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HFT Act: Changes to the Order to Trade Ratio (OTR)

Release date: 12 Apr 2016 | Eurex Exchange

No. 046/2016 HFT Act: Changes to the Order to Trade Ratio (OTR)

The following changes regarding the Order to Trade Ratio (OTR) will become effective on 1 May 2016:

  1. The product group of Hurricane Futures (FCRD) will not be specified any longer due to their delisting.
  2. Foreign exchange derivatives (OCUR, FCUR), which have been part of the “New Asset Classes” category so far, will be specified separately in the same category as index options.
  3. The Market-Making base for index options (OINX) and all other product types in the same category (OFIX, OCUR and FCUR) will be increased from 1,000 million to 1,200 million for a spread quality of 0.4.
  4. By means of the Self Match Prevention (SMP) functionality, the following change regarding the calculation of the ordered volume will apply:

A modification of an order is usually considered as a deletion of the previous order and as an entry of a new order. However, if an order or a quote is fully or partially deleted by the SMP functionality, the ordered volume on the buy and on the sell side will only be increased by the number of deleted contracts, respectively.

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