Enhancement of Trade Volume Reporting

Currently, the Online Time and Sales Sheet (OTSS) window can only display either single leg or double leg trades, but not both simultaneously. Currently it is not possible to identify complex implied matching sequences via the OTSS window*.

With the introduction of Eurex Release 12.0, users can view any combination of current day single leg, double leg and strategy trades on the OTSS window allowing easier identification of complex implied matching sequences.

The OTSS window will also be enhanced to display the following new trade volume reporting fields:

• The number of buy and sell orders contributing to a specific trade volume record
• Aggressor flag (initiator or the matching sequence)
• Reversal indicator and Trade indicator
• Trade IDs (up to four trade IDs in case of an four-leg options strategy)

The corresponding VALUES API request will allow for a recovery of trade price data received via the Enhanced Broadcast Solution.

Additional Information Available on Combinations and Option Strategies

Eurex Release 12.0 will provide separate trade volume reporting with respect to single leg, double leg and strategy trades allowing the reconstruction of synthetic matching events. The trade volume information will be provided for each element of a trade. When a combination order (future spread or option strategy) is matched, there will be one broadcast for the combination and another one for each leg of the combination provided via the Enhanced Broadcast Solution. The same information will be available for inquiry via the VALUES API.

Individual Trades to be Broadcast Rather Than an Accumulation at Any Level

Currently different trades which occur consecutively at the same trade price are accumulated per price level for price reporting purposes. With Eurex Release 12.0, the trade volume reporting will be provided on trade level and will be broadcast individually. Should the member choose to accumulate, this can be done in the front-end application.