available for matching of incoming sell orders in the simple instrument FVS Jan15 A sufficiently large sized incoming sell order for FVS Jan15 would match e 10 ata price of 24 55 against the long synthetic
227. tandard Futures Strategies 14 3 Matching of Standard Futures Strategies 15 Inter Product Spreads 15 1 Definition of Inter Product Spreads 15 2 Creation of Inter Product Spreads 15 3 Pricing of Inter Product Spreads 15 4 Synthetic Matching in Continuous Trading 15 4 1 Inter Product Spread Synthetic Matching Basics 15 4 2 Synthetic Pricing 15 4 3 Matching Procedure 15 4 4 Sorting Book Paths for Path Allocation 15 4 5 Execution Prices 15 4 6 Market Orders 15 5 Uncrossing of Inter Product Spreads 16 Standard Options Strategies 16 1 Definition of Standard Options Strategies 16 2 Creation of Standard Options Strategies 16 3 Matching of Standard Options Strategies 17 Non Standard Options Strategies 17 1 Definition of Non Standard Options Strategies 17 2 Creation of Non Standard Options Strategies 17 3 Matching of Non Standard Options Strategies 18 Options Volatility Strategies 18 1 Definition of Options Volatility Strategies 18 2 Creation and Deletion of Options Volatility Strategies 18 3 Specific Validations 18 3 1 Option Leg Ratio Rule 18 3 2 Underlying Leg Ratio Rule 18 3 3 Underlying Leg Execution Price Rule 18 4 Matching of Options Volatility Strategies 18 5 Quotes and Market Maker Protection 19 Risk Protection 20 Appendix 125 125 126 126 127 127 128 128 128 129 130 131 131 131 132 132 133 133 134 134 135 135 135 137 138 138 140 141 141 142 142 143 144 145 146 Eurex Exchange
228. tandard options strategies that are described in chapter 16 1 the ratio of an option leg of an options volatility strategy instrument is a multiple of the ratio that is given in the 139 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 corresponding options volatility strategy type template In order to comply with the template the leg ratios of all the option legs of an options volatility strategy instrument must be obtained by multiplying all option leg ratios in the template with the same integer multiplier See chapter 18 3 1 below for details The template of an options volatility strategy type does not provide any rule for the ratio of the underlying leg The ratio of the underlying leg can thus be freely chosen as long as the validation described in chapter 18 3 2 below is not failed Example 18 2 An example for a 2x1 Ratio Put Spread versus Short Underlying is OESX 100 200 RBER Jul14 3200 3000 vs S 17 FESX Sep14 3260 0 which is defined with the following leg instruments e Option Leg 1 OESX Jul14 3200 P Ratio 100 Side Sell e Option Leg 2 OESX Jul14 3000 P Ratio 200 Side Buy e Underlying Leg FESX Sep14 Ratio 17 Side Sell Note that the option leg ratios defined in the template for the options volatility strategy type RBER U as given above have been multiplied by the same integer multiplier 100 18 2 Creation and Deletion of Options Volatility Strategies The exchange does not create options
229. ter 6 1 above or if the best buy price exceeds the limit price of a sell order or quote by that amount The extended price range is always calculated on the basis of the best price to which the limit price is compared and not on the basis of the limit price itself The condition for rejection is Buy Limit Price gt Best Sell Price Extended Price Range Best Sell Price or Sell Limit Price lt Best Buy Price Extended Price Range Best Buy Price The best buy price or best sell price are here understood as the best price as being published in the market data feed Usually this is the best limit price available on the order book But for synthetically traded products this may be a synthetic price See chapter 11 3 for synthetic matching and for the publication of synthetic prices It is possible that there is no such best price to which the limit price of the order or quote should be compared In this case the Extended Price Range Validation cannot be done and is skipped Stop limit orders can also be subject to the Extended Price Range Validation However there is a specific Extended Price Range Table for stop orders to be applied here Furthermore for those stop limit orders that are not triggered directly on entry or modification the best buy price or the best sell price in the formula above is substituted with the stop price of the stop order itself The reason is that at the point of order entry this is the best estimate for the m
230. th at the price of 24 55 The buy market order on the order book for FVS Mar15 is executed at 23 50 which is the price of the best limit order in the same order book even though the published best price 23 55 is better Book Market Order Triggering Book market order triggering refers to giving book market orders preference over an incoming order if the book market order and the incoming order are on the same side of the order book see chapter 7 3 4 In a synthetic market it is important to note that book market order triggering is applied only to book market orders that belong to the same instrument as the incoming order There is no book market order triggering for market orders in instruments that are not the incoming order s instrument This means also that there is no book market order triggering for market orders that belong to a leg instrument of an incoming futures spread order For instruments that are not the instrument of the incoming order but that are part of a synthetic match path this can result in situations where book market orders are not considered for matching even though orders in the same instrument are executed in a synthetic match The rule for the determination of the execution price limit of a triggered book market order as given in chapter 7 3 4 applies in the synthetic case the best available price rather than just the best price of the opposing order book side where the best available price as always can be gi
231. that for every user in the system there is a real person that assumes the legal responsibility for the request order or quote Every user of T7 belongs to exactly one business unit The ownership of an order and thus the permission to modify or delete that order depends on who is the order s Owning User In general the user who entered an order is the owning user of that order See chapter 4 2 for details on the maintenance of orders A user may be given the User Level of a Supervisor A Supervisor User may modify or delete an order if the owning user and the supervisor user belong to the same business unit Several users may be set up as belonging to the same Trader Group One or several of these users may be given the user level Head Trader A Head Trader User may modify or delete an order if the owning user and the head trader user belong to the same trader group Example 2 1 The user structure of business unit XYZFR is illustrated in figure 2 2 XYZFR has set up two trader groups but has also users without a trader group e Inthe trader group GRP1 there are the users A B and C of which only user A is given the user level Head Trader User A can thus access orders that belong to users B and C while users B and C can access only their own respective orders e Inthe trader group GRP2 all users D E and F are given the user level Head Trader and can therefore access each other s orders e User G has the user level Supervisor and
232. the exchange During an auction freeze state any activity that changes the order book is not possible Nevertheless a trader may send requests to delete orders or quotes in an auction freeze state T7 will not delete the orders or quotes immediately but rather mark them as pending deletion Orders and quotes that are marked as pending deletion are automatically deleted by the system once the instrument enters a different instrument state It is important to note that orders and quotes that are marked as pending deletion will still participate in an auction trade that is done at the end of the auction freeze state Therefore sending a deletion request for an order or a quote during an auction freeze state does not prevent the order or quote from being matched in the auction trade that ends the auction freeze state It only guarantees that any remainder of the order or quote is deleted right afterwards 3 2 4 Instrument State Book The instrument state Book is the state where traders can maintain their orders and quotes but no matching takes place In the instrument state Book e Order maintenance is possible e Quote maintenance is possible e No public market data is published by the exchange e No matching occurs 21 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 3 2 5 Instrument State Restricted The instrument state Restricted is a state where traders are only allowed to delete their orders In the i
233. the Time Allocation method for all products Configuration Data The information on which order allocation method is applied is published by T7 s Reference Data Interface in the product snapshot message RDI group message name MatchRules It is also available in the Trading Parameters File which is part of the Products and Instruments Files on the Eurex website see chapter 1 2 Usage Notes 7 2 Continuous Trading 7 2 1 Matching Procedure in Continuous Trading Continuous trading is the matching procedure that is exclusively applied in the instrument state Continuous In continuous trading the matching engine of T7 attempts to execute a single incoming order incoming in the extended sense as explained in chapter 7 1 above against book orders on the other side of the order book of the same instrument To be executable against a book order the incoming order must be e Either an order to buy at a price at or above the limit price of the sell book order or e Anorder to sell at a price at or below the limit price of the buy book order For market orders there are special rules which are explained in detail in chapter 7 3 below In T7 the procedure for matching an incoming order against several book orders in any case follows a strict price priority The following steps are repeated by the matching engine of T7 for each available limit price level on the order book until either the quantity of the incoming order is exhausted or
234. the futures spread that has these simple instruments as legs is called C1 2 Since S1 has an earlier expiry date than S2 buying C1 2 means buying S1 and selling S2 A possible short synthetic match path consists then of e the buy side of S1 e the sell side of C1 2 i e sell S1 and buy S2 e the sell side of S2 The only other possible short synthetic match path made out of S1 S2 and C1 2 has the side reversed for all instruments i e e the sell side of S1 e the buy side of C1 2 i e buy S1 and sell S2 e the buy side of S2 T7 supports the matching of these synthetic match paths no matter which of the three instruments the incoming order belongs to T7 furthermore supports the matching of these synthetic match paths for a combination of any two simple instruments as long as the combining futures spread instrument is enabled for synthetic matching Example 11 2 Consider the example of an incoming simple instrument order in the product FVS Futures on Mini VSTOXX that matches along a short synthetic match path of the type e the buy side of S1 e the sell side of C1 2 e the sell side of S2 An incoming buy order for the simple instrument FVS Jan15 S1 may be executed against a combination of book sell orders in the futures spread instrument FVS SPD Jan15 Feb15 C1 2 and of book sell orders in the simple instrument FVS Feb15 S2 The match path consists therefore of e the buy side of FVS Jan15 e the sell side of
235. the vega quantity N and the vega unit U 1000 as quantity information The corresponding volatility vega representation is denoted as v trading notation e Clearing i e position keeping and margining is performed in a variance pricing notation with futures price P and futures quantity Q which is also denoted as P Q clearing notation e Each match in a variance futures instrument generates a trade in the v trading notation which is converted by T7 in real time into the P Q clearing notation the conversion from matched v values into P Q values depends on the business day t the trade is uploaded to the clearing system only in the P Q clearing notation 146 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e The P Q clearing notation takes into account the realized variance o 2 1 t which is not considered in the v trading notation e The accumulated daily variation margin payments in the P Q clearing notation resulting from a variance futures position reproduces the cash flow of an OTC variance swap whose contract period is identical to the holding time of the futures position Thus an on exchange traded variance future is designed in that way that the P Q clearing notation ensures a variation margin which reproduces the cash flow of an OTC variance swap while the v trading notation is based on the common volatility vega representation that i
236. this sorting procedure is the open quantity of the order available for the entire time pro rata allocation and not only what is left after the basic allocation step The remainder allocation procedure then distributes the remaining quantity by going through this list from the beginning to the end and allocating a quantity of 1 to each order until the remaining quantity is exhausted That means if there are N Orders in the list and the remaining quantity to be distributed is K then the first K Orders receive an allocation of 1 while the last N K orders receive nothing in the remainder allocation procedure Example 7 7 A quantity of 25 is to be allocated among three orders in the order book with a total open quantity of 90 Their time priority is given by the sequence in the following list highest time priority first e Order 1 Quantity 20 e Order 2 Quantity 20 e Order 3 Quantity 50 In the Basic Allocation Step the orders are sorted by time priority The ideal allocation quantities are calculated in full precision for all orders Finally the ideal allocation quantities are rounded down to get final allocation quantities of the Basic Allocation Step Order Priority Order Quantity Ideal Allocation Quantity Rounded Allocated Quantity Order 1 20 9 87 9 Order 2 20 7 40 7 Order 3 50 FT Ae 7 Sum 90 25 23 76 Eurex Exchange s T7 Functional Reference Eurex Frankfurt AG V 2 5 1 The
237. tic match path or a long synthetic match path the leg execution prices of the legs of the involved futures spread orders are determined by simple arithmetic with the help of the limit prices of the book orders In the case of a triangle match path there is a specific decomposition procedure similar to the case of direct matching of futures spread orders see ch 10 3 3 which can be used to define the leg execution prices A match step may contain several different match paths with the same synthetic price T7 determines order execution prices and leg execution prices in such a way that inside a given match step the execution price for a specific instrument is the same for all match paths of the match step irrespective of the execution price being an order execution price or a leg execution price For short or long synthetic match paths the order execution prices and leg execution prices are given by the limit prices of the involved orders without any degree of freedom Therefore a decomposition procedure is applied only in the case of incoming futures spread orders and if and only if the match step contains a direct match and or one or more triangle match paths but no short or long synthetic match path Example 11 12 The following orders are in the order books of the product FVS Futures on Mini VSTOXX e a buy order for the futures spread FVS SPD Jan15 Feb15 at a price of 0 40 e a buy order for the futures spread FVS SPD Feb15 Mar
238. tions products Before T7 accepts orders for a complex instrument the complex instrument must be created Some complex instruments are created by interested users by way of sending corresponding creation requests to T7 But there are also complex instruments which are created automatically by the exchange Example 2 6 The options strategy OGBL BUL Jun15 140 0 145 0 is defined as buying the OGBL Jun15 140 0 C series and simultaneously selling the same quantity of the OGBL Jun15 145 0 C series The first user that wishes to trade this strategy has to create the complex instrument first before he can send an order for the strategy The instrument type is Standard Options Strategy The spread FGBL SPD Sep15 Dec15 is defined as buying the FGBL Sep15 contract and simultaneously selling the same quantity of the FGBL Dec15 contract The corresponding instrument has an instrument type of Futures Spread Eurex creates it automatically once the FGBL Mar15 contract has expired The specific behavior of complex instruments especially the various complex instrument types and the ways they are created and traded is explained in detail in chapters 10 18 18 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 3 Trading States 3 1 Overview Trading states give a structure to the business day They control what activities are available to traders and what functions T7 will perform during each period T7 has both Produc
239. tus Suspended is either Restricted or Closed depending on the product state 3 5 3 Intra day Inactivation Market supervision may decide to inactivate a complex instrument during the day An inactive complex instrument cannot be traded anymore The instrument state of a complex instrument with a listing status Inactive is Closed 3 6 End of Day Processing The End of day product state ends with the end of day processing During the end of day processing T7 regularly performs the following clean up activities e Deletion of expired orders All GFD orders and all GTD orders with an expiry date before the next trading day are deleted by T7 e Deletion of orders of expired instruments All orders of expired instruments or of complex instruments with an expired leg instrument are deleted by T7 e Deletion of expired instruments T7 deletes expired instruments and all complex instruments that have an expired leg instrument 25 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 e Clean up of temporary complex instruments T7 deletes those complex instruments that have no more orders in the order book An exception to this is complex instruments that have been created by the exchange The exchange market supervision may furthermore delete orders under special circumstances as e g in the case of corporate actions of an underlying stock 26 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1
240. uantity it is treated as any active quote on the order book T7 processes quote reactivation requests asynchronously i e with a small time delay This has the effect that a quote reactivation request might be surpassed by another order or quote maintenance request that arrived shortly later What concerns quote deactivation requests they are processed without delay immediately upon arrival the same as it is done for all other order or quote maintenance requests In general T7 processes a buy quote before the sell quote of the same instrument This can be of relevance e g if the reactivation of a buy quote which turns out to be immediately executable triggers a buy market order on the book chapter 7 3 5 before the corresponding sell quote is reactivated At that moment the session s sell quote for the same instrument is not yet reactivated and thus not yet eligible to match against the triggered market order 44 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 For futures products with synthetic matching the sequence in which the quotes of different instruments are reactivated can be relevant T7 follows these principles e Quotes of simple instruments are always processed before quotes of complex instruments i e futures contracts before futures spreads e For simple instruments quotes for an instrument with an earlier expiry date are processed before quotes for an instrument with a later expiry date
241. ument were involved on at least one side For simple instruments the Total Traded Quantity contains additionally the leg volumes resulting from direct matching in complex instruments As there is no auction phase for complex instruments there is no last auction trade price reported for complex instruments The auction price in an uncrossing of a complex instrument reported as a last trade price but not as a last auction trade price Executed quantities of trades that had been entered directly by market supervision without going through the normal order book matching procedure are reflected in the total traded quantity but not in 88 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 the other statistics Except for the last auction trade price T7 automatically adjusts the general trade statistics data in case of such a trade reversal 9 4 Other Public Market Data T7 publishes information on the following e Requests for Quotes see ch 5 6 e Cross Announcements see ch 4 8 Finally the Eurex Extended Market Data Service provides data about e Settlement prices of the previous business day e Open interest of the previous business day e Eurex order book and Eurex off book trade prices and quantities See the Eurex Extended Market Data Service Manual for detailed information on the Eurex Extended Market Data Service 89 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 10 Com
242. unt The price range is always calculated on basis of the reference price and not on the basis of the limit price to be checked l e the condition for rejection is Buy Limit Price gt Reference Price Price Range Reference Price or Sell Limit Price lt Reference Price Price Range Reference Price It is possible that no reference price is available and that therefore the price reasonability check can not be done The user has the choice of whether in this case the order or quote will be rejected or accepted without a price reasonability check 6 2 2 Reference Price Determination For the determination of the reference price there is a standard procedure and there is a non standard procedure for the case that the condition for the standard procedure is not fulfilled If neither procedure can be applied then no price reasonability check is done In the Standard Procedure the reference price is the best available price on the side that is opposite to the side of the order to be tested l e for a buy order or quote the reference price is the best sell price and for a sell order or quote the reference price is the best buy price The condition for the standard procedure to be applied is that both a best buy price and a best sell price are available and that the price difference between the best buy price and the best sell price must be smaller than or equal to the price range being applied The exception is if there is no best
243. ven by any supported book path e If the incoming order is a limit order then the execution price of a triggered buy market order can not be both higher than the incoming order s limit price and higher than the best available sell price plus the Market Order Matching Range where the Market Order Matching Range is calculated with the best available sell price as the reference price e The execution price of a triggered sell market order can not be both lower than the incoming 116 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 order s limit price and lower than the best available buy price minus the Market Order Matching Range where the Market Order Matching Range is calculated with the best available buy price as the reference price Example 11 17 The order book situation of the order books of the product FVS is similar as in example 11 16 but additionally there are two sell market orders for FVS Jan15 and for FVS Mar15 on the order books e a sell market order for the simple instrument FVS Jan15 e a buy order for the futures spread FVS SPD Jan15 Feb15 at a price of 0 40 e a buy order for the futures spread FVS SPD Feb15 Mar15 at a price of 0 65 e a buy order for the simple instrument FVS Mar15 at a price of 23 50 e a sell market order for the simple instrument FVS Mar15 The simple instrument FVS Jan15 still has a synthetic best available buy price of 24 55 The market order matching range for FVS
244. y order 4 1 6 Technical Order Attributes Persistent and Non Persistent Orders Any order can be entered either as Persistent order or as Non Persistent order Non persistent orders are automatically deleted in the following situations e The product state is changed to Halt e A volatility interrupt has occurred e The owning session is disconnected e A technical back end partition overload condition has been detected Persistent orders are persisted in a database of T7 This prevents persistent orders from being lost in case of a technical system failure During the restart after a system failure T7 will re load the persistent orders from the database The priority time stamp of these orders remains unchanged A non persistent order is processed without the extra step of being persisted in a database As opposed to persistent orders non persistent orders will not be re loaded to the order book after a system failure i e they will be definitively lost Non persistent orders cannot be entered with an order validity GTC or GTD and therefore they cannot survive until the next business day Lean Orders Any order can be flagged as a Lean order For lean orders the receipt of status information messages is restricted to the session through which the order had been entered Furthermore only such information messages may be recovered viaa retransmission request that is about executions and about events which were not solicited by
245. y order books minus the sum of the prices of all involved sell order books e A synthetic sell price is calculated as the sum of the prices of all involved sell order books minus the sum of the prices of all involved buy order books The Available Quantity of a Synthetic Book Path The Available Quantity of a specific synthetic book path is the quantity of the order book side that has the smallest quantity at the best price among all order book sides that make up the synthetic book path 104 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 11 7 The following orders are in the order books of the product FVS Futures on Mini VSTOXX e Simple instrument FVS Feb15 o Sell 50 at a price of 23 55 e Futures spread FVS SPD Jan15 Feb15 o Sell 10 at aprice of 1 05 o Sell 20 at a price of 1 05 e Futures spread FVS SPD Jan15 Mar15 o Buy 40 ata price of 1 65 These orders result in the following synthetic book paths 1 Simple instrument FVS Jan15 Sell 30 at a price of 24 60 by synthetic book path for matching along a short synthetic match path Sell FVS SPD Jan15 Feb15 Sell FVS Feb15 Price 24 60 1 05 23 55 Quantity 30 MIN 10 20 50 2 Simple instrument FVS Mar15 Sell 30 at a price of 22 95 by synthetic book path for matching along a long synthetic match path Buy FVS SPD Jan15 Mar15 Sell FVS SPD Jan15 Feb15 Sell FVS Feb15 Price 422 95 1 65 1 05 23 55 Quantity 30
246. y the integer parts of the Ideal Allocation Quantities leaving the accumulated fractional shares for allocation in the remainder allocation 74 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 In detail the procedure works as follows 1 Basic Allocation Step i Calculate the Ideal Allocation Quantity for each order according to the Ideal Time Pro Rata Allocation that is described further below ii The ideal allocation quantity is a number which is not subject to any integer requirements Therefore round down the ideal allocation quantities to the next integer value The rounded value is allowed to be zero This gives the allocation quantities of the basic allocation for each order iii If by chance all of the ideal allocation quantities have been integer numbers already the allocation quantities of the basic allocation constitute already the final order match quantities and the procedure is finished Or there is a remaining quantity that needs to be allocated in the remainder allocation step as follows 2 Remainder Allocation Step i The remaining quantity that is to be allocated is obtained by subtracting the quantities that have been allocated in the basic allocation step from the total quantity to be allocated ii The remaining quantity is then distributed according to the Remainder Allocation Procedure which is described further below For this allocation only orders are considered which have a non
247. ying OESX 100 200 RBER Jul14 3200 3000 vs S 17 FESX Sep14 3260 0 the applied option leg multiplier for the option legs is 100 This gives a maximum underlying leg ratio of 100 which means that the requested underlying leg ratio of 17 is a valid underlying leg ratio 18 3 3 Underlying Leg Execution Price Rule T7 requires that the underlying leg execution price which is a fixed part of the signature of the options volatility strategy instrument is close to the current market price of the underlying leg instrument The current market price is assumed by T7 to be a reference price which is the last trade price in the futures product If the last trade price happened in an instrument that is different from the instrument that is the underlying leg instrument in the options volatility strategy instrument then the reference price is corrected by the difference of the previous settlement prices of the two futures instruments If there is no last trade price at all for the futures product or if any of the two previous settlement prices is not available then the creation of the requested options volatility strategy instrument is not possible The allowed range around the reference price is a percentage which is given by the Underlying Leg Deviation Percentage parameter that is defined by the exchange by product 142 Eurex Exchange s T7 Eurex Frankfurt AG Functional Reference V 2 5 1 Example 18 5 The underlying leg deviation percenta

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