Globex rolling out enhanced Stop Order Logic
As previously communicated, Chicago Mercantile Exchange will be rolling out enhanced Stop Order Logic in order to help mitigate market spikes that can occasionally occur due to the continuous triggering, election and trading of Stop Orders. The expected rollout will be in late September 2003. With the implementation of the new Stop Order Logic, if elected stop orders would result in execution prices that exceed predefined trade thresholds (such as the no-bust-range or other thresholds that will be announced), the market will be put into a brief "reserved state." During this state, orders will be accepted, but trades will not take place until a pre-defined time limit is exceeded (such as 5 seconds; please note that all thresholds will be announced prior to the implementation). By way of example, if at the end of the 5 seconds the single opening price (similar to the Indicative Opening Price (IOP) is greater than two times the threshold (or no-bust-range), the market will continue in a "reserved state" for an additional period of time, for example, 5 seconds. If the single opening price is not greater than two times the threshold, the market will resume trading at the calculated IOP price. This logic will be implemented initially for GLOBEX equity and currency products and will be rolled out to additional products at a later date.
In order to recognize when the Stop Order Logic scenario occurs, MD API 2.0 customers will be required to subscribe, parse and process the MG (which will indicate a reserved market state) and the M8 (which will provide a new IOP) messages. Please note, certification for the MG and M8 messages has formerly been optional for MD API 2.0 applications. With the introduction of the enhanced Stop Order Logic, certification of these messages will be mandatory for all new MD API 2.0 customers. Existing MD API 2.0 customers will be required to certify by January 30, 2004.
The enhanced Stop Order logic is currently available in CME's certification environment. For assistance in testing this functionality, please contact our Certification and Support for Electronic Trading (CSET) team at 312.930.2322. CSET representatives are available to help create scenarios that will invoke the enhanced stop order logic.
For a detailed description of how this implementation will affect GLOBEX customers, please refer to the following internet link.
Stop Logic Enhancement Client Impact Assessment
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