Eurex
1. Introduction
As announced in the Eurex Release Notes for T7 Release 11.0, the following functionalities will be activated in Production after the official Release Date:
a. Validation of the Custom Underlying Price in Trade-at-Market (TAM) T7 Entry System (TES) Entries:
b. Introduction of Opening-Auction-Only and Auction-Only Order Types and Activation of Stop Limit Orders for all Futures:
c. Herfindahl-Hirschman Index Indication (HHI) via T7 EOBI:
* The introduction is subject to the approval of a change to the Conditions for Trading at Eurex Deutschland.
Learn now more about T7 Release 11.0 on our dedicated initiative page under the following link: Support > Initiatives & Releases > T7 Release 11.0. System documentation, circulars, timeline and much more information is available there for you.
2. Action required
a. Trading Participants, active in TAM supporting products such as Total Return or Variance Futures, are informed that the entry of the custom underlying price will be validated against a range around the previous day’s underlying closing price of the underlying asset. TES transactions that do not meet this validation will be rejected by the trading system.
b. Trading Participants and vendors who would like to use Opening-Auction-Only and Auction-Only orders are required to amend their system logic respectively. The new valid values for the introduced order types will be reflected in the respective interfaces. Please find further information in the Final Release Notes for T7 Release 11.0, available on above-mentioned initiative page, under Overview and Functionality. Stop Limit Orders are already enabled for specific products and, hence, would not require additional action.
c. Trading Participants subscribing to the EOBI market data feed need to adjust their EOBI logic to be able to consume the HHI-related fields. The intervals for the HHI indicator will be distributed via the reference data interfaces.
3. Details of the initiative
As announced in the Eurex Final Release Notes for T7 Release 11.0, the following functionalities will be activated in Production after the official Release Date:
a. The custom underlying price of all TAM TES trades – either submitted via GUI or via ETI – will be validated against a range around the previous day’s underlying closing price of the underlying asset. If the custom underlying price will be outside this range, the trade entry, modification, amendment or substitution will be rejected. The range will be uniformly set to +/- 5 percent for all products that allow for TAM. This additional validation will be introduced as a safeguard to ensure efficient price discovery.
b. The introduction of the Opening-Auction-Only and Auction-Only order types will take place after the release introduction. With this initiative, limit or market orders may be restricted to participate in scheduled auctions only. Eurex will allow participation in opening auctions only (OAO), closing auctions only (CAO) or both (Auction only, AOO) which will be subject to the respective order restriction chosen. Futures and options with an opening auction may be entered respectively with restriction OAO, futures with a closing auction may be entered with restrictions OAO, CAO or AOO.
All three restrictions can be entered with validity GFD, GTD and GTC given the respective products are already allowed for the respective order validities. Limit or market orders which today may be entered to participate in closing auctions only, i.e. in products enabled for the extended trading hours, will stay enabled for this functionality.
Stop Limit Orders will be enabled for all Futures.
c. The introduction approach of the HHI will take place after the release introduction. As a first step, FGBS will be activated on 12 December 2022. The remaining HHI product scope covers the further liquid Fixed Income futures as well as liquid Equity Index futures. The second activation wave will take place in the course of January 2023 in two additional activation steps starting with the remaining Fixed Income futures. The launch date of the additional activation steps will be communicated by Eurex Newsflashes respectively prior to the activation.
Eurex will provide a synthetic test dataset for Participants being able to prepare their algorithms on the new information. The dataset is planned to be available during the second half of October 2022 via the Market Data & Services web shop and requires a member registration.
The interval limits of the HHI will be announced via Eurex Newsflash together with the publication of the test dataset. In general, the intervals for lower HHI scores will be narrower than the upper intervals.
Further information
Recipients: | All Trading Participants of Eurex Deutschland and Vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration | |
Contact: | client.services@eurex.com | |
Web: | Support > Initiatives & Releases > T7 Release 11.0 | |
Authorized by: | Randolf Roth |
Market Status ⓘ
XEUR
The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.
Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
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