Matching Principles

When orders and quotes are entered into the central order book, they are sorted by type, price and entry time. Market orders are always given the highest priority for matching purposes. Limit orders and quotes are sorted together; there is no special consideration given to Market Maker quotes.

Orders and quotes in the central order book are anonymous: A trader never knows the opposite side on a trade executed through the exchange. Eurex Clearing AG is always the counterparty. Orders and quotes at a given price level are aggregated, although the number of orders and quotes making up the total remains unknown. Participants only see the specific details of their own orders.

For all products, the best bid and ask prices, as well as their respective aggregated bid and offer sizes (also known as the "inside market"), are always available in real time. In many cases, these bid and ask prices are derived synthetically. For liquid futures, the depth of the order book is updated dynamically for the ten best price levels, with sizes, on both sides. For less liquid futures, as well as all option contracts, market depth can be accessed as a "snapshot", meaning the data does not continue to update in real time after the initial capture.

Most products at Eurex follow the matching principle known as price/time priority. This is not true for Money Market Futures (also known in some markets as STIR (Short Term Interest Rate) futures), which follow pro rata matching. Although order matching in the Trading Period will follow either price/time priority or pro rata matching, a different process, called the auction principle, is used to determine the opening price of products traded at Eurex.