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Info

For information on allocation for Covered instruments, refer to Covered UDS Trade Futures Allocation

Eurodollar Option

The Eurodollar Option algorithm is an enhanced pro-rata algorithm that incorporates a Lead Market Maker (LMM) allocation before top order and pro-rata allocations. Once each LMM has been allocated their configurable percent, and if priority was established that meets the minimum requirement of 50 lots, the remaining quantity of the aggressor order is allocated to the top order until that order's quantity is exhausted.

If no top order exists or there is remaining quantity from the aggressor order after the top order has been fulfilled, the remaining quantity will be allocated pro-rata.

The Eurodollar Option algorithm follows these stages to match trades:

  • LMM set to configurable percent
  • Assigns a top order percent allocation (25% with Min=50) that betters the market
  • Pro-rata with minimum allocation of one lot
  • FIFO for any residual quantity

FIFO 

The FIFO algorithm uses price and time as the only criteria for filling an order. In this algorithm, all orders at the same price level are filled according to time priority; the first order at a price level is the first order matched.

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  • Increase the quantity
  • Change the price
  • Change the account number
FIFO for Implied Orders

When trades are matched using the FIFO method, outright orders at the same price level are filled according to time priority. After all possible matches have been made for the outright orders; the implied orders will trade using the rules based system mentioned under the Priority Rules section:

  • All implied IN orders are aggregated together at their respective prices.
  • When aggregating implied OUT orders, there can be several aggregates for each price.   This is due to the fact that only one aggregate per spread is used to generate implied orders.
  • Within each price aggregate, the earlier maturity will trade first (i.e., for Calendars, CONTRACT A-CONTRACT B will trade before CONTRACT A-CONTRACT C).
FIFO Matching Example

Using the FIFO match algorithm:

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Pro-Rata Allocation Matching Examples

Pro Rata with TOP

Orders in the Market

Order No.Bid QtyBid PriceOffer PriceOffer QtyOrder No.
INCOMING250971197112001 (Top Order)
   9711252
   9711503
   9711104

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Order No.Bid QtyBid PriceOffer PriceOffer QtyOrder No.Match QtyMatch Order
INCOMING250971197112001 (Top Order)200#1
   971125214/2#3, #5
   971150/2329#2
   97111045#4
Pro Rata Allocation Matching with Displayed Quantity

In this example, any of the orders involved could be either outright or implied. As timestamp is not taken into account, the outcome is the same.

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