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Exchange Background, Interface, and Restrictions

Exchange Background

The Mercado Español de Futuros Financieros, or MEFF, was launched November 1989 and is the official Spanish exchange for financial futures and options. The exchange is a subsidiary of Bolsas y Mercados Españoles (BME Group), which is comprised of the Madrid, Barcelona, Bilbao and Valencia stock exchanges, MF Mercados Financieros, Iberclear and BME Consulting.

MEFF’s primary activity is trading, clearing, and settling of futures and options contracts on equity index IBEX 35 contracts. MEFF acts as both the market and the clearing house for derivative products in Spain. The integration of exchange and clearing house facilitates risk management in real time and simplifies the mark-to-market and settlement-at-expiry procedures.

The exchange is regulated, controlled, and supervised by the Spanish financial authorities (including the Comisión Nacional del Mercado de Valores and Ministerio de Economía) and recognized by Swiss and British Supervisory Authorities as an authorized exchange. The CFTC has also authorized the offering of bond, futures, and options contracts in the US by granting the “Part 30 Exemption” to all exchange members.

Exchange Interface

A separate HF MEFFGate interface is provided by the exchange for public prices (M3.3) and private orders data (T3.3). The MEFF Gateway 7.17.20 or higher connects to the exchange interfaces via FIX 5.0 SP 2.

Matching Engine

MEFF operates its matching engine as part of the MEFF S/MART platform's Central Systems, which is maintained in two separate locations (Madrid and Barcelona) for disaster recovery purposes.

Futures and options contracts are registered on Equity Index, Stocks and National Government Bond contracts. The Clearing House receives trades directly from the MEFF Derivatives Trading Platform, and monitors risk and margin of each Clearing Member.

Matching Algorithms

MEFF matches orders based on a price-time priority matching algorithm. This algorithm applies to all the contracts traded on MEFF.

Connectivity Options

You have two options for connecting to MEFF:

  • TTNET™, which is TT’s fully managed hosting solution. TTNET enables traders to quickly and reliably access MEFF and other major exchanges through TT’s proven high-performance global market connectivity solution.
  • Your own connectivity, which can be obtained by contacting the exchange’s support desk at Options include direct, indirect, or proximity connections, as well as VPN.

Required Connection Information

Prior to installation, you must complete the following tasks:

  • To connect to the HF MEFFGate FIX interface platform, you need to order new market data and order routing sessions directly from the exchange. Send inquiries to the exchange at Existing customers will receive new primary and backup IP and port information, and will need to apply the new IP and port credentials to their existing FIX sessions to log in to the HF MEFFGate platform.

    MEFF supports FIX sessions on both the old and new platforms running simultaneously. For that reason, it’s possible to run your existing TT MEFF Gateway and TT MEFF Gateway 7.17 in parallel while you transition users to the HF MEFFGate platform.

  • Obtain a unique set of public interface connection (M3.3) credentials for the Price Server. This set includes a member ID, user ID, password, primary and backup IP addresses, and port number.
  • Obtain a unique set of private interface connection (T3.3) credentials for the Order Server. This set includes a member ID, user ID, password, primary and backup IP addresses, and port number.

Additionally, you must work with the exchange to properly configure the following:

  • Member ID Configuration: The exchange configures two types of member IDs: TRADER and MULTI-TRADER. To properly view and manage orders for your membership, you must request that MEFF configures your member IDs to TRADER before attempting to trade on the exchange.
  • Account Numbers: When connecting to the exchange with a clearing firm or external account, you may need to request five-character account numbers from the exchange.
  • Market Order Filters: You must contact the exchange to configure the following mandatory filters for the production environment:
    • Price Filter: The exchange uses this filter to determine the limit price it assigns to market orders.
    • Volume Filter: This filter provides additional risk management.

In addition, the person who performs the installation must perform the following tasks:

  • From the customer, obtain the connection information used by the Price and Order Servers.
  • Identify all sets of trader information.

Exchange Restrictions

When configuring membership with the exchange, all customers must confirm the following with the exchange:

  • User Transaction Limit

    MEFF configures a per-second order limit on all users. Currently, the exchange sets the maximum limit equal to 300 orders per second on each FIX order session.


    To ensure proper order handling, you must request that MEFF sets the order limit to the highest possible value.

  • Price Filter and Volume Filter

    The Price Filter determines the maximum range between possible bid/ask prices and the last traded price. The Volume Filter determines the maximum order size allowable for the member. Failure to establish these filters can result in suspension in trading at the exchange. For guidance on determining and establishing the Price and Volume Filters, refer to the following MEFF Circular located at:

Available Products

The MEFF Gateway offers contracts based on the following products:

  • IBEX-35 mini- and standard-size Equity Index Futures and Options
  • Spanish and European Single Stock Futures

The exchange may change its listed products at any time. For currently listed products, contact MEFF or visit their website at

Spanish and European single stock futures are not CFTC-certified, meaning they are unavailable for trading in the United States.

The contract names include the instruments’ expiration date and settlement convention. For example, an August IBEX MINI® (FIEM) contract is listed as: 21AUG11-Cash, where “Cash” indicates that the contract is financially, as opposed to physically, settled.

In the TT system, American and European options contracts are displayed with either an “A” (American) or “E” (European) in the options contract name to distinguish between the two options styles.


The following lists the difference between American and European style options:

  • European options may be exercised only at the expiry date of the option.
  • American options may be exercised at any time before the expiry date.

Asset Classes

MEFF offers products in the following classes:

  • Futures
  • Options
  • Spreads
  • Equities (Market Data only)

Trading Hours

MEFF divides its trading hours into the following market states (all times listed in Central European Time (UTC+1)):

Market States

Market State




Opening Auction

8:30 - 9:00


9:00 - 17:35

MEFF Market States

The following table describes the exchange market states supported by the MEFF Gateway and displayed in the S column of the X_TRADER Market Grid:

MEFF Market States
Market StateDescription

Order Entry: During the Auction (Pre-Open) state, orders can be added, modified, and canceled. No matching occurs during the Auction state.

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 MEFF Gateway sends as the Indicative Open Price, and a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity.

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


Order Entry: Orders can be added, modified, or canceled. 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 Auction to Open.

State Changes: Occurs after Auction.


Order Entry: No orders can be added, modified, or canceled. No matching occurs.

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

State Changes: Occurs at the end of the Trading session.


Order Entry: Orders can be canceled, but can not added or modified. No matching occurs.

Market Data: No market data is provided until open trading resumes.

State Changes: Occurs whenever open trading is interrupted. May occur for a contract prior to Auction.


Order Entry: Indicates an expired contract. No order actions are allowed and no matching occurs.

Market Data: No market data is provided for the expired contract.

State Changes: May occur as a transition from any other Market State, and is triggered by the expiry date and time on the contract definition sent by the exchange. Most often, Expired occurs immediately after Closed.

Unknown State Changes: The exchange’s market state cannot be determined by the MEFF Gateway. The contract may be in any of the above states except Expired. Unknown will occur if a gateway is restarted during an active trading session.

Supported Exchange Functionality

The MEFF Gateway supports the following:

  • All MEFF listed derivative products except the Bono 10 bonds.
  • Auction Price Orders
  • Cross and Flex Trades
  • RFQ for Wholesale Orders

Unsupported Exchange Functionality

The following exchange functionality is not supported by the MEFF Gateway:

  • Quoting/Mass Quoting
  • “Privileged” trader (on behalf of) functionality
  • Multi-login traders
  • Mass cancellation
  • Give Ups
  • Delta Protection, Kill Button, and Management of Filters and Permissions
  • Password reset via the exchange API (users must call the exchange)
  • Connectivity to MEFFPower segment
  • Asset Classes
    • Equities
    • Bonds
    • Eurex products traded via EuroMEFF
    • Spanish 10 year National Bond (Bono)
  • Market Maker Orders

In addition, the gateway’s inquire functionality is not supported by the exchange API.