CBOT Product Algorithms
Hosted Exchange Product Algorithms
|
Algorithm |
Volume |
||||||
| CBOT Products | Price/Time | Pro-Rata1 | Split FIFO / Pro Rata | Min Volume2 | Max Cap2 | ||
| 30, 10 and 5 Year Treasury Futures |
X
|
---
|
---
|
||||
| 2 Year Treasury Note Futures3 |
|
X
|
1
|
1500
|
|||
| Fed Fund Futures |
X
|
25
|
250
|
||||
| Swap Futures3 |
X
|
25
|
250
|
||||
| 5 & 10 Year Treasury Note and 30 Year Treasury Bond Futures Reduced Tick Spreads |
X
|
1
|
2500
|
||||
| 2 Year Treasury Note Futures Reduced Tick Spreads |
X
|
1
|
1500
|
||||
| Swap Futures Reduced Tick Spreads |
X
|
1
|
500
|
||||
| Treasury and Fed Funds Options and Binary Options on the Target Fed Funds Rate3,4 |
X
|
25
|
250
|
||||
| Swap Options4 |
X
|
25
|
250
|
||||
|
CDR Liquid 50TM North America Investment Grade Index |
X |
1
|
100
|
||||
| BIG Dow DJIA ($25), DJIA ($10) and mini-sized Dow ($5) Futures |
X
|
---
|
---
|
||||
|
BIG Dow DJIA ($25) Futures Reduced Tick Spreads |
X
|
1
|
100
|
||||
| mini-sized Dow ($5) Futures Reduced Tick Spreads |
X
|
1
|
500
|
||||
| DJIA ($10) Options4 |
X
|
25
|
250
|
||||
| mini-sized Dow ($5) Options3,4 |
X
|
1
|
100
|
||||
| Dow US Real Estate Index Futures3 | X |
|
---
|
---
|
|||
|
Dow US Real Estate Index Futures Reduced Tick Spreads3 |
X
|
1
|
100
|
||||
| 100 oz. Gold and 5000 oz. Silver Futures |
X
|
10
|
100
|
||||
| mini-sized Gold and mini-sized Silver Futures |
X
|
1
|
100
|
||||
| 100 oz. Gold and 5000 oz. Silver Options3,4 |
X
|
1
|
25
|
||||
| Ethanol and South American Soybean Futures |
X |
1
|
100
|
||||
| Ethanol Options | X | 1 | 10 | ||||
|
Agricultural Futures (other than SA Soybeans) |
X
|
10
|
100
|
||||
| mini-sized Agricultural Futures | X |
1
|
100
|
||||
| Agricultural Commodity Options4 |
X |
10 |
100
|
||||
| Dow Jones-AIGER SM Commodity Futures3 |
|
X |
10 |
100
|
|||
1 Pro-rata with priority order algorithm with minimum volume and maximum volume cap requirements.
2 Minimum volume requirements and maximum volume caps are only applicable with a pro-rata with priority order algorithm. No levels are set for price and time algorithm.
3 Preferencing functionality will be utilized for mini-sized Dow options, Dow Jones AIGERSM futures, and Dow Jones US Real Estate IndexSM futures. Preferencing functionality will be utilized for 30, 10, and 5 Year Swap Futures 7:20 a.m. to 2:00 p.m. Central Time, Monday to Friday. Preferencing functionality will be utilized for 100 oz Gold Options 7:20 a.m. to 12:30 p.m. and 5000 oz Silver Options 7:25 a.m. to 12:25 p.m. Central Time, Monday to Friday. Preferencing functionality will be utilized for Treasury Bond options, 10-Year Treasury Note options, Five-Year Treasury Note options, Two-Year Treasury Note options, and 30-Day Fed Fund options during extended market hours, from 2:00 p.m. to 7:00 a.m. Central Time, Monday to Friday, and from 6:00 p.m. to 7:00 a.m. Central Time, Sunday to Monday. Preferencing functionality will be utilized for Two-Year Treasury Note futures during extended market hours, from 12:00 a.m. to 7:00 a.m. Central Time, Monday to Friday. Preferencing functionality will be utilized for Binary Options on the Target Federal Funds Rate from 7:00 a.m. to 2:00 p.m. Central Time, Monday to Friday.
4 Delta Neutral (Volatility) strategies will only match on a Price/Time basis, even if the underlying option or future utilizes pro-rata with priority with or without Preferencing.
Hosted Exchange Product Algorithms
|
|
Algorithm |
Pro-Rata |
||
|
|
Price/Time
|
Pro-Rata1 |
Min Volume2 |
Max Cap2 |
|
KCBT Products |
|
|
|
|
|
Hard Winter Wheat Futures & Futures Spreads |
X |
5 |
50 |
|
|
Hard Winter Wheat Options & Options Spreads3 |
X |
5 |
50 |
|
|
Value Line Stock Index Futures & Futures Spreads |
X |
5 |
50 |
|
|
Value Line Stock Index Options & Options Spreads3 |
X |
5 |
50 |
|
|
WCE Products |
|
|
|
|
|
Canola Futures |
X |
5 |
100 |
|
|
Canola Futures Spreads |
X |
5 |
200 |
|
|
Canola Options & Options Spreads3 |
X |
5 |
100 |
|
|
Feed Wheat Futures |
X |
5 |
25 |
|
|
Feed Wheat Futures Spreads |
X |
5 |
50 |
|
|
Feed Wheat Options and Options Spreads3 |
X |
5 |
25 |
|
|
Flaxseed Futures |
X |
5 |
25 |
|
|
Flaxseed Futures Spreads |
X |
5 |
50 |
|
|
Flaxseed Options and Options Spreads3 |
X |
5 |
25 |
|
|
Western Barley Futures |
X |
5 |
100 |
|
|
Western Barley Futures Spreads |
X |
5 |
50 |
|
|
Western Barley Options and Options Spreads3 |
X |
5 |
100 |
|
|
MGEX Products |
|
|
|
|
|
Hard Red Spring Wheat Index Futures & Futures Spreads |
X |
5 |
100 |
|
|
Hard Red Spring Wheat Index Options & Options Spreads3 |
X |
5 |
100 |
|
|
Hard Red Spring Wheat Futures & Futures Spreads |
X |
5 |
100 |
|
|
Hard Red Spring Wheat Options & Options Spreads3 |
X |
5 |
100 |
|
|
Hard Red Winter Wheat Index Futures & Futures Spreads |
X |
5 |
100 |
|
|
Hard Red Winter Wheat Index Options & Options Spreads3 |
X |
5 |
100 |
|
|
Soft Red Winter Wheat Index Futures & Futures Spreads |
X |
5 |
100 |
|
|
Soft Red Winter Wheat Index Options & Options Spreads3 |
X |
5 |
100 |
|
|
National Corn Index Futures & Futures Spreads |
X |
5 |
100 |
|
|
National Corn Index Options & Options Spreads3 |
X |
5 |
100 |
|
|
National Soybean Index Futures & Futures Spreads |
X |
5 |
100 |
|
|
National Soybean Index Options & Options Spreads3 |
X |
5 |
100 |
|
1 Pro-rata with priority order algorithm with minimum volume and maximum volume cap requirements.
2 Minimum volume requirements and maximum volume caps are only applicable with a pro-rata with priority order algorithm. No levels are set for price and time algorithm.
3 Delta Neutral (Volatility) strategies will only match on a Price/Time basis, even if the underlying option or future utilizes Pro-Rata with Priority with or without Preferencing.
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