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Eurex
Pro rata matching is an execution principle taking into account only the price or, respectively, the limit price of the orders in the order book, and not the usual price/time priority. As soon as new orders are entered into the trading system, it searches the order book and automatically executes matching orders in proportion to the orders contained in the order book. The execution occurs through an allocating algorithm based exclusively on price priority, which in turn increases the likelihood of executions in products with a rather low volatility.
Pro rata matching is for example applied with EURIBOR Futures and options on iShares ETFs. If the volatility of a product is low, large orders can inhibit the participation of smaller orders in the matching process if price/time priority is applied. Pro rata matching guarantees constant access to the inside market for orders irrespective of their size.
When matching existing orders with an incoming order, the pro rata matching algorithm takes into account each book order at the inside market price according to its percentage in the overall volume of the incoming buy or sell order at this price, regardless of its timestamp. The pro rata principle thus circumvents priority conflicts between large and small orders.
Upon entry, market orders for products matched according to the pro rata matching principle are flagged IOC (immediate-or-cancel). The order book does not save market orders for products matched according to the pro rata matching principle. If the matching for a partial or entire market order can only occur outside of the market order matching range, the remaining order volume is cancelled. An order is also cancelled if no reference price is available upon entry of a market order.
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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