Presentation is loading. Please wait.

Presentation is loading. Please wait.

Chicago – July 30 & 31, 2007 New York – August 1, 2007 London – August 7, 2007 Electronic Trading Customer Forum.

Similar presentations


Presentation on theme: "Chicago – July 30 & 31, 2007 New York – August 1, 2007 London – August 7, 2007 Electronic Trading Customer Forum."— Presentation transcript:

1 Chicago – July 30 & 31, 2007 New York – August 1, 2007 London – August 7, 2007 Electronic Trading Customer Forum

2 2

3 3 Creating Value CME Group will create very significant benefits for market participants with the unification of CME’s and CBOT’s Complementary product bases Electronic markets on CME Globex Trading floors at the CBOT Customer service Market rules and regulations (harmonized where possible) Membership and registration services and systems

4 4 Benefits of unifying electronic markets A single e-trading platform One connection Broader distribution and user base Superior performance and speed Excellent reliability One development effort and cost Single contact for customer service Flexibility of network options Direct connectivity 6 global hubs LNet (Co-lo) - Dark fiber connection to exchange network that eliminates latency in telecom transport to firm’s network With the unification of electronic markets on CME Globex, CBOT market participants will retain the functionality they use today and will benefit from: Control over own infrastructure No exchange server required on firms’ premises Policy and rule harmonization Messaging policy Error trade policy Market data policies Faster, more timely market data Real-time, straight from the engine FIX/FAST – new standard, less bandwidth required Improved risk management FirmSoft TeleSTAT Drop Copy (Q4)

5 5 Migrating with you to CME Globex CME Group will work closely with customers and service providers to migrate CBOT products to CME Globex, addressing: Access Enhancements to support CBOT products Certification Customer and market support Mock trading Decommissioning e-cbot

6 6 Code available in New Release Environment August e-cbot products migrate to CME Globex Jan ‘08 CME floor migration to CBOT Q2 ‘08 Mock Trading Sessions begin December Deadline to order new connections September Merger Customer Forums July/Aug Timeline for unifying markets Key customer action dates: August 2007 - Review client impact and FAQ documents August 2007 – Connect to New Release environment September 4, 2007 – Order any new U.S. connections or upgrades – International lines should be ordered as soon as possible End of November 2007 – Test and deploy software – If CME Globex Trader user, identify alternative access method by end-November Early December 2007 - Mock trading begins January 2008 – Planned production launch over two weekends

7 7 CME Globex Access Customer System Impacts Functionality Enhancements Certification Environments Connectivity to Certification Environments Market Operations Transition Contacts & Resources Summary of Next Steps for Firms Agenda

8 8 CME Globex Access: Connectivity Connectivity Existing e-cbot connections will not be usable for CME Globex – No new e-cbot connection orders will be accepted CME US connection options: DIRECTLink, Client DIRECTLink, Client INTERNETLink, LNet – Deadline for ordering new U.S. connections – September 4, 2007 International Hubs: London, Paris, Dublin, Amsterdam, Milan, Singapore Connectivity links – Documentation at www.cme.com/networkaccesswww.cme.com/networkaccess – Pricing at www.cme.com/accessfeeswww.cme.com/accessfees Bandwidth for CME Globex data 2007 & 2008 recommendations Futures only: 20 mbps Futures and options: 40 mbps Includes CME, Nymex, CBOT and Hosted Exchanges Note: Based on internal CME testing, migration to the new FIX/FAST market data format will result in up to 75% less bandwidth utilization. This savings is not included in the above estimates. Network connectivity to CME Globex may need to be established or enhanced before CBOT products migrate in Q1 2008

9 9 CME Globex Access: iLink Session IDs New or additional iLink session IDs may be needed to support trader access to CBOT products iLink session IDs are the logical connections to CME Globex Equivalent of e-cbot “ITMs” For existing connections – Trading firms are responsible for determining the firm’s needs for additional iLink session IDs – December 1, 2007 is the deadline to request new iLink session IDs to be ready upon launch New connections to CME Globex – Will receive new iLink session IDs as required CME Globex Account Management will provide new iLink session IDs

10 10 CME Globex Access Customer System Impacts Functionality Enhancements Certification Environments Connectivity to Certification Environments Market Operations Transition Contacts & Resources Summary of Next Steps for Firms Agenda

11 11 Customer System Impacts: Summary CME Group has enhanced CME Globex to support the critical unique attributes of e-cbot trading. As a result, there are minor changes for system providers Fractional prices – CME Globex continues to use decimals – Three fields in Instrument Creation (MO) market data message can be used to translate to fractional pricing Market data differences – Market depth will be consistent with CME Globex: Futures: 5 deep Options: 1 deep New option strategy types – All existing option types will apply to CBOT products – Plus three new: BX – Box IC - Iron Condor BO – Modified Butterfly – For more information refer to Appendix B and Section 2.3.11 in Client Impact Document

12 12 Customer System Impacts: Summary Option cabinet trades – New Cabinet Price field in the MO market data message which must be referenced when submitting cab orders – Generally CBOT products will clear at a cab price of $1 – Options system providers should certify on this functionality in AutoCert+ Differences in supported order types – Order types and qualifiers will be generally consistent across CME and CBOT products – Primary exception: different market making order type CME Mass Quotes for options No e-cbot Market Making Order type (MMO) Matching algorithms – Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps and LMM – Adding Split FIFO / Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps and LMM Product Codes – Some CBOT product codes will change. See Appendix F of the Client Impact document For details, please see the Client Impact Document at www.cme.com/cbotimpactwww.cme.com/cbotimpact

13 13 Customer System Impacts: Certification Environments Customers and ISVs will be provided with access to two dedicated testing and certification environments: New Release & Certification The Certification environment mirrors the CME production environment The New Release environment has the next software release and new products available for customer testing Both are similar in size and scale to the CME production environment and can be used for development, certification and performance testing – Support straight-through processing from CME Globex to Clearing, so customers can test front-end and back-end systems simultaneously CBOT and CBOT Hosted Exchange (MGEX, KCBOT, WCE) products will be available for testing and certification in the New Release environment on August 12, 2007

14 14 Customer System Impacts: Connectivity to Certification Environments There are several different options to connect to the two new customer testing environments One connection is used for both environments Connectivity options: 1. CERT VPN : available now. No charge for service; hardware is customer responsibility – Functional testing only – Global option 2.Client CERTLink : Global, client-managed option available now in 10 ($1K/month), 20 ($2K/month) and 40 ($4K/month) mbps increments – Option 1: One connection with A & B market data feeds – Option 2: Two connections; one feed each

15 15 Customer System Impacts: Connectivity to Certification Environments 3. CME CERTLink: CME Group-managed Ethernet (applicable to U.S. users only) Option 1: 40 Mbps Ethernet - $3,000 per month – One connection; A & B market data feeds Option 2: Redundant 40 Mbps Ethernet - $5,000 per month – Two connections; one feed each Available to order now; initial installations in early September 4. BT Radianz: available now in U.S. and London; BTR pricing 5. CME London Hub: targeting availability in Q4. Pricing TBA Information on the certification environments for CME Globex is available online at www.cme.com/cert. Pricing for network options is at www.cme.com/accessfees www.cme.com/certwww.cme.com/accessfees Please contact your CME Globex Account Manager to begin the connectivity process

16 16 CME Globex Access Customer System Impacts Functionality Enhancements Certification Environments Connectivity to Certification Environments Market Operations Transition Contacts & Resources Summary of Next Steps for Firms Agenda

17 17 e-cbotCME GlobexFunction Dynamic Price Limits (DPL)Price BandingSame Auto (day) Order Cancel upon disconnectCancel on Disconnect (COD) COD optional by Trader ID/Account combination; must be registered Last ITM Session Logoff; open orders canceled Mass Quote message cancels resting option quotes upon user disconnect FirmSoft, TeleSTAT and the CME Globex Control Center are available options Replacement Trader (Pass the Book)N/AHandled by front-end systems N/AIn-flight Fill Mitigation (IFM) Optional parameter in order message which prevents overfills Stop Price Logic e-cbot host cancels elected stop orders beyond the dynamic price limits. CME halts the market for a period of time. N/AeStop Halts CME Globex options markets and cancels all resting quotes when triggered by Stop Price Logic MMO protections: Delta protections Mass Quote protections: 1) % Quantity filled, 2) absolute quantity 3) fills within time period No MMO on CME Globex; Mass quotes are used for options market makers. Master Trader Mnemonic - ITM granted rights to cancel, revise orders & log out for assigned ITM(s) FirmSoft – web-based risk management tool Similar functionality within FirmSoft with the exception of the “log out” or ”lock out” feature There are some minor differences in market operations between e-cbot and CME Globex Market Ops: Functionality Comparison

18 18 CBOT product trading hours are expanded on CME Globex Earlier Start TimesCurrent (Chicago) New-Chicago New-London New-Singapore Pre-Open Futures5:30 p.m. 5:00 p.m. 11:00 p.m. 6:00 a.m. Open: Financial6:00 p.m. 5:30 p.m. 11:30 p.m. 6:30 a.m. Open: Equities6:15 p.m. 3:30 p.m. 9:30 p.m. 4:30 a.m. Open: Agricultural6:30 p.m. 6:00 p.m. 12:00 p.m. 7:00 a.m. Open: Hosted Exs6:30 p.m. 6:00 p.m. 12:00 p.m. 7:00 a.m. All products within a product group open simultaneously at start of trading period No Pre-Open for Options Note: A complete list of CBOT product trading hours is available in Appendix I of the Client Impact document at www.cme.com/cbotimpactwww.cme.com/cbotimpact Market Ops: Expanded CBOT Trading Hours

19 19 Production SupportDevelopment SupportAccount SupportTrading Support Tools CBOT CBOT Market Operations 312-347-4600 AEMS Technical Support 011 44 20 7655 7111 Key Account Managers 312-341-7922 eFills CME GCC 312-456-2391 CSET 312-930-2322 CME Globex Account Management 312-634-8700 +44.20.7796.7100 +852.3101.7696 FirmSoft TeleSTAT e-cbot support continues in place until all CBOT electronic products are fully operational on CME Globex CME Globex support is effective upon launch for CBOT products – CME Globex Control Center (GCC) – FirmSoft (www.cme.com/firmsoft) – TeleSTAT (www.cme.com/telestat) Market Ops: Trading Support

20 20 CME Globex Access Customer System Impacts Functionality Enhancements Certification Environments Connectivity to Certification Environments Market Operations Transition Contacts & Resources Summary of Next Steps for Firms Agenda

21 21 e-cbot will be decommissioned after all CBOT products are operational on the CME Globex platform Estimated first quarter 2008 – Specific information about the e-cbot decommission plan will be disseminated at a later date 2007 e-cbot Connection Charges – Recoverable based on 2007 e-cbot volume – Charges will be administered to all applicable firms 2008 e-cbot Connection Charges – To be determined – After CBOT migration to CME Globex, CME Pricing will apply No offset via minimum annual volume Transition: e-cbot Decommission & Connection Charges

22 22 Transition: User Registration Firms should use CME Schedule 3 & 4 to establish new GCC Registered Contacts GCC Contacts are individuals registered by clearing firm administrators to contact the GCC – CME will now allow firms to register individuals at a TraderID and Account level. Currently individuals can only be registered at the TraderID level – Upon request, CME and CBOT may provide data to help firm admins identify gaps between current CME GCC Registered Contacts and CBOT Responsible Parties – Registered Contacts will automatically receive GCC Targeted Messaging alerts & other GCC communications – We request that all GCC registration is completed by December 15, 2007 TeleSTAT registration is also available for traders using a single account via the Schedule 3 & 4

23 23 Transition: Clearing Mapping & Hosted Exchanges Clearing Firms will need to confirm clearing numbers for all new exchanges on CME Globex New Hosted Exchanges supported: – Minneapolis Grain Exchange (MGEX) – Kansas City Board of Trade (KCBT) – Winnipeg Commodity Exchange (WCE) Must have specific trading rights to the hosted exchange Each CME TraderID will have to be mapped to define CBOT and hosted exchange clearing relationships – CME will provide a template and legal agreement for each firm to use to define these relationships Complete by December 1 to ensure proper clearing relationships are established Contact GAM/KAM to establish mappings via a Schedule 6, Appendix B Example:

24 24 For Customers: Participation in at least one mock trading session is mandatory Begins in early December and continues into January Specific dates will be provided closer to launch Five Proposed Saturdays: December 1 December 15 January 5 January 12* January 26* * Launch weekends CME will: Issue test scripts for trading sessions Provide a conference bridge for participants A free-swim time will be provided for testing Disseminate production market data at high mps rates Transition: Mock Trading Multiple mock trading sessions will be conducted for all production connections prior to launch

25 25 Transition: Migration of e-cbot GTC & GTD orders The migration of CBOT products will occur over two weekends Firms must enter e-cbot GTC and GTD orders into CME Globex prior to each conversion weekend – Users can enter, modify, or cancel orders while market is closed during the below timeframes – GTCs may be entered outside of daily price limits Launch weekend 1 (January 11-13) – Agriculture products, Equity products, Hosted Exchanges – Timeframe 1:Friday 1:30 p.m. – 6:00 p.m. – Timeframe 2: Sunday 3:00 p.m. – market opening Launch weekend 2: (January 25-27) – Interest Rate Products – Timeframe 1:Friday 1:30 p.m. – 6:00 p.m. – Timeframe 2: Sunday 3:00 p.m. – market opening

26 26 Transition: Trading Policies Market Regulations CBOT and CME will maintain separate rulebooks Regulatory policies will be harmonized in phases Error Trade Policy CME’s error trade policy, Rule 588, will be used for all products on CME Globex – Primary difference is handling of option error trades. CME is will modify Rule 588 to allow for the adjustment of option error trades Messaging Policy The CME Globex Messaging Policy will be used for CBOT products once migrated – The current e-cbot product benchmarks will be used for the first quarter 2008 Market Data Policies Schedule 7 of the CME Connection Agreement applies for both exchanges’ Globex (trading) data Per CME policy, all connected entities report number of Globex fee-waived market data users quarterly via COWS – Firms should continue current reporting of e-cbot market data usage until Q1 of 2008 – After launch of CBOT products on CME Globex, all connected entities will report on both exchanges quarterly via COWS Market data usage not meeting all criteria for the Globex market data fee-waiver will require execution of the CME Information Distribution License Agreement CME and CBOT policies will be harmonized wherever possible

27 27 Transition: Trading Policies Tag 50 (SenderSubID) CME requirement: All individuals and trading algorithms must be uniquely identified within a Clearing Firm in FIX TAG 50  CME Group fee staff will work with Clearing Firm back office administrators in this transition process by:  Creating an automated file transfer of all CBOT individual user IDs into CME’s fee system on November 1  Providing a facility to view, update, and/or register TAG 50 information via CME Group’s Exchange Fee System Registration screens to ensure fees are accurately applied  Providing reports noting which Tag 50 values are unregistered and/or duplicated  Clearing Firm administrators will have two months to review and correct user registrations prior to the launch of CBOT products on CME Globex  Fee Customer Awareness Team Forum will be held in August to go over Fee Integration Plans  For further questions with the fee registration process, please contact the CME Group Fee Hotline at 312.648.5470 or efsadmin@cmegroup.comefsadmin@cmegroup.com CME and CBOT policies will be harmonized wherever possible

28 28 Agenda CME Globex Access Customer System Impacts Functionality Enhancements Certification Environments Connectivity to Certification Environments Market Operations Transition Contacts & Resources Summary of Next Steps for Firms

29 29 Contacts & Resources CME Globex Account Management globexaccountmanagement@cme.com Chicago office: +1 312 634-8700 London office: +44 20 7796 7100 Hong Kong office: +852 3101 7696 CBOT Key Account Management electronic_trading@cbot.com Chicago office: +1 312 341-7922 CME Development Support: Customer Support for Electronic Trading Group (CSET) Central Time 1:00 a.m. – 5:00 p.m. (European & U.S. business hours) +1 312 930-2322 csetgroup@cme.com Resources: CME Globex development documentation: iLink: www.cme.com/ilinksdkwww.cme.com/ilinksdk Market Data Platform: www.cme.com/mdpsdkwww.cme.com/mdpsdk This presentation will be available online at www.cme.com/customerforumwww.cme.com/customerforum Client Impact Document available now at www.cme.com/cbotimpactwww.cme.com/cbotimpact FAQ available at: www.cmegroup.com/files/faq.pdf www.cmegroup.com/files/faq.pdf

30 30 Next Steps for Firms Review Client Impact and FAQ documents Establish connectivity to New Release environment (if applicable) Coordinate with GAM/KAM to ensure CME Globex connectivity in place U.S. order or upgrade deadline September 4, 2007 Consult with ISV or application developer to ensure CBOT / CME Globex software readiness and deployment Prior to mock trading sessions start in December 2007 Clearing Firms ensure clearing mapping is complete for CBOT and hosted exchanges by December 1 Submit all iLink ID requests to GAM by December 1 Complete all GCC user registrations by December 15 Uniquely identify all individuals and algorithms within each clearing firm in FIX tag 50 Prior to mock trading sessions start in December 2007 Participate in at least one mock trading session

31 31 Next Steps for System Providers If not certified to CME Globex, begin process now at www.cme.com/globexsdkwww.cme.com/globexsdk Contact CME Globex Account Management Review Client Impact and FAQ documents Establish connectivity to New Release environment for development, testing and possible certification New system providers must certify on iLink and MDP All options system providers should certify on Cabinet pricing If needed, coordinate with GAM/KAM to ensure CME Globex connectivity in place U.S. order or upgrade deadline September 4, 2007 Ensure software readiness and customer deployment Prior to mock trading sessions start in December 2007 Coordinate with Clearing Firms to ensure all individuals and algorithms are uniquely identified within each clearing firm in FIX tag 50 within your system Prior to mock trading sessions start in December 2007

32 32 Questions?

33 33 Appendix A: Customer System Impacts Fractional Price Support All CME Globex inbound and outbound messages will continue to be in decimal format (including fractions) All orders for products with fractional ticks must be submitted as decimals Conversion will be necessary to display quotes and orders as fractions Leverage three fields in the Instrument Creation (MO) message to handle decimal to fractional conversion – Tick Display Format – Number of Decimals in Displayed Price – Display Conversion Factor Note: ITC2 will publish fractional prices in fractional format Refer to Section 3 in the Client Impact document for detail 11/21/41/81/161/321/64Half 1/32Quarter 1/32Half 1/64 CME Globex continues to use decimals but also supports the translation to these fractional prices:

34 34 Appendix A: Fractional Pricing CME Globex uses decimal format e-cbot communicates prices in raw tick format System providers may translate decimal prices into fractions for GUI display purposes using MO message Three different fields to use within the MO or Instrument Characteristics RLC market data message: Position 572-573, Tick Display Format, provides a code to identify the fractional format for a given instrument (e.g., 32nds) Position 574-575, Number of Decimals in Displayed Price, identifies the number of decimals in the price sent by CME Globex for a given instrument Position 878, Display Conversion Factor, identifies how that price can be displayed on the GUI (e.g., Eurodollar futures display as 94.6050 but are sent as 9460.50)

35 35 Appendix A: Fractional Pricing Example CME Globex decimal price: 102.7109375 (for a product with a price of 102 points 22¾ 32nd) Apply the Tick Display Format set to "EQ" (implies a denominator of ¼ 32nds) 0.7109375 * 32 = 22.75 Price converts to 102.2275 Apply the Number of Decimals in Displayed Price set to "03" Price converts to 102.227 Apply the Display Conversion Factor set to "1" Price remains 102.227 (or may be displayed as 102'227)

36 36 Appendix A: Customer System Impacts Cabinet Trades & Prices A Cabinet (Cab) Trade is an option trade in a far out-of-the-money option whose value is below the minimum tick CME Globex will utilize the new Cabinet Price field in the MO market data message which must be referenced when submitting cab orders All CBOT cabinet options will clear at a price of $1.00 EXCEPT – when submitting orders for 30-Day Fed Funds options and Soybean Oil options when the Price must be entered as 0.00 Previously the Low Limit field in the MO message was used to transmit cabinet prices With January production launch, will contain the actual daily low limit value CME Globex is using a new reference field for Cab Prices

37 37 Appendix A: Customer System Impacts CME Globex Order Types & Qualifiers CME Globex Order TypesCBOT FuturesCBOT Options Stop with ProtectionYN Stop-LimitYN LimitYY Market-LimitYY Market with ProtectionYN CME Globex Order QualifiersCBOT FuturesCBOT Options DayYY SessionYN Fill and Kill (FAK)YY Fill or Kill (FOK)YN Good Till Day (GTD)YY Good Till Cancel (GTC)YY Unsupported Order Types: Futures and Options CMO - Contingent Multiple OrdersIntercommodity Spread Orders for financials Clip OrdersDelta Protection MOO - Market on OpenMMO – Market Making Orders Order types and qualifiers will be generally consistent across CME and CBOT products

38 38 Appendix A: Customer System Impacts Market Making Order Type CME Globex utilizes the Mass Quote message to facilitate efficient quote submissions Currently used only for options Only exchange-approved market makers are enabled to use the Mass Quote Message for submitting orders and quotes into CME Globex The e-cbot MMO order type is not supported by CME Globex If you use MMO and are not an exchange-approved market maker, your application must be changed to use standard order types CME Globex uses a different MM order type than e-cbot

39 39 Appendix A: Customer System Impacts Matching Algorithms 1.Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps On e-cbot: “Priority Pro-Rata with Min & Max Volume Caps” 2.Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps and LMM On e-cbot: “Priority Pro-Rata with Min & Max Volume Caps with Preferencing” Note: LMM preferencing (i.e., % allocation) may not apply for the entire trading session. May vary by product/program. 3.Split FIFO / Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps and LMM After TOP and LMM orders satisfied remaining matched FIFO / Pro-Rata Full details regarding applicable algorithms can be found in Appendix E of the Client Impact document CME Globex will support the following new algorithms for CBOT products

40 40 Appendix A: Customer System Impacts Matching Algorithms Order of Match Operation - If Applicable New Algorithms on CME Globex for CBOT productsTop*LMM*FIFOPro-Rata Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps1NA 2 Pro-rata with TOP Order % Allocation with Minimum/Maximum Volume Caps and LMM 12NA3 Split FIFO/Pro-Rata with Min & Max Volume Caps and/or TOP and/or LMM1234 Refer to Appendix E in Client Impact document for complete details *If criteria are satisfied The table below details processing of the three new matching algorithms

41 41 Appendix B: Supported Spread/Strategy Types Futures DescriptionCode Futures CalendarSP CME Equity Futures CalendarEQ CME FX, GSCI and GSCI ER Futures CalendarFX CME HICP and CPI Futures CalendarEC Futures PackPK Futures Pack SpreadPS Futures Pack ButterflyPB Futures BundleFB Bundle SpreadBS Futures HorizontalHZ ButterflyBF Double ButterflyDF Futures CondorCF Month vs. PackMP Futures InterCommodityIS Futures StripFS NYMEX 1:1 CrackC1 COMEX SilverRT Options DescriptionCode StrangleSG VerticalVT HorizontalHO ButterflyBO StraddleST CondorCO Xmas TreeXT StripSR GenericGN Risk ReversalRR Horizontal StraddleHS DoubleDB Conditional CurveCC Straddle StripSS 3-Way3W 1 x 2 ratio12 1 x 3 ratio13 2 x 3 ratio23

42 42 Appendix C: Proposed CBOT Trading Hours Agricultural Products

43 43 Appendix C: Proposed CBOT Trading Hours Financial Products

44 44 Appendix C: Proposed CBOT Trading Hours Equity Products

45 45 Appendix C: Proposed CBOT Trading Hours Hosted Exchange Products

46 46 Appendix D: CBOT Product Codes on CME Globex Equity and Interest Rate

47 47 Appendix D: CBOT Product Codes on CME Globex Agricultural

48 48 Appendix D: Hosted Exchange Product Codes on CME Globex

49 49 Appendix E: Split FIFO/Pro-Rata Example with TOP Minimum TOP Volume = 10FIFO% = 40% Maximum TOP Cap = 100 No LMM Resting Order by time Priority Order Volume Priority Flag LMM Flag Allocation Percentage (Post TOP/LMM/FIFO Allocation) Priority Volume Allocated LMM Volume Allocated FIFO Volume Allocated Pro Rata Volume Allocated Total Volume Allocated 1150Y01000500150 250000 0 32000.23100204262 45000.641000115 51000.12800023 400 Incoming Order to sell 400 contracts to resting bids is allocated as follows: 1.Priority allocation to TOP order of 100 contracts (Maximum Allocation) 2.No LMM order allocation (No designated LMM orders) 3.FIFO allocation based on remaining 300 contracts (300*.4) for 120 contracts 4.Pro Rata allocation on the remaining 180 contracts

50 50 Appendix E: Split FIFO/Pro-Rata with Maximum and Minimum TOP and LMM Minimum TOP Volume = 10FIFO %=40% Maximum TOP Cap = 100LMM % = 6% (Order 2) Resting Order by time Priority Order Volume Priority Flag LMM Flag Allocation Percentage (Post TOP/LMM/FIFO Allocation) Priority Volume Allocated LMM Volume Allocated FIFO Volume Allocated Pro Rata Volume Allocated Total Volume Allocated 1150Y0.0001000500150 250Y0.00001832050 32000.22000313970 45000.650000109 51000.13000021 400 Incoming Order to sell 400 contracts to resting bids is allocated as follows: 1.Priority allocation to TOP order of 100 contracts (Maximum Allocation) 2.LMM allocation of 6% of remaining 300 incoming contracts 3.FIFO allocation based on remaining 282 contracts (282*.4) for 113 contracts 4.Pro Rata allocation to for remaining volume of 169 contracts

51 51 Appendix E: Split FIFO/Pro-Rata with LMM Minimum TOP Volume = NoneFIFO %=40% Maximum TOP Cap = NoneLMM % = 6% (Order 2) Resting Order by time Priority Order Volume Priority Flag LMM Flag Allocation Percentage (Post TOP/LMM/FIFO Allocation) Priority Volume Allocated LMM Volume Allocated FIFO Volume Allocated Pro Rata Volume Allocated Total Volume Allocated 11500.000001500 250Y0.0300241833 32000.24200054 45000.606000136 51000.12100027 400 Incoming Order to sell 400 contracts to resting bids is allocated as follows: 1.LMM allocation of 6% for 24 contracts 2.FIFO allocation based on remaining 376 contracts (376*.4) for 151 contracts 3.Pro Rata allocation for remaining volume of 225 contracts

52 52 Appendix E: Split FIFO/Pro-Rata with Maximum and Minimum TOP Minimum TOP Volume = 10FIFO %=40% Maximum TOP Cap = 100LMM % = None Resting Order by time Priority Order Volume Priority Flag LMM Flag Allocation Percentage (Post TOP/LMM/FIFO Allocation) Priority Volume Allocated LMM Volume Allocated FIFO Volume Allocated Pro Rata Volume Allocated Total Volume Allocated 150.00000505 2500.00000500 32000.1370010534139 45000.719000172 51000.14400034 400 Incoming Order to sell 400 contracts to resting bids is allocated as follows: 1.No Priority allocation given due to Minimum volume parameter 2.FIFO allocation based on 400 contracts (400*.4) for 160 contracts 3.Pro Rata allocation to for remaining volume of 240 contracts


Download ppt "Chicago – July 30 & 31, 2007 New York – August 1, 2007 London – August 7, 2007 Electronic Trading Customer Forum."

Similar presentations


Ads by Google