Order-to-Trade Ratio
Eurex has recalibrated the Order-to-Trade Ratio (OTR) with effect from 1 January 2021. Main changes compared to the OTR regime until December 2020 are the newly calibrated parameters as well as the provision of intraday periods.
The limits for the volume-based OTR are set on the ratio between volume of all order-entries (ordered volume) to the trading volume per product and per day generated by orders and quotes sent by the participants to T7. The limits for the transaction-based OTR are set on the ratio between number of all order entries (number of orders) to the number of trades per product and per day generated by orders and quotes sent by the participants to T7. For the calculation of the ordered volume (respectively the number of orders), all types of orders and/or quotes are considered. This includes any/all of the following: add, modify and delete. For the calculation of the traded volume (number of trades), all executions are taken into account. Please note, the aforementioned metrics are calculated per trading day, product and per participant.
The limits are defined based on the product type. For some products with a different behaviour, the limits are modified by a product specific factor. In case a participant fulfilled the Minimum Quotation Requirements, the limits will be increased considering the quotation performance.
At the end of a day, if the value of an OTR for a particular product for a particular participant is greater than a pre-defined limit, such instance is considered a violation. A violation may trigger sanctions against the participant.
The TR100 report is published on a daily basis. Intraday versions are available as well. With the intraday reports, Participants have access to preliminary values of the OTRs as well as the respective limits during the day. The intraday versions of the report are published every 30 minutes, starting at 1:30 CET and ending at 21:30 CET (intraday versions of OTR reports for T7 FX are published from 0:30 to 22:30 CET). The final conclusion on whether the OTR is violated can be drawn only at the end of a day.
