The principle of price/time priority refers to both orders and quotes. When an order (or quote) is entered into the order book, it is assigned a timestamp. This timestamp is used to prioritize orders in the book with the same price - the order entered earliest at a given price limit gets executed first. When a new order (or quote) is entered, the Eurex® system first checks the limits of all orders contained in the central order book. If the incoming order is immediately executable, meaning it is capable of being matched against an existing order or orders, one or more transactions are generated. To be immediately executable, the order must be:

• A market order, where opposite already exist in the central order book;
  
• an order to buy at a price at or above the lowest offer in the central order book;
  
• an order to sell at a price at or below the highest bid in the book.
  
  

Orders may not necessarily be executed at a single price, but may generate several partial transactions at different prices. When a large order executes against the total available quantity at a given price level, the next best price level becomes best. This process continues as long as the incoming order remains executable. If not executed upon entry, an order is held in the central order book.

Also, it is possible for a single order to generate multiple executions at different points in time. For example, an order may generate a partial execution upon entry, while the remaining open order remains in the order book. The open portion may get executed a minute later, an hour later, or even a day later, if its validity extends beyond the current trading day.

All executions are subject to the restrictions of the market order matching range.

Market orders have the highest priority for matching. Since the purpose of the market order is to be executed as quickly as possible at the best possible price, it must be entered without execution restrictions. If several market orders are booked in the order book, the Eurex® system takes into account the timestamp of the orders to establish matching priority. The earliest market order entered receives the highest priority.

In the case of limit orders, orders with the best possible prices (highest price limit for buy orders, lowest price limit for sell orders) always take precedence in the matching process over other orders with worse prices. Again, if the limit orders have the same price limit, the criterion used for establishing matching priority is the order timestamp.

The orders already present in the order book are always executed at their specified limit price. Price improvements for orders in the order book are only possible during an auction process - opening or closing auction. Orders going into the order book are always matched at the appropriate prices available in the order book, up to the specified limit price.

Pro rata matching is used for money market futures. When the intraday volatility of the inside market price of a product is low, under price/time priority a large order may prevent smaller orders from participating in the matching process. Pro rata matching ensures constant access to the inside market for orders of all sizes.

When matching existing orders in the book against an incoming order, the pro rata matching algorithm takes into account every book order at the inside market price according to its percentage of the overall volume bid or offered at the price, regardless of its timestamp. Thus the pro rata principle avoids a conflict in priority between orders with small and large quantities.

The elimination of prioritization by time results in a larger number of book orders contributing to a trade, since an incoming order is partially matched against a proportion of all orders in the book at the current inside market price.

Market orders for pro rata matched products must be entered with the restriction code IOC. Therefore, no market orders are stored in the order books for products associated with pro rata matching. When a market order, or part of it, can only be matched outside the Market Order Matching Range, the remaining quantity is cancelled. When market orders are entered and no reference price is available, the market order is cancelled.

The netting process in the opening or closing auction does not use price/time priority matching to determine opening prices. Instead, an auction principle is applied to determine a price that results in the highest executable volume in the netting process while also clearing limit orders through that price. Unmatched limit orders remain in the order book: after the closing auction in futures, only those remaining orders are deleted, which were not explicitly entered with the restriction "closing auction only". Within the auction principle, orders with better prices (higher bid prices, lower ask prices) get preference in the determination of which orders are actually executed in the auction, as do earlier orders over later orders at the same price limit. Market orders still take priority over limit orders. In the netting process, the market order matching range does not apply.

A cross trade is a trade where a member trades against an own order in the order book. In a pre-arranged trade, orders from at least two members are executed against each other as previously negotiated. Cross and pre-arranged trades may not knowingly be entered into the Eurex® system by a member, unless the member precedes the cross or pre-arranged trade with a cross request. A market member is required to enter a cross request to inform the market of his intention to execute a cross or pre-arranged trade. As soon as a cross request is entered into the Eurex® system, all market participants have the opportunity to enter corresponding orders (or quotes, depending on the product and the status of the market participant).
After entering a cross request, the initiating market member must enter the matching orders (or quotes, depending on the product and the status of the market member). Orders must be entered within a certain time frame: there is a minimum amount of time the market member has to wait before entering matching orders/quotes, and there is also a maximum amount of time the market member can wait before the cross request expires. Both of these time periods are specified by the exchange. The orders are also subject to a minimum quantity based on the size of the original cross request, further limited by the minimum quote size (for options) or five contracts (for futures).

The exchange may also stipulate at any time a maximum size for a cross trade. Cross requests are possible for both options and futures; combination cross requests can only be entered for futures. For option combinations, cross requests must be entered in the respective legs. Cross requests for strategies are supported.

A mistrade is a trade which deviates considerably from the market price, defined as the reference price. The procedures for determining the reference price for each product can be found in paragraph 2.7 in the Conditions for trading at Eurex Deutschland and Eurex Zurich.
For options, an entry may be deemed a mistrade if it deviates from the reference price by more than the maximum quote spread for the option priced at the reference price. For futures, product-specific ranges are defined by the exchange. Mistrade parameters will be published periodically by circular.

In the event of a mistrade, a trader should immediately contact the trading helpdesk (Eurex Market Supervision) and identify the mistrade.

Any objection to the contents of a transaction confirmation must be delivered to Eurex Market Supervision, in writing by fax or by email or by phone , not later than 30 minutes after the trade.

The final determination of a mistrade is made by the Boards of Management of Eurex.