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Order to Trade Ratio

Order to Trade Ratio

Eurex Exchange will introduce the Order to Trade Ratio (OTR) with effect from 1 December 2013. There will be a two-month test period starting on 1 October 2013. The limits are set on the volume of all order-entries (ordered volume) per product and per month generated by orders and quotes sent by the Participants to T7. For calculation of the ordered volume all types of orders and/or quotes are considered. This includes any/all of the following: add, modify and delete. Please note that aggregation of volume is done on a monthly basis.

At the end of a month, if the value of an OTR for a particular product for a particular Participant is greater than one, such instance is considered to be a violation. Such a violation may trigger sanctions against the Participant.

Participants will be informed about the current preliminary value of the OTR per product on a daily basis. This calculation will be based on month-to-date ordered volume and pro-rata floor. However, the conclusion on whether the OTR is violated can be drawn only at the end of a month.

 

Calculation

The OTR is calculated using the following equation:

OTR = [ ordered volume ] / [ volume limit ]

The ordered volume is the sum of:

  • the number of contracts generated by orders and quotes that are accepted by the matching engine and entered in the order book and
  • the number of contracts that the Participant deletes from the matching engine and thus have not been executed.

A modify of an order or quote is treated as a "delete" followed by an "add". Thus, the original order and the new order will both be counted towards the ordered volume. This process applies regardless of which attribute of the order and/or quote is changed.

If an order or a quote is fully or partially deleted by the Self-Match Prevention (SMP) functionality then the ordered volume increases both on the buy- and the sell-side only by the number of deleted contracts.

The volume limit is comprised of two components:

  • A volume component, which is calculated by multiplying the volume in the order book by a predefined volume factor, and
  • a monthly floor, which is defined for each Participant regardless of any traded volume in the order book. A Market Maker can receive a higher floor, depending on its Market-Making performance.

Please find below a concept paper describing the calculation (including an example) in detail.

Limit parameter

The following table shows the parameters used to calculate the OTR.

Please note: The limit is based on the product type of the product.

Reports

The following reports will be available for the Participants on the Common Report Engine:

  • CB069 (Transaction Report): Enhanced report, which will be generated on a daily basis. Additionally, intra-day versions of the report are available three times a day.
  • TD981 (Month-to-Date OTR): New report which, will be generated on a daily basis.
 
 

 

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