3.2.1                    Introduction

As a precaution against manifest error in the submission of orders, and to maintain market integrity, LIFFE CONNECT^® provides price limit functionality for each product month/series and will reject attempts to enter orders into the central order book which breach these price limits. In the event of an outer price limit breach, the Trading Host will send a message to the Client Application indicating the reason for the order rejection.

Price limits only apply during the Open period (also Pre-Open for futures) and are calculated throughout the trading day based upon prevailing market prices. Price limits will only be adjusted in response to the generation of a new reference price, which may be manually amended, if deemed appropriate by Market Operations.

The price limit for bids is the 'allowed spread' greater than the reference price, while the price limit for offers is the 'allowed spread' lower than the reference price. If a bid or offer is entered at a price outside these limits the order will be rejected.

LIFFE CONNECT calculates Inner and Outer Price Limits. The Inner price limits for futures are defined as the Indicative Market Price +/- the outright inner price limit, which is a configurable value. The inner and outer price limits for options are calculated on the Options Pricing system (see 3.5 Options Price Limits).