1. Introduction
As already indicated in the Eurex Release Notes for T7 Release 12.0 as well as in Eurex Circular 090/23, the following functionalities will be activated in Production as of 22 January 2024:
- Activation of the enhanced Maximum Order Value functionality
- Amendment of the currently applied exchange limits for order book trading for the Transaction Size Limit functionality (also known as Maximum Order Quantity) as well as for Maximum Order Value
Simulation: 10 January 2024
Production: 22 January 2024
2. Required action
Eurex User Admins of Clearing Members or Trading Participants may take note of the new exchange limits applied for Maximum Order Value and Transaction Size Limits and decide to amend own limits in case needed.
As a reminder, for Maximum Order Value as well as for Transaction Size Limits, always the lowest limit set, either by the exchange, Clearing Member (only for Transaction Size Limits) or Trading Participant, applies as effective limit.
3. Details
Enhanced Maximum Order Value Functionality
With T7 Release 12.0, Eurex has enhanced the Maximum Order Value check that applies for order book trading by linking the exchange-specified limits for each product to the limits set by the Trading Participant for each individual user. Now, both limits will be considered in one enhanced Maximum Order Value check. Effective limits for Maximum Order Value will therefore be the minimum of the user limit provided by the Trading Participants and the limit per product provided by the exchange. In case an order exceeds one or both limits, the order will be rejected with a distinct error message that specifies which limit was exceeded.
The possibility to skip the Maximum Order Value check based on the respective instruction sent via the order layout will continue to be available via a flag. However, this flag does only skip the user limit component provided by the Trading Participant, not the exchange limit. Disregarding of the flag, the exchange limit will be validated.
Amended Exchange Limits for Order Book Trading
With activation of the enhanced Maximum Order Value functionality, Eurex reviewed exchange limits that apply for order book trading, both for Maximum Order Value as well as for the Transaction Size Limits. The new exchange Limits will apply in production environment starting 22 January 2024.
Exchange limits for Transaction Size Limits can be found in the Eurex Admin GUI in the Transaction Size Limit Screen, on the Eurex website www.eurex.com as well as via the Eurex Reference Data API. Also, effective limits for each Trading Participant can be found in the respective Reports RD215 and RD225.
Exchange limits for Maximum Order Value are currently only available via the Eurex Reference Data API and will be set per product based on the respective exchange Transaction Size Limit adjusted by contract sizes, tick value and tick size as well as a product-specific price factor (currency is EUR). Exchange limits for Maximum Order Value will also be made available via Eurex website and the Reference Data Interface in the future.
All updated limits that will apply from 22 January 2024 onwards can be found in the Attachment.
Rejection due to Exchange Limit
Orders exceeding the maximum exchange limit for order book trading for Maximum Order Value or Transaction Size Limit will be rejected automatically by T7.
Upon request of a Trading Participant via Eurex Trading Operations, orders rejected by the exchange limits may, in the individual case, be accepted by the Management Board of Eurex Deutschland. Such a request can be made via the already available Trading-on-Behalf process by contacting Eurex Trading Operations.
Further details on the enhanced Maximum Order Value functionality can be found in the Eurex T7 12.0 Functional Reference Guide on the Eurex website www.eurex.com under the following link:
Support > Initiatives & Releases > T7 Release 12.0 > Overview and Functionality > T7 Release 12.0 Functional Reference
Attachment:
- Maximum Order Limit (.csv)
Further information
Recipients: | | All Trading Participants of Eurex Deutschland and Vendors |
Target groups: | | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination |
Contact: | | client.services@eurex.com |
Related circular: | | Eurex Circular 090/23 |
Web: | | www.eurex.com |
Authorized by: | | Randolf Roth |