01 Dec 2020

Eurex

Order-to-Trade Ratio (OTR): Recalibration of parameters and introduction of intra-day reports

Eurex Circular 095/20 Order-to-Trade Ratio (OTR): Recalibration of parameters and introduction of intra-day reports

1.  Introduction

Eurex is planning to introduce the following innovations with regard to the Order-to-Trade (OTR) regime:

A. Recalibration of OTR parameters

Given the changing market conditions since introduction of the OTR regime, Eurex Deutschland has decided to recalibrate the OTR parameters, based on a three-year back-testing period.

The new OTR parameters, as set out in the Attachment, will replace the currently valid fixed parameters with effect from 1 January 2021.

B. Intra-day versions of the report “TR100 Order to Trade Ratio”

Availability of intra-day versions of report TR100:

Simulation environment: from 1 December 2020
Production environment: from 8 December 2020

2.  Required action

It is strongly recommended that Participants analyse their past message behaviour and assess whether they need to adjust under the new parameter regime. Upon request, Eurex will be able to provide back-testing results.

For Trading Participants who are interested in their daily performance under the new regime prior to the activation on 1 January 2021, regular reports can be provided on request during December 2020. Requests have to be directed to the Participant’s Key Account Manager Trading or to e-mail: client.services@eurex.com.

3.  Details of the initiative

A. Recalibration of OTR parameters

With the introduction of the OTR regime in 2018, the initial parameter set was based on a back-testing period covering data between 2014 and 2017. Given the changing market conditions following the years after the introduction, Eurex Deutschland has decided to recalibrate the OTR parameters in order to reflect changes in market environment, volatility and participant behaviour.

The new parameters will come into effect on 1 January 2021 and replace the currently used fixed parameters as introduced with Customer Mailing on 2 January 2018 “Eurex Exchange's MiFID II/MiFIR & T7 release 6.0 readiness news”. Please refer to the Attachment for the new parameters.

A concept paper describing the OTR concept in detail, including the various parameters that are considered for the calculation of the OTR and an example showing step-by-step calculation, is available on the Eurex website www.eurex.com under the following link:

Rules & Regs > Order to Trade Ratio

B. Intra-day versions of the report “TR100 Order to Trade Ratio”

Eurex is planning to publish intra-day versions of the “TR100 Order to Trade Ratio”. The intra-day reports will have the same layout as the current end-of-day report and will be published every thirty minutes starting at 00:30 CET every trading day. The report name will indicate at which time it has been published (i.e. the report ending with “1400” will have been published at 14:00 CET). The cut-off time in the reports can be seen in the field “rptPrntEffTim” in the report header, e.g. “13:50:38.00”. Eurex will start producing the intra-day reports on 1 December 2020 in the simulation environment and on 8 December 2020 in the product environment.

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

CB069 (Transaction Report): 
This report provides Participants with detailed information about their product specific transactions, traded volume and ordered volume. The report is generated daily (intra-day versions are available). The intra-day reporting schedule will not be changed for now.

TR100 (Order to Trade Ratio):
This report provides Participants with all details about their OTRs and all relevant parameters to recalculate the OTRs. The report is generated daily (intra-day versions will be available beginning of December 2020). The intra-day reports will be published every 30 minutes, starting at 00:30 CET, while the last report of a day will be published at 23:00 CET.

TR103 (Eurex Daily OTR Parameter):
Report containing the applicable parameter values for the OTR calculations. The report is generated daily.

TR105 (Minimum Quotation Requirement):
Report containing the applicable parameter values for the minimum quotation requirements. The report is generated daily.

Detailed information on all reports is contained in the document “Eurex XML Reports - Reference Manual“ which is available on the Eurex website under the link:

Tech > T7 Trading architecture > Release 9.0 > Eurex Reports > XML Report Reference Manual

C. Timeline

Start date

1 December 2020

TR100 intra-day reports are published in the simulation environment.

8 December 2020

TR100 intra-day reports are published in the production environment.

1 January 2021

The recalibrated OTR parameters come into effect.

Attachment:

  • New OTR limit parameters, valid as of 1 January 2021


Further information

Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups:

Front Office/Trading

Contact:

client.services@eurex.com

Related Eurex circulars:

164/13, 213/13, 129/14, 082/17, 102/17, 107/17, 123/17, 129/17, 088/18

Web:

www.eurex.com

Authorised by:

Randolf Roth


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