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X_TRADER®

Implied Functionality by Market

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Implied functionality varies by market. Their dissemination rules may be different than their matching rules. The exchanges may also give priority in matching to different generations. This document is intended to describe implied pricing functionality differences by exchange, including…

  • What the exchange imply
  • Generations they imply
  • Matching priority

Exchange rules continually change based upon market demand. In this section, we will describe how exchanges handle implied functionality based upon our knowledge at this time. This document will be periodically updated as we become aware of changes in exchange rules. Except where noted in the table below, implieds are give lower matching priority than direct orders.

Market

Implied Pricing Functionality

CME, CBOT, NYMEX, COMEX, Green Exchange (GreenX), Kansas City Board of Trade (KCBT), Minneapolis Grain Exchange (MGEX), Bursa Malaysia (BMD), Dubai Mercantile Exchange (DME)

  • Disseminates first generation ins and outs
  • Matches through second generation ins and outs

    Note: This is dependent upon the product and generation of the implied.

Currently X_TRADER does not calculate implieds for these markets.

Eurex European Climate Exchange (ECX)
  • Disseminates first generation outs for all products
  • Matches first generation outs for all products
  • Gives implieds the same matching priority as direct orders (FIFO)
ICE has may implication rules. The following are our assumptions as of this publication. TT recommends that you contact the exchange for additional details.
ICE Energies

The following describes the expected behavior for ICE energy products when the enhanced implied matching engine is fully enabled at ICE:

  • Disseminates the first three months of all implied ins and outs
  • Matches through 12 months of all implied ins and outs

    Note: Some Energy products also imply the first three Junes and six Decembers, calendar, quarterly, and seasonal contracts.

  • Goes beyond the typical with composite spreads and infinite generations. A composite spread is a spread that implieds out of two other spread prices

    Note: X_TRADER only implies through the eighth generation.

ICE Futures US

ICE employs different rules for ICE Futures US products.

  • Disseminates the first three months and matches all contract months for Softs
  • Disseminates and matches all contract months for Equity indices

    Note: The mini Russell 2000 contract has no implication.

  • Disseminates and matches the first two contract months for FX products
ICE Futures Canada
  • Disseminates all implied ins and outs for ICE Futures Canada
Montreal Exchange (MX)
  • Does not disseminate implieds
  • Matches first generation ins and outs for the BAX product
NYSE Liffe NYSE Liffe US
  • Disseminates only first generation outs
  • Matches through second generation ins and outs
  • Matches first generation ins for select options strategies

    Note: These are calculated on the local X_TRADER workstation.

Singapore Exchange (SGX)
  • Disseminates first generation outs
  • Matches through second generation ins and outs
  • Gives implieds the same matching priority as direct orders; SGX uses the pro rata matching algorithm

Note: The only product for implieds is the Euroyen TIBOR Calendar Spread (EY).

Sydney Futures Exchange (SFE)
  • Disseminates through second generation ins and outs
  • Matches through second generation ins and outs
  • Gives implieds the same matching priority as direct orders (FIFO)
Tokyo Commodity Exchange (TOCOM)
  • Disseminates first generation outs
  • Matches through second generation ins and outs
Tokyo Financial Exchange (TFX)
  • Disseminates first generation ins and outs
  • Matches through second generation ins and outs
Tokyo Stock Exchange (TSE)
  • Disseminates first generation ins and outs for selected options strategies
  • Matches through second generation ins and outs for selected options strategies

Exchanges that do not Support Implieds

Some exchanges do not support implied functionality, including...

  • BM&FBOVESPA (BVMF)
  • BrokerTec
  • CBOE Futures Exchange
  • London Metal Exchange
  • Mercado Español de Futuros Financieros (MEFF)
  • Tokyo Grain Exchange (TGE)