In January 2006, the CBOT^® Board of Directors approved a pilot program to modify the algorithm in outright Two-Year U.S. Treasury Note futures to Priority Pro-Rata with minimum volume and maximum volume cap requirements from the Price/Time algorithm.  The Exchange has determined to continue utilizing the Pro Rata Algorithm based on supportive feedback received from a broad cross section of market participants coupled with the increase in market participation and overall positive performance of the contract since this pilot was implemented.

Priority Pro-Rata with Minimum Volume and Maximum Volume Cap Requirements

The Priority Pro-Rata algorithm gives a priority flag to an order that betters the market and meets the minimum volume threshold.  The maximum volume cap means that the order with the priority flag assigned will only take all incoming volume orders up to the maximum volume.  When the volume cap is reached, all remaining volume is divided among this order and any other orders at the same price by the pro-rata algorithm.  For Two-Year U.S. Treasury Note futures, the minimum volume requirement and maximum volume cap will remain at one contract and 1,500 contracts, respectively, which is consistent with the minimum/maximum values for the Reduced Tick Spreads in Two-Year Treasury Note futures.

Product Algorithms

A complete list of algorithms for all CBOT products is available at http://www.cbot.com/cbot/pub/page/0,3181,2000,00.html.

If you have any questions about this Bulletin, please contact Market Operations (Market_Operations@cbot.com or 312-347-4600) or your Key Account Manager.