CBOT - Publications

Electronic Trading Platform Reference Manual

LIFFE CONNECT^® Version 9.0. CBOT
Manual Version 2.2

Preface

This document provides a definition of the capabilities of the CBOT's electronic trading platform powered by LIFFE CONNECT . It describes the functionality available to traders but is not designed to be a user guide. For specific operating instructions, refer to the reference documentation of your Independent Software Vendor (ISV) or internal client application.

NOTE: Client Applications may not provide the full functionality available from LIFFE CONNECT. Check with your Independent Software Vendor (ISV) or internal Client Application administrator for functions supported by your Client Application.

Table of Contents

1	Introduction
1.1	Functional Overview
1.2	e-cbot Contacts
1.3	Additional Web Information
2	Trading
2.1	Periods of the Trading Day
2.2	Access via the LIFFE CONNECT API
2.3	Orders
2.4	Strategies
2.5	Order Matching
3	Market Operations and Control
3.1	Participant Control
3.2	Dynamic Price Limits
3.3	Futures Dynamic Price Limits
3.4	Futures Settlements
3.5	Options Dynamic Price Limits
3.6	Options Settlements
3.7	Settlement Procedures
4	e-cbot Error Trade Policy
4.1	e-cbot Error Trade Policy Appendix 1
4.2	e-cbot Error Trade Policy Appendix 2
5	Products
5.1	Agricultural
5.2	Interest Rate
5.3	Dow
5.4	Metals
5.5	Product Algorithms
6	Member and User Setup
6.1	Introduction
7	Interfaces, Equipment, Simulation Environment, and eFills
7.1	Application Program Interface
7.2	e-cbot Equipment Configurations
7.3	Simulation Environment
7.4	e-Fills
8	Appendix Examples
8.1	Pricing of Strategies Net Premium
8.2	Delta Neutral Strategies
8.3	Uncrossing
8.4	Rules regarding Order Level Priority Pro-Rata
8.5	Preferencing