Spread Price Feed

The spread price feed for futures calendar spreads will be enhanced with Eurex Release 11.0 to provide additional, real-time market depth information. These improvements will give traders important information to assist in their decision-making processes. The dissemination of last traded price, quantity, et cetera, provides members automatically with additional relevant information. The dynamically updated order book depth for calendar spreads provides members with a better overall picture of the order books for calendar spreads.

Both MISS and Enhanced Broadcast Solution users will have access to the additional market depth information. However, only users of the latter will receive continuous and dynamic updates on the order book depth. MISSes must be configured to request updates in order to receive this information. There will be no double leg order book depth broadcast via the VALUES API.

With the new release, the last traded price, last traded quantity, overall traded quantity, daily high and daily low prices for futures calendar spreads will be updated dynamically in the Market Overview window.

The futures spread trade history will be available in the Online Time and Sales Sheet window. This window will allow entry of full contract ID and display all trades corresponding to the full contract ID.