This circular outlines important information regarding changes to §17 (a) (4) of the Exchange Rules of Eurex Deutschland (Exchange Rules), which require Exchange Participants to mark specific algorithmically generated orders and quotes with a SMP ID, applying particularly Eurex T7 SMP functionality.
The above-mentioned flagging obligation only applies to proprietary trading via a computer algorithm, where the latter is responsible for both the investment decision and the execution decision. In all other application scenarios, the usage of the T7 SMP functionality remains voluntary.
The new rules and the associated flagging obligation will become effective for Exchange Participants as of 1 April 2021.
2. Action required
According to the new rule, proprietary trading orders and quotes, for which the investment decision according to Article 8 of Commission Delegated Regulation (EU) 2017/590 and the execution decision according to Article 9 of Commission Delegated Regulation (EU) 2017/590 have both been determined by the same algorithm (Algo ID), are required to be entered with the additional execution restriction SMP and the same SMP identification (Tag 28744 – MatchInstCrossID) during Continuous Trading with the use of the T7 SMP functionality.
In order to adhere to the Eurex Exchange Rules, Exchange Participants are highly advised to properly set their algorithms internally in future, and to additionally use the Eurex T7 SMP functionality, in order to avoid potential Cross Trades (self-matches).
For further details concerning the rule change, please refer to the “Ninth Amendment Ordinance to the Exchange Rules of Eurex Deutschland”, on the Eurex website www.eurex.com under the following path:
Rules & Regs > Eurex Rules & Regulations > Exchange rules > Amendment history
The detailed information on Eurex SMP functionality can be found on the Eurex website www.eurex.com under the following links:
Tech > T7 Trading architecture > Release 8.1 > Overview and Functionality > T7 Release 8.1 - Functional Reference Section 7.6
Rules & Regs > Eurex Rules and Regulations > Trading Conditions Section 3.7
All Trading Participants of Eurex Deutschland and Vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
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