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2.3.1.1 Submission
Client Applications provided by ISVs or Member Developers submit orders to the LIFFE CONNECT® Trading Host via the API. The Trading Host maintains a central order book for the entire market and matches orders when appropriate.
2.3.1.2 RevisionThe Revise Orders function allows a trader to amend volume, price and GTC expiry date for single and batch orders. If the volume of an order is increased or its price is changed, the order will lose its original time-stamp and be re-stamped with the current time. A reduction of volume will have no effect on the original timestamp. No other order parameters (including clearing data) can be revised after submission; otherwise the order must be pulled.
The originating user or their replacement ITM (see section 2.3.1.6) can revise orders even if he/she is not subscribed to the market in question.
Ex-pit orders cannot be revised after they have been submitted.
2.3.1.3 PullOnce an order has been stored in the Trading Host's central order book, it can be withdrawn (pulled) using a Pull Orders call. The Client Application may withdraw orders specified by the unique Order ID or as a block consisting of:
· Individual orders for a given list of Order IDs (see 2.3.1.4 Batch).
· All orders in a given futures or options product.
· All put or call orders for a given options product.
· All orders in a given expiry month for a given futures or options product.
· All orders in a specific futures or options outright or strategy market.
The block pulls described above also pull the strategy orders affected. The originating trader can pull orders even when not subscribed to the market in question.
Ex-pit trade orders cannot be pulled after they have been submitted. However, a message will be transmitted to the submitting trader if an ex-pit order is rejected by the Exchange.
2 .3.1.4 BatchBatch Order functionality enables traders to perform batch order operations within a single order message in the same product, as follows:
· batch submission – up to 16 orders;
· batch revision – up to 64 orders; and
· batch withdrawal – up to 64 orders.
When using batch order functionality, traders are not permitted to submit orders or revisions which would result in other orders in the batch matching, i.e. it is not permitted to use batch orders as a mechanism for cross transactions.
When processing batch order revisions, the Trading Host will revise lower bids and higher offers first in order to avoid the possibility of a revision trading against a resting order which is pending revision.
No account is taken of crossing resulting from the generation of implied orders within the batch. Such crossing is possible given that there is no restriction on the mix of orders for outright and strategy markets in the batch.
2 .3.1.5 Nominate Replacement TraderAn Individual Trader Mnemonic (ITM) may nominate, using their Client Application, a replacement Individual Trader Mnemonic. See 6.1.2 Responsible Person/Individual Trader Mnemonic/e-cbot User ID. The replacement ITM must be a valid ITM within the same member firm as the nominating ITM.
NOTE: Not all Client Applications support the replacement ITM function. Please check with your Independent Software Vendor (ISV) or internal client application administrator.
2 .3.1.6 Handover to Replacement ITMUsing their Client Application, an ITM may choose to handover all non-GTC orders from e-cbot User IDs under it to the nominated replacement. The nominating ITM and all e-cbot User IDs under that ITM will then be logged off. Any orders transferred in this manner will retain their original timestamp. GTC orders will remain in the system against the nominating trader’s ITM.
Note: The Trading Host will not retain a record of the original ITM who submitted the order. The nominated ITM must be logged on to LIFFE CONNECT® in order to receive the orders. If an ITM attempts to log-off and transfer their orders when a nominated replacement is not logged on, the Trading Host will issue a warning before allowing log-off to continue. An ITM is able to nominate a replacement ITM at any point during the trading day from Day Start through to Day End, but order transfer can only occur during Pre-Open and Open.
In the event of a failure of the Client Application at the ITM level, or of the network link from the ITM Client Application to the Trading Host, the Trading Host will automatically transfer any existing non-GTC orders to the nominated replacement ITM, if one exists and is logged on.
The following permitted modifiers are available on LIFFE CONNECT:
2.3.2.1 Minimum Volume (MV)Minimum Volume orders are only executed if there is at least the minimum volume available, at the stated price or better. If not, the whole order is cancelled. Any residual volume from a partially executed minimum volume order is retained in the central order book.
2.3.2.2 Complete Volume (CV)Complete Volume orders are only executed if there is sufficient volume available, at the stated price or better, for them to execute fully. Otherwise the entire order is cancelled.
2.3.2.3 Immediate & Cancel (IC)Immediate and Cancel orders are executed against any existing orders at the stated price or better, up to the volume of the IC order. Any residual volume from the IC order is cancelled.
2.3.2.4 Order Modifier UsageThe following table details the permitted order modifiers that can be specified with price and volume for limit and market orders:
|
Order Type |
Price |
Volume |
MV |
CV |
IC |
|
|
Limit |
Normal |
ü |
ü |
ü |
ü |
ü |
|
GTC |
ü |
ü |
ü |
X |
X |
|
|
Market |
Normal |
X |
ü |
ü |
ü |
X |
|
MOO |
X |
ü |
X |
X |
X |
|
|
CMO |
Each component |
ü* |
ü |
X |
X |
X |
*For a Limit component, price and volume; for a Market component just the volume can be submitted.
2.3.3.1 Normal
Limit orders are executed at the price stated or better. Unless otherwise specified, any residual volume from an incomplete Limit order is retained in the central order book until it is withdrawn, traded or until the end of the trading day. The price and volume of a Limit order must be specified.
In the event of a Trading Host failure or market closure, all limit orders will be automatically pulled from the central order book with the exception of GTCs which are stored by the Trading Host. In the event of a failure of the Client Application at the ITM level, or of the network link from the ITM Client Application to the Trading Host, the Trading Host will automatically cancel any existing non-GTC orders unless a nominated replacement ITM exists and is logged on.
2.3.3.2 Good Till Cancelled (GTC)GTC orders remain in the central order book until:
· they trade
· they are withdrawn by the submitting trader,
· the expiry month expires, or
· the order expires.
GTC orders can be given an expiry date and are valid until the end of trading on that date. If no date or a date beyond the expiry date is specified, the order will be valid until the month or market expires.
GTC orders are available in all trading periods but not when the Trading Host is inaccessible (see 2.1.1.8 Inaccessible).
GTC orders retain their original timestamp when they are returned by the Trading Host for the next trading day.
All GTC orders in options delta neutral strategies are pulled by the Trading Host at the end of the trading day and are not returned for the following trading day.
The original timestamp is used to ensure that the Trading Host returns orders in the correct time sequence. This is important when calculating the priority of order for the trading algorithms (see 2.5.4 Trade Algorithms).
2.3.4.1 Normal
Market orders are executed at the best price available in the order book when the order is received until all available volume at that price has been traded. If not, the order executes at the next best price and so on, until all the order volume has been used. A market order will not trade outside the price limits (see Error! Reference source not found.. Price Controls). Any residual volume from an incomplete market order is cancelled. Market orders are rejected if the market is not open.
2 .3.4.2 Market on Open (MOO)Market On Open orders can only be submitted for futures products including strategies. MOO orders are only accepted during Pre-Open and are intended for execution at the opening market price. MOO orders will be executed by the Trading Host after the uncrossing of Limit orders in the market when the market opens (see 2.5.3 Uncrossing). MOO orders can be entered as standard or Persisted. An expiration date can also be entered for Persisted MOOs.
Initially, MOO orders will trade against other MOO orders, at the opening price calculated after the uncrossing. After this, any residual volume remaining in Standard MOO orders will be converted automatically to Limit orders at the opening price, and may then be executed against suitable Limit orders that remain in the market. If residual volume still remains, it will be retained in the central order book until it is withdrawn, traded, or until the end of the trading day as is the case for a normal Limit order.
Any residual volume remaining in Persisted MOO orders will be converted automatically to GTC Limit orders at the opening price, and may then be executed against suitable Limit orders that remain in the market. If an expiration date is also submitted with the order, the resultant GTC Limit will persist until that date. If no expiration date is entered the GTC limit will persist until the expiration date of the contract.
During Pre-Open the originator can view the volume submitted to the market but not the price of Market On Open orders. The Trading Host does not disseminate this information to the market.
Note: If an opening price cannot be calculated for the market when it opens, all MOO orders will be pulled automatically. The opening price is only calculated if there are bid and offer Limit orders in the market. The opening price cannot be determined in the following conditions:
a. only MOOs in the market,
b. only MOOs and Limit bids (no offers) in the market,
c. only MOOs and Limit offers (no bids) in the market.
d. only either Limit bids or offers in the market but not both.
However, if there are only uncrossed bids and offers in the market, the MOO orders would execute and/or convert at the mid-price.
2.3.5 Stop OrdersStop Market and Stop Limit order types are available at the Trading Host. Buy Stop orders will be triggered by a trade at or above the Stop Trigger Price and Sell Stop orders will be triggered by a trade at or below the Stop Trigger price. Higher bids/lower offers, as well as ex-pit trades and strategy leg prices, will not activate Stop Orders.
For a Stop Market Order, once the Stop price is triggered, the order is entered into the Trading Host as a Market order. This order will react to the market as a regular Market Order. For a Stop Limit Order, once the Stop price is triggered, the order is entered into the Trading Host as a Limit order at the trigger price.
Stop Orders are kept in separate Host Level “queues” and viewed only by originating trader (and MTM).
Valid order time types for Stop Orders are Good for Day and Good Till Cancelled.
Stop order validation
Upon submission into the Trading Host a Stop will undergo additional validation before the Submit order request is accepted:
· Trigger price validation
In order to minimize the possibility of crossed Stop orders during open, the Stop order trigger price will be validated against the market reference price, which will be set to the Indicative Market Price (IMP) for Futures and the AQS option value for options. Should a bid trigger price be submitted when below the reference price, or the offer trigger price be submitted when above the reference price the order will be rejected.
· Price limit validation
A Stop order will not be validated against price limits, both Daily and Dynamic upon order submission. However this order will be validated against price limits upon order activation.
Stop Order Cascading
Once activated a Stop order is submitted into the central order book and can trade in the market, which in turn could activate a second (or multiple) Stop(s) should the Stop order trade through depth. This concept is known as Stop order cascading and can occur in a static market cascading trading down and up through the market price ranges.
To prevent trading down to the contract minimum price, Price Limits will freeze upon Stop order activation and will remain frozen until all Stop orders activated as a result of the initial Stop order activation have completed processing. Any Stop orders, specifically Market orders, which attempt to trade at a price with an order which is outside of the frozen price limits, will fail to trade, stating the error messages “Outside Price Limits”
2 .3.6 Market Making OrdersMarket Making Orders (MMOs) offer traders a streamlined process to make two-sided markets in CBOT products.
MMOs allow an ITM designated with MMO capability to simultaneously submit bids and offers into a single options series or futures month. MMOs are submitted in batches which allow bids and offers to be entered into different series within a contract concurrently. The following are the conditions for each batch:
· All MMOs in a batch must be for the same contract (i.e., OZB)
· The maximum number of MMOs permitted in each batch is configurable up to 65, the minimum is 1
· Each MMO within the batch should specify the series, the prices, and the volumes for both the bid and offer side. Volumes for each side do not have to be equal
· The CBOT Give Up/Market Maker Identifier, CBOT Origin and CBOT Account Number data for all MMOs within the batch is contained in the batch header which will be the same for every MMO in the batch
· Series, volume and price information is stored at the individual order level rather than the batch level
· A submission of a MMO will replace any existing MMO by that ITM in that series
· If either side of a replacement MMO order has a volume of zero, all volume in that side of the original MMO order will be pulled
· If either side of a replacement MMO order has a null (blank) volume, any volume on that side of the original MMO order will not be altered
· MMOs will be validated against price limits and the entire MMO will be rejected if either side fails this validation
MMOs may be entered during Pre-Open, Open, or Pre-Close periods but they will not persist in the order book if the ITM logs out or is disconnected. MMOs also cannot be handed over to another trader (ITM)
The implementation of MMO functionality on e-cbot is different than the Euronext.LIFFE markets. Specifically, e-cbot will offer the following:
· MMOs will be available for all CBOT futures and options products
· An ITM with MMO rights in a given product can also use any order type in that product
· The ITM that has MMO rights will be fixed to a specific user and that user’s CTI code. The user must have a registered e-cbot User ID
· Master Trader Mnemonics (MTMs) cannot see Market Maker Orders
· MMO functionality is not available for Hosted Exchange products
2 .3.7 Clip OrdersClip orders are designed to provide more functionality for traders that are hedging between two markets. “Clips” are a series of quantity levels that allow the trader to define specific amounts to be traded. The trader specifies a ratio, and the ratio defines the Clip Size. Clip orders can be described as an Immediate or Cancel order with a time-out value. If the order Clip Size is not fully matched the remaining volume is cancelled. Clip Orders will be available for 30 Year Treasury Bond Futures and 10, 5, and 2 Year Treasury Note Futures.
Example of Clip Sizes
Orders cannot be filled “in between” clip levels
Ratio entered : 9.6
Buy Order volume (max): 48
Fills at specific volume intervals : 48, 38, 29, 19, or 10
2 .3.8 Contingent Multiple Order (CMO)A Contingent Multiple Order is an order that contains two or more 'component' orders. Trading of any component is contingent on being able to fully trade all components within the CMO.
CMOs provide clients with the ability to trade in separate markets across two separate products, therefore allowing traders to submit inter-product spreads to LIFFE CONNECT®. They cannot be submitted during Pre-Open, as all order components must exist in open markets.
CMOs are bound by the following:
· Maximum of 8 component orders.
· All component orders must be for outright orders, i.e. no strategies.
· Only one futures component permitted if any component order is for an option.
· It is not possible to submit a CMO for products traded on separate Trading Hosts.
Each component of a CMO can be of Limit or Market type. Any modifiers that are added are ignored e.g. Complete Volume, Immediate & Cancel, because of the Fill or Kill nature of the order. The CMO can be submitted as a mixture of buy and sell orders. The permitted product pairs are pre-defined by the Exchange.
The trades are executed in the same order as the components within the submitted CMO. All output messages accumulated during trading of the CMO are transmitted once trading of all the components is complete.
A single Order ID is allocated to all of the components within a CMO.
Note: As each individual component order is processed in turn, and as none of the components reside in the order book, it is impossible for two orders from a CMO to exist in the same market at the same time. Therefore, a trader cannot perform Guaranteed Cross trades by submitting a CMO that contains two matching component orders. If a trader does attempt a cross trade within a CMO, then the component trades will only trade with other orders already residing in the order book, if at all.
A component of a submitted CMO may trade with orders residing in the order book that were submitted by the same trader, subject to the cross trading rules applied to standard LIFFE CONNECT® orders.
Should one or more of the component orders fail to trade, the whole CMO is rejected and an error message is returned to the trader indicating which component failed to trade.
2.3.9.1 CBOT Account Number
The LIFFE CONNECT User Specified field is a 14 character alphanumeric field that will be used for the CBOT account number. CBOT Account Numbers are limited to 10 characters.
The User Specified field will be configured to be mandatory. The Trading Host would then only check whether the field contained a value or not.
2.3.9.2 CBOT Give Up/Market Maker IdentifierThe LIFFE CONNECT account code field is a one character alphanumeric field that will be used to identify CBOT Give Up and Market Maker orders.
The following account codes will be available for the CBOT:
· ( ) - blank
· A – Group Give Up
· G –Single Give Up
· M - Market Maker.
Orders can only be given up to one member firm per order. If there are multiple give-ups for an order, these will need to be processed by the back office post-trade. If an order is revised, a trader will be unable to amend the account code. Should the trader need to change an account code they would be required to pull the order and resubmit a new order with the amended code.
2.3.9.3 CBOT Single Give Up Member Firm and Trader ITM AllocationIf a ‘G’ is entered in the LIFFE CONNECT account code field the respective member firms mnemonic must be entered in the MemberAllocation field.
This information is passed by the Trading Host to an external clearing system via the LIFFE CONNECT Trade Data Interface.
The Member firm field can be up to 4 characters and the Trader field is 3 characters.
The member and trader details will be validated on submission to ensure that:
· Member firm mnemonics are valid
· Trader mnemonics are valid
· The combination of member firm and trader mnemonics are valid.
The LIFFE CONNECT Customer Trade Indicator field is available through the API to represent the type of customer on whose behalf the trade is taking place. It is a single numeric character.
All member firms are reminded that CFTC and Exchange regulations require the accurate submission of Customer Type Indicator (CTI) codes for each transaction. The CTI codes to be utilized for CBOT transactions are detailed below:
CTI 1 – Applies to transactions initiated and executed by an individual member for his own account, for an account he controls, or for an account in which he has an ownership or financial interest. However, transactions initiated and executed by a member for the proprietary account of a member firm (as defined below) must be designated as CTI 2 transactions.
CTI 2 – Applies to orders entered/trades executed for the proprietary accounts of a firm defined as follows: Category (1a), (1b), (2a), (2b), (2c) and (3) member firms as defined in Regulation 230.02, and their affiliates and designated passive investor entities as defined in Regulation 450.02 (D), as well as category (4) e-cbot only member firms.
CTI 3 –e-cbot: Applies to orders entered by a member or non-member terminal operator for the account of another individual member or for an account controlled by such other individual member.
CTI 4 – Applies to all orders/transactions not included in CTI categories 1, 2, or 3. These typically are orders entered by or on behalf of non-member entities.
It is the duty of each member, user or terminal operator entering orders into e-cbot to input for each order the correct CTI code and account designation. The account designation must be an account number, account name or other identifying notation, which is tied to the specific account owner for whom the order is placed.
With respect to orders that are capable of being immediately entered into e-cbot, no record other than the e-cbot order entry is required. However, if a member, user or terminal operator receives an order which cannot be immediately entered into e-cbot, a written order that includes the order instructions, account designation, date and time of receipt must be prepared. The order must be entered into e-cbot when it becomes executable.
The CTI field will be configured to be mandatory and validated by the Trading Host.
The LIFFE platform does not provide edit checks for valid CTI/Origin combinations. Any trades with invalid combinations will be passed by clearing as a trade in error. Clearing member firms can correct these trades by submitting the required changes.
2.3.9.5 CBOT Origin CodeThe LIFFE CONNECT posting code field will be used for the CBOT Origin Code.
The Origin Code field is a single numeric character and will be mandatory and validated by LIFFE CONNECT. If a trader enters an invalid origin code then LIFFE CONNECT will reject the order.
The Origin Code field will be used to identify the type of customer order in order for clearing to assign the correct clearing fee. The valid fields for the Origin Code will be:
|
CBOT Origin Type |
Origin Value |
|
Customer |
1 |
|
Non-Customer |
2 |
2.3.9.6 Price
The Price field shows the price at which an order was submitted or traded. LIFFE CONNECT calculates prices in ticks but displays them in either decimal or fractional format. Positive and negative price values are supported on LIFFE CONNECT.
2.3.9.7 VolumeThe volume of the order is entered in lots and must be a positive value.
2.3.9.8 Buy/Sell IndicatorThis parameter indicates whether the order is to buy or sell. For a strategy order this is shown on each leg of the transaction.
2.3.9.9 e-cbot User IDThe LIFFE CONNECT Trader Card Reference field is a 16 character alphanumeric field that the CBOT will use for the e-cbot User ID.
The Trader Card Reference field will be configured to be mandatory. The Trading Host will check whether the field contains a value or not. See section 6.1.2 Responsible Person/Individual Trader Mnemonic/e-cbot User ID.
2.3.9.10 Customer ReferenceThe Customer Reference is a 14 character alphanumeric field available when submitting orders to identify customer or client, if required.
2.3.9.11 Expiry DateThis indicates the date a GTC order is cancelled.
2.3.9.12 Open/CloseThe OpenClosedIndicator field indicates whether the order is opening or closing a position. The open/close indicator will no longer be required for any contract. This field is not a mandatory field for futures or options products. The field will default to ‘O’ for open when anything other than the ‘C’ (closed) indicator has been submitted.
When submitting a strategy order, the open/close field is set at order level not at individual leg level.
2.3.9.13 Price TypeThis field indicates whether the order is a Limit or Market order.
2.3.9.14 Time TypeThis field indicates whether the order is Immediate and Cancel, Good Till Cancelled, Complete Volume, Market On Open, standard (or a valid combination of these).
2.3.10 Delta ProtectionDelta Protection functionality offers traders a degree of protection from being traded on multiple orders. Delta Protection functionality computes a cumulative delta position on a contract or expiry basis which is then updated whenever an order, which encompasses delta protection, trades. When the delta position exceeds the trader set delta limit, an action is taken to warn the trader or, optionally, have all of the traders orders pulled in the same contract or expiry. Delta Protection will be available at both the contract and expiry-level.
The following are important points regarding the new functionality:
- Delta Protection will be available during Pre-Open, Open, Pre-Close and Pre-Expire but delta position information will not be maintained between login sessions
- The trader sets the delta limit and the action to take once the limit has been breached (Ignore, Warn, Pull, Warn and Pull), these may be revised anytime delta functionality is active
- Delta positions are initiated to zero but can be updated by submitting an adjustment
- Contract level delta positions are computed as the sum of the expiry level positions. Then separate delta limits can be set for each expiry
- Delta Protection is configured on a per ITM basis. Each ITM must be registered with the Exchange
Delta Protection Example
As an example of delta protection, the following orders are currently being worked by the trader AAA who has applied the following parameters:
|
Parameter |
Value |
|
Product |
Product A |
|
Delta Protection Active |
True |
|
Delta Limit |
115 |
|
Limit Breach Action |
Warn and pull orders |
|
Delta |
Call |
Strike |
Put |
Delta |
||
|
Bid |
Offer |
Bid |
Offer |
|||
|
80 |
50 (100) |
54 (100) |
9500 |
3 (100) |
5 (100) |
20 |
|
30 |
24 (100) |
26 (100) |
9525 |
27 (100) |
30 (100) |
70 |
|
10 |
5 (100) |
7 (100) |
9550 |
60 (100) |
63 (100) |
90 |
If trader BBB submits the following orders:
|
Order 1 |
Sell 100 lots at market in the 9500 Call Strike |
|
Order 2 |
Sell 100 lots at market in the 9525 Call Strike |
|
Order 3 |
Sell 100 lots at market in the 9550 Call Strike |
|
Order 4 |
Sell 100 lots at market in the 9500 Put Strike |
|
Order 5 |
Sell 100 lots at market in the 9525 Put Strike |
The following trading will take place:
|
Order |
Strike |
Trade |
Delta Position (AAA) |
|
1 |
9500 Call |
50 (100) |
+80 (80) |
|
2 |
9525 Call |
24 (100) |
+30 (110) |
|
3 |
9550 Call |
5 (100) |
+10 (120) |
Since AAA’s delta position has been exceeded after the first three trades, AAA’s remaining orders in the puts are pulled and the remaining orders for trader BBB will not be completed.
The implementation of Delta Protection functionality on e-cbot is different than the Euronext.LIFFE markets. Specifically, e-cbot will offer the following:
- Delta Protection is set at the ITM level and will be available for all CBOT futures and options products
- Futures and options delta protection will not work in tandem, i.e., if a user buys 10 at the money calls (50 delta), they will incur a +5 delta. If they in turn sell five futures to cover this delta position it will not reflect in his delta position for the option product. A separate action will have to be taken to subtract delta incurred by the futures transaction
- Delta Protection is applied by product at the ITM level. Therefore, in a product(s) where Delta Protection is enabled, all users’ orders within that ITM can affect the cumulative delta position
- Delta Protection will be available for all order and user types
- Delta Protection functionality is not available for Hosted Exchange products
2 .3.11 Trading Against Customer Orders and Crossing Orders
2.3.11.1 Trading Against Customer Orders
During an e-cbot trading session, a member or Registered User shall not knowingly cause to be entered or knowingly enter into a transaction in which he takes the opposite side of an order entered on behalf of a customer, for the member’s or Registered User’s own account or his employer’s proprietary account unless the customer order has been entered immediately upon receipt and has first been exposed on the e-cbot platform for a minimum of 5 seconds for outright futures contracts and a minimum of 15 seconds for spreads and options contracts. Such transactions that are unknowingly consummated shall not be considered in violation of this regulation.
2.3.11.2 Crossing OrdersIndependently initiated orders on opposite sides of the market for different beneficial account owners that are immediately executable against each other may be entered without delay provided that the orders did not involve pre-execution communications.
Opposite orders for different beneficial accounts that are simultaneously entered by a party with discretion over both accounts may be entered provided that one order is exposed on the e-cbot platform for a minimum of 5 seconds for outright futures contracts and a minimum of 15 seconds for spreads and options contracts.
An order allowing for price and/or time discretion, if not entered immediately upon receipt, may be knowingly entered opposite a second order entered by the same firm only if the second order has been entered immediately upon receipt and has been exposed on the e-cbot platform for a minimum of 5 seconds for outright futures contracts and a minimum of 15 seconds for spreads and options contracts.
2.3.11.3 Pre-Execution Communications Prohibited(i) Pre-execution communications are communications between two market participants for the purpose of discerning interest in the execution of a transaction prior to the entry of an order on the e-cbot platform.
(ii) Pre-execution communications and transactions arising from such communications are prohibited in all products during all hours except as otherwise provided by Regulation 331.05 (Block Trade Transactions).
Violations of the regulation shall be considered an act detrimental to the interest and welfare of the Association.2
2.3.12 Ex-Pit Orders
2.3.12.1 Introduction
For designated products, traders can submit orders for wholesale or ex-pit business that has been pre-negotiated outside the market, using the Submit Ex-Pit Trade function.
There are three types of Ex-Pit orders:
· Block (large volume trades)
· Basis (financial futures versus cash market)
· Against Actuals (commodity futures versus cash market)
Orders for wholesale, or ex-pit, business are valid when the market is open.
The markets in which wholesale, or ex-pit, business is valid are set by the Exchange. Trade volumes may be subject to minimum levels, which depend on the type of business and the traded product. The markets and volumes are defined in the product specification and specified in the product parameters on the Trading Host.
Ex-pit trades can be submitted in a strategy market, as long as that strategy market exists and is not suspended.
The prices of trades in ex-pit orders will be verified by Market Operations after submission, to ensure that they are in line with exchange-traded business, but are not subject to automatic price controls.
Submitted ex-pit trades will not enter the central order book or be made available to the market for trading. Once submitted, ex-pit trades cannot be pulled, revised or handed over to another trader (ITM).
All Ex-pit trades are examined by Market Operations and, if acceptable, are approved for execution. Once executed, ex-pit trades' volumes are added to the published total traded volume for their respective markets. The trade price with the exception of Against Actuals (see section 2.3.12.7) is disseminated to the market.
Under normal circumstances, approval of ex-pit trades takes place within a time period specified by the relevant regulatory body for the type of business.
If a trader has submitted orders for ex-pit trades that have been accepted but not yet approved, and the trader logs out, or their Client Application fails, the ex-pit orders are not affected and will remain registered with the Trading Host, awaiting approval. The trader does not need to be logged in for approval of ex-pit business to take place.
A flag is used to identify the type of ex-pit trade when the price is reported to the market (with the exception of Against Actuals where the price is not reported).
2.3.12.2 Method of SubmissionEx-Pit trades can be submitted as outright orders, or strategy orders.
Ex-Pit trades are submitted via the Client Application, but are not matched in the Trading Host with other order types.
A trader submitting an Ex-Pit order must specify:
· The market (product/month etc).
· Price
· Volume
· Type of Ex Pit Trade.
Other information can be entered which can be configured to be either optional or mandatory, as follows:
· Customer Reference
· e-cbot User ID (LIFFE Trader Card Reference field)
· CBOT Account Number (LIFFE User Specified field)
· CBOT Give Up/Market Maker (LIFFE Account Code field)
· Cash Price (can only be optional)
· ISIN Code (can only be optional)
· Customer Trade Identifier (CTI)
· Open/Closed indicator (can only be optional but defaults to Open)
· CBOT Origin Code (LIFFE Posting Code field)
· Transaction Code (two character numeric ASCII Value (1-99) only)
When entering the Ex-Pit order a trader submits both the buy and sell sides of the order for validation by Market Operations.
2.3.12.3 Ex-Pit Strategy OrdersStrategy Orders may also be submitted as Ex-Pit trades and are subject to validation by Market Operations in the same way. In addition to the optional and mandatory fields entered for an outright trade, the trader must also specify the individual leg prices to be allocated for the strategy trade.
2.3.12.4 ValidationValidation of Ex-Pit trades is performed by Market Operations. The following are examples of rejection reasons:
· Contract not enabled
· Contract Month not enabled
· Last trading day expired.
· Less than minimum volume.
Block trades are defined as high volume trades in any outright or strategy market. Orders must contain both the buy and sell side orders and include the trade price and volume. For strategy block trades, in addition to the total strategy price and volume, the order must include all individual leg prices and volumes.
2.3.12.6 BasisBasis trades are defined as strategies for long-term bond markets that incorporate a futures leg and an underlying bond (or cash) leg. Orders must contain the trade volume and the price of both the futures leg and the cash leg, and must include the necessary reference fields to identify the order within the cash market.
2 .3.12.7 Against ActualsAgainst Actuals are defined as strategies for commodities markets that incorporate a futures leg and an underlying commodity leg. Orders must contain both the buy and sell side orders and include the trade price and volume.
2 .3.13 Order Type Per Market ModeThe following table details the order types that can be submitted during the periods of the trading day.
|
Order Type |
Pre-Day Start (Host Available) |
Day Start |
Pre-Open |
Open |
Pre-Close |
Close |
Day End |
|
Normal Limit |
No |
No |
Yes |
Yes |
Yes |
No |
No |
|
Market |
No |
No |
No |
Yes |
Yes |
No |
No |
|
Market On Open |
No |
No |
Yes |
No |
No |
No |
No |
|
GTC Limit |
No |
Yes2 |
Yes |
Yes |
Yes |
Yes3 |
No |
|
CMO |
No |
No |
No |
Yes |
Yes |
No |
No |
|
Against Actuals |
No |
No |
No4 |
Yes |
Yes |
No |
No |
|
Block |
No |
No |
No4 |
Yes |
Yes |
No |
No |
|
Basis |
No |
No |
No4 |
Yes |
Yes |
No |
No |
1 Volume can only be revised downwards.
2 Submitted by the Trading Host only.
3 Revised or pulled only.
4 Configurable according to Trading Procedures.
The term cabinet is used to describe the price of an options premium for an order that is submitted into deep out-of-the-money options with a value of less than the minimum price movement for that month.
2.3.14.1 Fixed Cabinet Pricing (Outright Cabinet Trade)Outright Cabinet trading on LIFFE CONNECT does not permit negotiation of the value of the cabinet trade. The price reported to the Trade Data Interface by the Trading Host will be zero and therefore a value will need to be assigned to this trade by the clearing system.
Cabinet orders and the subsequent trades are valid in all outright markets and LIFFE CONNECT will only allow traders to submit Cabinet limit bids. The Trading Host will not allow cabinet limit offers since the lowest offer that can be made is the smallest price movement permitted for that product. In order to trade with the cabinet limit bid, a trader must enter a market order offer.
If cabinet orders are implemented using this method, the only strategy market that they can be submitted into is a one legged volatility market such as an outright call or put versus the underlying. Delta neutral orders submitted as a GTC with a cabinet bid will not be returned by the Trading Host for the following day.
2.3.15 Request for Quote(RFQ)An RFQ notifies market participants subscribed to a product that a price is required for the market. The RFQ can specify the volume for which a price is required, alternatively if no volume is given, the Trading Host will allocate a default value which is configured on a per product basis. For all CBOT products at launch, the default volume value for RFQs has been set to 10.
RFQs may be submitted by a trader via their Client Application, or automatically generated by the Trading Host.
2.3.15.1 Trader GeneratedThe trader, using a Client Application, may submit a Request for Quote (RFQ) for any futures/options expiry month, series or strategy without having to subscribe to the market.
2.3.15.2 Host GeneratedWhen a submitted Limit order does not trade completely and its residual volume rests in the order book, then the Trading Host may generate an automatic RFQ. This functionality is controlled by a volume limit: an RFQ will only be generated of the residual volume equals or exceeds this limit. The volume limit is defined in the standing data and is configurable on a per product basis. There is no restriction on the number of RFQs the Trading Host will generate. For all CBOT products at launch the residual volume for the host to generate an automatic RFQ has been set to 51.
2.3.15.3 Time to Block RFQ’sFor any given market, submission of RFQs is not permitted for a short time after submission of an earlier RFQ, for an equivalent or greater volume, in the same market. The length of time before another equivalent RFQ may be submitted, is specified by the Exchange and may be different for each individual market. If an RFQ is submitted in this period, unless it has a greater volume an error status will be returned. For all CBOT products at launch the time to block RFQs has been set to 60 seconds.
| Subscriptions