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1. Introduction
The Excessive System Usage Fee is designed to protect the T7 trading system from excessive system usage. With the introduced changes of the architecture of the T7 trading system during the last three years Eurex Exchange achieved a reduction in the median latency, but more important the variance of the latency did drop dramatically, leading to a very predictable behaviour. It is in the interest of all its market participants, that Eurex Exchange is therefore taking further steps to solidify these achievements and disincentive behavior that may be detrimental for market and system structure at a cost of excessive system usage.
There will be a one-month testing phase starting on 1 November 2019 for Participants to take necessary actions to stay within the defined limits of the ESU fee with their trading activities.
The “No Market Data Impact” limit type for options as well as the adjusted parameters for FX products, which are described in this circular, will come into effect on 1 December 2019.
2. Required actions
For trading participants sending many relevant “No market data Impact” transactions in Options, we recommend to analyze the previous CB069 reports for the last months, to check whether they are within the new limits.
3. Details of the initiative
3.1 Amendments to the Excessive System Usage (ESU) Fee: Introduction of the “No Market Data Impact” Limit type for options
In April 2019, Eurex Exchange introduced a third ESU limit type which counts against all transactions which do not lead to a market data update and against all order modifications which result in an order deletion without a trade. This limit has so far only been applied to futures traded on T7 and has led to a massive decrease in the usage of such transactions. Going forward, Eurex Exchange will introduce this limit type also for options traded on T7. The parameters are carefully calibrated to not interfere with regular trading and order management behaviour of market participants but will further extend the framework to limit the excessive usage of messages that only contribute to Excessive System Usage.
A concept paper describing the ESU fee concept in detail, including the various parameters that are considered for the calculation of the ESU fee, and an example showing a step-by-step calculation, are available on the Eurex website www.eurexchange.com under the following link:
Technology > Excessive System Usage Fee
The first table in Attachment 1 shows the parameters used to calculate the ESU limit for the limit type” No Market Data Impact”. The limits for the new limit type are calibrated in such a way that they will have no impact on most of the Trading Participants. The parameters for the limits of the limit type “Standard Orders” remain in place and unchanged.
Please note: The limit is based on the product type of the product.
A list of all products, including the product types, is published on the Eurex website and can be downloaded under the following link:
Products > Product Overview > Complete list of all Eurex products in csv format
3.2 Changed ESU Parameters for FX Products
Due to the high volatility of the last months, Eurex Exchange has observed an increasing usage of the ESU limit by participants employing liquidity providing strategies in the FX products at Eurex Exchange. Therefore, Eurex Exchange will adjust the ESU parameters for FX products (product type FCUR and OCUR). The second table in Attachment 1 shows the changed parameters for FX derivatives.
3.3 Timeline
There will be a one-month testing phase starting on 1 November 2019 for Participants to take necessary actions to stay within the defined limits of the ESU fee with their trading activities. There will be no penalties for violations of the introduced the ESU fee limit for options during this testing phase. However, violations of the already existing limits will be enforced. The third limit type for options as well as the adjusted parameters for FX derivatives will come into effect on 1 December 2019.
Attachments:
| Recipients: | All Trading Participants of Eurex Deutschland and Vendors |
| Target groups: | Front Office/Trading |
| Contact: | client.services@eurexchange.com |
| Related circulars: | 212/13, 038/16, 082/17, 102/17, 107/17, 129/17, 017/19, 065/19 |
| Authorized by: | Randolf Roth |
Market Status ⓘ
XEUR
The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.
Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message.
We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.
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