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Exchange Information

Location

The Brazilian Mercantile & Futures Exchange (BM&F) is based in São Paulo, Brazil. It was incorporated in July 1985 as a not-for-profit organization and began its operations for trading on January 31, 1986. In May 1991 it merged with the São Paulo Commodities Exchange (BMSP) which was founded in October 1917.On May 8, 2008, shareholders approved merger plans between the BM&F and Bovespa to create BM&FBOVESPA S.A. (BVMF), the world’s third largest exchange by market value. BM&FBOVESPA offers customers access to trading stocks, currencies, commodities, and futures on one exchange.

Matching Engine

BVMF provides matching via their Platform Unified Multi Asset-class (PUMA) electronic trading platform and matching engine based on the CME Globex platform. The PUMA matching engine is located in São Paulo, Brazil.

Matching Algorithms

BVMF matches orders by price/time priority. Lower offer prices take precedence over higher offers prices, and higher bid prices take precedence over lower bid prices. If there is more than one bid or offer at the same price level, earlier bids and offers take precedence over later bids and offers, respectively.

Under price/time priority of orders, a bid is filled at the best price by the earliest entered offer at that price. If additional contract units are needed to fill the bid, then the next oldest offer at that price is matched until all of the liquidity at that price has been exhausted. Matching begins at the next best price until the order is completely filled.

Supported Products

Futures and options on all exchange derivative and equities products are supported by the gateway. Traders connecting to BVMF via the BVMF Gateway have access to the following product categories:

  • Cash, Forwards, and Options for Bovespa equity products
  • Interest Rate (e.g., One Day Interbank Deposits (ID) Futures and Options (DI1))
  • Foreign Exchange (e.g., US Dollar Futures (DOL))
  • Index (e.g., Ibovespa Index Futures and Options (IND))
  • Agricultural Commodity (e.g., Arabica Coffee Futures and Options (ICF))
  • Energy (e.g., US Dollar-denominated Ethanol Futures (ETN))
  • Gold (e.g., Futures and Options (OZ1))
  • Rollover Products (e.g., Ibovespa Rollover (IR1), Dollar Rollover (DR1))

Rollover Futures

The BVMF Rollover products are treated as Futures spreads by the BVMF Gateway. Because the exchange does not provide leg fills, the Order Server creates synthetic leg fills using artificial prices for both legs so that the difference between them equals the traded spread price. However, the overall P&L across both legs and positions in the rollover legs are accurate.

Note

The Gateway lists calendar spreads using the product codes of the legs, which are different than the product codes of the Rollover Futures listed by the exchange. The table below shows the BVMF product codes of the Rollover Futures and the corresponding TT product codes of the spreads that are displayed in TT client applications.

Rollover Product Codes
ExchangeTT
BR1 BGI (Live Cattle)
CRIICF (Arabica Coffee)
DR1DOL (US Dollar Futures)
IR1IND (Ibovespa)
MR1CCM (Cash-Settled Corn)
MSR1SOJ (Soybean)

Unsupported Products

The BVMF Gateway currently does not support the following BVMF products:

  • Spot market products (e.g., Gold, US Dollar)
  • Forwards (e.g., Gold (OZ1) forwards)
  • Volatility options (VCA, VF1, VF2, VF3, VF4, VID, VOI, VTC)
  • Forward Rate Agreement on the ID x US Dollar Spread (FRC)
  • Forward Rate Agreement on IGP-M futures (FRG)
  • Forward Rate Agreement on IPCA (FRI)
  • Forward Rate Agreement on the ID x IGP-M Spread (FRM)
  • Fixed income products
  • Security lending contracts (BTC)

Supported Exchange Functionality

TT supports the following exchange functionality that is critical to current BVMF traders:

  • Counterparty identification
  • Auctions
  • Imbalance quantities
  • 50 levels of detailed depth (Market-By-Order view) and 20 levels of aggregate depth (Market-By-Price view)
  • Number of orders at each level of aggregate depth
  • Cross Orders
  • Market on Auction
  • Resting Market orders
  • Cancel on Disconnect
  • Implied pricing for derivatives products (the Exchange does not support implied prices for equities).

Unsupported Exchange Functionality

The BVMF Gateway currently does not support selecting and overriding the default clearing firm, which is the same as the Entering firm for order actions. Other exchange functionality that is not supported includes:

  • Strategy creation
  • Termo trades
  • Self Trading Prevention (AOTC is available per user in X_TRADER®)

TT Client Dependencies

Traders can make use of TT’s full suite of trading products to participate in the BVMF market. To make full use of the exchange functionality supported by the BVMF Gateway, you will need to upgrade to the following minimum TT Client versions in your trading environment:

  • X_TRADER® 7.11.1
    Note

    X_TRADER 7.9.4 supports basic trading but does not provide any BVMF-specific functionality.

  • X_TRADER® API 7.7.4
  • FIX Adapter 7.7.2
  • TT User Setup 7.4.2

PFX Product Dependencies

BVMF Gateway 7.15.0 operates in PFX-mode only. As a result, all TT Trading Applications that receive prices from this Gateway must meet the minimum version requirements listed below.

Note

To achieve optimal performance and reliability, TT recommends that you install the most current production release available for each of the products listed in this section.

PFX-Capable Client Applications
Client ApplicationsAvailability
X_TRADER® 7.6.1Released
X_TRADER API 7.5.0Released
FIX Adapter 7.5.0Released
Price Proxy 7.1.0Released
X_STUDY® 7.2.2Released
X_RISK® 7.4.0Released
FMDS 7.4.3Released
Autospreader® SE 7.0.0Released

For a description of the PFX price delivery architecture, refer to the TT Gateways Architecture System Administration Manual.

Exchange Risk Management Tool

GTS-LiNe is an optional risk management tool provided by the exchange. Brokerage firms use GTS-LiNe to check risk on a per order basis. If the tool detects that an order will cause a DMA trader to exceed their risk limits, the order will be rejected. However, use of this tool may introduce order latencies.

TT Terms

The following TT terms are used to describe exchange functionality:

  • Detailed Depth: refers to Market by Order. When the term “detailed depth” is used in this manual, it refers to the Market by Order view of market data displayed in X_TRADER®.
  • Aggregate Depth: refers to Market by Price. When the term “aggregate depth” is used in this manual, it refers to the Market by Price view of market data displayed in X_TRADER®.
  • Session ID: referred to as SenderComp ID by BVMF.

Trading Hours

Trading hours vary per product at BVMF, so you will have to contact the exchange for the exact trading hours and market states for specific products.

Market States

The following table describes the BVMF market states.

BVMF Market States
Exchange Market StateDescription
Pre-Open Auction

Order Entry: Traders can enter and change orders, but no matching occurs. Resting Market (Market on Auction) and Limit orders are accepted. Orders used for calculating the Theoretical Opening Price (TOP) cannot be deleted during an auction, but can be changed if it improves the price/quantity in the market.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the BVMF Gateway sends as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity, and an Imbalance Quantity that the gateway also sends to X_TRADER®, where it is displayed in the ImbQty column in the Market Grid.

State Changes: Occurs at the start of the trading day.

Open

Order Entry: Normal order entry and matching occurs.

Market Data: All filled orders update Last Traded Price and Last Traded Quantity. In addition, only prices in the Open state affect the High/Low prices for the trading day. Resting market and limit orders are matched at the price calculated by the exchange when the market moves from Pre-Open to Open.

State Changes: Remains Open until Pre-Close Auction state prior to Close.

Auction and Pre-Close Auction

Order Entry: Same as Pre-Open auction. Traders can enter and change orders, but no matching occurs. Resting Market (Market on Auction) and Limit orders are accepted. Orders used for calculating the Theoretical Opening Price (TOP) cannot be deleted during an auction, but can be changed if it improves the price/quantity in the market.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange sends a Theoretical Opening Price (TOP) that the BVMF Gateway lists as the Indicative Open Price, a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity, and an Imbalance Quantity that the gateway sends to X_TRADER, where it is displayed in the ImbQty column in the Market Grid.

State Changes: Occurs intraday (e.g., intraday auction or volatility interruption in the market). Pre-close occurs prior to Close.

Pre-Close

Order Entry: No order actions (enter, modify, cancel) are accepted and no matching occurs. However, if an Auction occurs, users can enter Market on Close as well as Market on Auction orders. If a contract enters the Paused state (displayed as FRZ in X_TRADER) during Pre-Close, users cannot place or change resting orders for this contract but can delete them.

Market Data: The daily closing price is the price at which the greatest possible volume can be matched in the respective contract.

State Changes: The trading period ends during Pre-Close, then moves to Closed before the Exchange’s post-trading period. Auctions may occur during Pre-Close.

Close

Order Entry: No order actions (enter, modify, cancel) are accepted and no matching occurs.

Market Data: No market data provided until the post-trading period and Pre-Open of the next trading session.

State Changes: Occurs after Pre-Close and before Pre-Open.

Display of Pre-Close Market State in X_TRADER®

Contracts for products in the Pre-Close state are displayed as CLSD (Closed) in X_TRADER®. However, Pre-Close market data updates from the exchange are processed and displayed correctly for these contracts, and all order actions (enter, modify, cancel) allowed by the exchange during this phase are supported by the BVMF Gateway.

During Pre-Close, the BVMF Gateway displays the market state of each product group but also distinguishes individual contracts that may change instrument states within the group. When this occurs, the gateway recognizes the instrument state change and forwards it to X_TRADER, which displays it in the S column per contract in the X_TRADER Market Grid. Any order actions or order types (e.g., Market on Close orders) allowed by the exchange for this contract during Pre-Close are supported by the gateway.

For example, if the DDI product group is displayed as CLSD during Pre-Close, but the DDI Jan12 contract moves to an Auction, X_TRADER displays AUCT in the S column. The gateway then supports all order actions allowed by the exchange based on BVMF auction rules.

The BVMF Gateway distinguishes contracts in the Paused and Reserved states during Pre-Close, and sends these to X_TRADER where they are displayed as FRZ (Frozen) and AUCT (Auction) respectively. Please refer to the following table for how instrument states are displayed by TT software during Pre-Close.

BVMF Pre-Close Instrument States Displayed in X_TRADER
BVMF Instrument StateDisplayed in X_TRADER as...
PAUSEDFRZ (Frozen)
RESERVEDAUCT (Auction)
FORBIDDENCLSD (Closed)
CLOSEDCLSD (Closed)

For more information about BVMF market data and order book information displayed in X_TRADER, refer to the BVMF on X_TRADER® 7.11.x Setup Guide.