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Exchange Host and Risk Management Events

Overview

There are many forms of Eurex exchange host and risk management events. Of these events, the Eurex Gateway processes the following:

  • Market Reset Event
  • Market Reallocation Event
  • Stop Button Facility

The Eurex Gateway will perform specific order book management actions for non-persistent orders to handle these events. The following sections describe these actions in detail.

Note

The Order Server places non-persistent orders on hold if the orders a deleted due to an exchange event, Order Server restart, or inactivation of the user by the Eurex clearing system.

Market Reset Event

If a particular product experiences extreme volatility (i.e., dramatic change in price, etc.) or a technical problem on the Eurex back-end that does not affect the execution status of order confirmations, then the exchange may initiate a Market Reset Event.

In this event, the following occurs:

  • The exchange suspends all trading for that particular product.
  • During this period, if a trader attempts to enter an order for a suspended product, the exchange forwards a reject message to the Eurex Gateway.
  • A single Market Reset Event message is sent to the X_TRADER® Audit Trail and to the Order Server log file for the affected product.

    Example Event message from the Exchange in the Order Server log file

    03.11.2011 11:06:23.505 | Eurex-COrderServer/SIM | 12308 | WARNING | 10082385 | Ses.9180 | Ex: Foreign Event Mass Delete -- Deletion of non-persistent objects (Market Reset event) (product: FGTI, member: TRAXV, memberSubGrp: ALL SUBGROUPS, nonPersOrderDelFlag: true, lastEventTrnId: 48270693831955312)

  • Eurex deletes all non-persistent working orders for that product from the exchange.
  • If there are orders for the product affected by the event, the Eurex Gateway places all deleted non-persistent orders on hold in the Order Book for that product. The Order Server logs the following message to the X_TRADER® Audit Trail for each held order:

    Note

    Traders will have to resubmit orders that were placed on hold by the Eurex Gateway during the Market Reset Event.

    Orders that were held prior to the event remain in the held state. If the Order Server is shut down at the time of the Market Reset Event, the non-persistent orders for the affected product are deleted instead of placed on hold when the Order Server restarts. When the Order Server is down, it does not receive the real-time notifications of the Market Reset Event and is unable to initiate the mechanism to place the non-persistent orders on hold.

  • If it was shutdown at the time of the event, the Order Server will inquire the exchange for a Market Reset Event message at startup. If an event occurred, the Order Server broadcasts an event retransmission message to all connected clients via the Audit Trail.

    The following message is also written to the Order Server log file.

    Example Event retransmission message at startup

    03.11.2011 11:37:21.971 | Eurex-COrderServer/SIM | 9284 | WARNING | 10082385 | Ses.9180 | (Event Retransmission) Ex: Foreign Event Mass Delete -- Deletion of non-persistent objects (Market Reset event) (product: FGTI, member: TRAXV, memberSubGrp: ALL SUBGROUPS, nonPersOrderDelFlag: true, lastEventTrnId: 48270694120147200)

    At startup, the Order Server reconciles fills for persistent orders after the Market Reset. No order or fill processing is done for non-persistent orders.

  • Trading resumes as normal.

Market Reallocation Event

If the Eurex back-end system experiences a technical problem that might change the execution status of an order, the exchange automatically sends a Market Reallocation Event message to all Members who have placed non-persistent orders or quotes for the potentially affected product.

The Market Reallocation Event message informs you of the following:

  • The time the market reallocation event occurred.
  • The time up to which all order response information is correct.
  • The time up to which the preliminary execution status of recently entered non-persistent orders or quotes may differ from their final execution status.

During a Market Reallocation Event, the following occurs:

  • The exchange suspends all trading for that particular product.
  • The exchange automatically deletes all non-persistent orders or quotes stored in the order book for that product.
  • A single Market Reallocation Event message is sent to the X_TRADER® Audit Trail and sent to the Order Server log file for the affected product.

    Example Event message from the Exchange in the Order Server log file

    03.11.2011 11:06:23.505 | Eurex-COrderServer/SIM | 12308 | WARNING | 10082385 | Ses.9180 | Ex: Foreign Event Mass Delete -- Deletion of non-persistent objects (Market Reallocation event), check trades (product: FGTI, member: TRAXV, memberSubGrp: ALL SUBGROUPS, nonPersOrderDelFlag: true, lastEventTrnId: 48270693831955312)

  • If there are orders for the product affected by the event, the Eurex Gateway attempts to place all non-persistent orders on hold for that product.
    Note

    Traders will have to resubmit orders that were placed on hold by the Eurex Gateway during the Market Reallocation Event.

  • Because of Market Reallocation, fills that have been generated based on the preliminary execution status of non-persistent orders may be busted due to the final execution status of those orders. To reconcile fills, the Order Server does the following:
    • It maintains a list of unconfirmed fills that it needs to process for Market Reallocation.
    • The Market Reallocation Event messages sent by the exchange host contain a time frame in which the preliminary execution statuses of non-persistent orders are affected. Trades of non-persistent orders that are executed within that time frame are considered busted.
    • After receiving the Market Reallocation Event messages, the Order Server processes the list of unconfirmed fills based on the non-persistent orders that were preliminarily executed during that time frame, and writes busted trade messages to the X_TRADER Audit Trail.

    Example Audit Trail message for busted trade

    Trade cancelled due to market reallocation: OrderNo xxxxxxxxxx TransId: xxxxx FillKey: <fill key number> Qty: <cancelled quantity>

    The Order Server also writes the busted trade messages to the Order Server log file (TT_Log):

    Example Order Server log file message

    03.11.2011 11:16:01.291 | EUREX-D orderserver.exe/SIM | 4340 | ERROR | 00000000 | Market reallocation causes this trade to be cancelled. | FILL | L001X2J00000000SNE8M528B 000000000 B O 33 121.68 EUREX-D FUT FGBL 1209 0.0 | | | | TTGXV TST 001 03.11.2011 17:15:17.500 1732348445 89515 0A003D188

    Note

    Risk administrators must manually fill the opposite sides of any trades cancelled by the exchange due to the Market Reallocation Event.

  • If the Order Server is shut down at the time of the Market Reallocation Event, the non-persistent orders for the affected product are deleted instead of placed on hold when the Order Server restarts. It will not send out busted trade notifications, and will not receive any fills (including unconfirmed fills).

    At startup, the Order Server inquires the exchange for a Market Reallocation Event message to determine if an event occurred. If a Market Reallocation occurred, the Order Server broadcasts an event retransmission message to all connected clients via the Audit Trail as follows.

    It also writes the following message to the Order Server log file.

    Example Event retransmission log file message

    03.11.2011 11:37:21.971 | Eurex-COrderServer/SIM | 9284 | WARNING | 10082385 | Ses.9180 | (Event Retransmission) Ex: Foreign Event Mass Delete -- Deletion of non-persistent objects (Market Reallocation event), check trades (product: FGTI, member: TRAXV, memberSubGrp: ALL SUBGROUPS, nonPersOrderDelFlag: true, lastEventTrnId: 48270694120147200)

    Also at startup, the Order Server downloads and reconciles orders and fills from the exchange. Orders and fills that have not been affected by the Market Reallocation are processed normally.

  • The exchange resumes trading of the affected product.

Stop Button Facility

The Stop Button facility allow members to manually delete all open orders across a membership, or all open orders for a specific trader associated with a membership. In these events, the Eurex Gateway deletes open orders, both persistent and non-persistent, from the Order Book.

Clearing and non-clearing members both may invoke these features using the Eurex @X-Ceed GUI. Clearing members may invoke the Stop Button event to delete open orders for the entire membership or a specific trader, while non-clearing members may delete open orders for a specific subgroup or trader within a specific subgroup only.

For clearing members, Stop Button only affects the membership chosen by that particular clearing member. If a firm has additional memberships, orders from those memberships remain unaffected.

For non-clearing members, Stop Button only affects the subgroup and/or trader of that particular membership. In this case, all open orders of the subgroup will be deleted, but only the Resource Access Levels (RALs) of the specific subgroup and/or trader will be set to zeros. This disables order/quote maintenance until the levels are manually restored using the User Security Profile Maintenance window on the Eurex @X-Ceed Trading GUI.

During a Stop Button event, the following occurs:

  • When the event is triggered by a clearing or non-clearing member, the Order Server writes the following message to the Order Server logfile:

    Example

    30.11.2011 16:58:03.383 | Eurex-XOrderServer/SIM | 3828 | WARNING | 10082385 | Ses.1726 | Ex: Foreign Event Mass Delete -- Clearing Member removes orders (product: ALVF, member: TTGXV, memberSubGrp: TST, nonPersOrderDelFlag: true, persOrderDelFlag: true, lastEventTrnId: 48294143776976408)

  • The exchange deletes all orders for the membership or for a specific trader associated with the membership. This is determined by whether the STOP or STOP TRADER button was invoked by the user via the Eurex @X-Ceed GUI.
  • The Order Server logs the following message to the X_TRADER® Audit Trail for each deleted order:

    Example

    order removed by clearing member

  • For each deleted order for the membership or individual trader, the Order Server logs a message to the Order Server logfile indicating that the orders were deleted by a clearing member or non-clearing member.

    Example Order deleted for a membership by a clearing member

    30.11.2011 16:58:03.961 | Eurex-XOrderServer/SIM | 1312 | INFO | 10098022 | Ses.7487 | UnsolicitedDelete | sts:8202 C D B O Normal OS Eurex-X FUT VOWF 1211 0.0 VOWF122011 0.012 L T:20 W:0 X:20 E:0 F:20 trader TTEXVSIM001 TTEXVSIM001 RK:trader B:0 C:0 TRADER A1 GTD 17:00:49.200 No:2815520599 sndr:172.17.18.140 order_id:001AKADLJ sok:0K00KQ002 Disc:0 Min:0 Trig:0 Mod:0 H:0 Key:61160056 OldNo:2815520599 C:0 RTT:0 | Ex:Order removed by clearing member.

  • If the entire membership is halted by the Stop Button event, any orders submitted by the membership during the event will be rejected.

    Example

    15:37:42.329 REJECT 10890 RESOURCE DENIED - MEMBER STATUS IS HALTED

  • If it was shutdown at the time the Stop Button occurred, the Order Server will inquire Eurex for any exchange events and log the following message to the Order Server logfile at start-up:

    Example

    | Eurex-XOrderServer/SIM | 3416 | WARNING | 10082385 | Ses.1726 | (Event Retransmission) Ex: Foreign Event Mass Delete -- Clearing Member removes orders (product: BMWF, member: TTGXV, memberSubGrp: TST, nonPersOrderDelFlag: true, persOrderDelFlag: true, lastEventTrnId: 48294728413290974)

    Note

    If the Order Server was shutdown at the time the Stop Button was invoked, it will not write messages to the Audit Trail for the deleted orders at start-up.

  • However, at start-up, the Order Server logs the following message for each order deleted by the exchange for a membership (Direct Trader ID) or individual trader (e.g., TTORD ID):

    Example Deleted order for a TTORD Trader ID

    30.11.2011 17:00:03.961 | Eurex-XOrderServer/SIM | 1312 |INFO | 10098022 | Ses.1726 | no longer working at exchange | sts:8202 C D B O Normal OS Eurex-X FUT BMWF 1211 0.0 BMWF122011 52.36 L T:20 W:0 X:20 E:20 F:0 TTORDTST001 TTORDTST001 TTGXVTST001 RK:TTORDTST001 B:0 C:0 TRADER A1 GTC 16:12:48.280 No:2811459707 sndr:172.17.18.140 order_id:001AHVC6Z sok:0K00EQ006 Disc:0 Min:0 Trig:0 Mod:0 H:0 Key:52100935 OldNo:2811459707 C:0 RTT:0