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Fixed Income Options (OFBD): “Immediate-Or-Cancel (IOC)” order validity requirement for market orders

Release date: 04 Aug 2020 | Eurex Exchange

058/2020 Fixed Income Options (OFBD): “Immediate-Or-Cancel (IOC)” order validity requirement for market orders

Eurex Circular 058/20

1.  Introduction

With this circular, we would like to inform you that Eurex T7 will start to only accept market orders with order validity “Immediate-Or-Cancel (IOC)” in Fixed Income Options (OFBD) and reject market orders without this validity effective 14 September 2020.

Start of simulation:     6 August 2020

Start of production:    14 September 2020

2.  Required action

There is no particular action required. Participants and Vendors should be aware that sending market orders without order validity “IOC” in Fixed Income Options, from 14 September 2020 on, will result in an order rejection message. 

3.  Details

Eurex T7 currently offers that submitted market orders, when not matched directly on order entry, are saved in the order book similar to limit orders (so-called book market orders). Book market orders follow different execution and price determination rules than normal limit orders that are saved in the order book, this logic is explained in full detail in our “T7 Release 8.1 - Functional Reference Guide”. The Guide can be found on the Eurex website www.eurexchange.com under the following link:  

Eurex Exchange has reviewed the execution price protection of such book market orders during volatile market situations and the complex execution behaviour in comparison to resting Limit Orders and quotes. Based on this, the Management Board of Eurex Deutschland has decided to only allow market orders with order validity “IOC” for Fixed Income Options in order to reduce complexity and holistically address the order protection.
Eurex T7 will introduce a new order profile that only allows market orders with validity “IOC” and reject market orders with other validities, i.e., Good-For-Day or Good-Till-Cancelled. The following Fixed Income Options are affected: 

  •  OGBL, OGBM, OGBS, OOAT, OGB1, OGB2, OGB3, OGB4, OGB5, OBTP. 

Orders with validity “IOC” are deleted automatically after having been initially processed on entry, without ever being saved to the order book. Sending market orders without order validity “IOC” in Fixed Income Options, from 14 September 2020 on, will result in an order rejection message. 

Please note, book market orders that are saved in the order book prior to 14 September 2020 can only be modified or deleted into “IOC” after this date.  
 

Further information

Recipients:

All Trading Participants of Eurex Deutschland and vendors

Target groups:

Front Office/Trading

Contact:

client.services@eurexchange.com

Web:

www.eurexchange.com > Initiativen > T7 Release 8.1 

Authorised by:

Randolf Roth


 

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