With Passive Liquidity Protection (PLP), Eurex aims to further improve the liquidity picture and price discovery process of the order book where price discovery is significantly driven by underlying or exogenous markets. In such specific products, trading participants providing passive liquidity to the order book need to spend a high amount of resources to prevent adverse hits in case of short-term underlying movements. As a result, they may even refrain from quoting in the order book and only provide liquidity off-book. By differentiating latency in selected option markets, we ensure that trading participants can strengthen their focus on serving the needs of the end-clients and grow the market as a whole.
On this site, Eurex will provide information updates in order to support adequate planning and to ensure a successful introduction for PLP. For further information about the PLP market model, please refer to this website: www.eurexchange.com > Trading > Market-models > Eurex PLP.
Software implementation: 3 December 2018
Production start: 27 May 2019 for all FX products listed at T7-FX
Production start: 3 June 2019 for German and French equity Options
With the activation of PLP, all aggressive orders, (orders that are executable upon arrival at the matching engine), will be delayed by a product segment-specific deferral time before they can interact with the order book. The pilot rollout will face the following characteristics:
Go-Live | Product Scope | Deferral Time |
3 June 2019 | All German OSTK incl. weeklies | 1 ms |
3 June 2019 | All French OSTK incl. weeklies | 3 ms |
Key benefits
- PLP addresses the speed disadvantage liquidity providers have in the order book versus certain aggressive super-fast strategies
- Liquidity providers are able to strengthen their focus on the need of the end-clients such as institutional investors
- This helps end investors to find appropriate liquidity and should increase attractiveness of the order book
Technical Impacts / Participation requirements
PLP affects ETI interface, FIX interface, GUIs, and reports (introduced with T7 Release 7.0). For detailed changes, please refer to the Interface Manuals and to the online help in the GUIs.
- T7 ETI Interface (respective FIX and GUI)
- Trading participants will be informed in the response messages when the order arrives in the order book whether their corresponding transaction has been deferred It will not be sent when the deferral starts
- Order Mass Cancellation Response/Notification - Mass Cancellation Response/Notification messages will be enhanced to additionally provide a list of deferred deletion IDs (ETI message sequence number)
- A new value for the quote entry reject reason (tag 368) will be introduced indicating the rejection reason due to potential aggressive behaviour
- Market Data and Reference Data (RDI/RDF)
- The deferral time will be published on instrument level via RDI/RDF
Corresponding Newsflashes
Corresponding Circulars
System documentation: T7 Release 7.0
Passive Liquidity Protection will also be introduced for FX Products. For further details please have a look at the corresponding Eurex Circular 042/19. Eurex will not introduce any further technical changes.
If you have any questions or require further information, please contact us at client.services@eurexchange.com.