A Basis Trade at Cash Open (TACO) is an outright future trading the differential between the equity future and underlying cash index marking at the publication of the Special Opening Quotation (SOQ).
TACO uses the same quoting convention as BTIC (Basis Trade at Index Close), but uses the cash market open and trades Sunday thru Friday following a unique trading schedule.
Due to the uniqueness of the TACO trading schedule, customers trading TACO using the same session to trade multiple products should be prepared to:
- manage Fill Notice Execution Reports with different trade dates
- ensure correct trade date is selected in any User Interface (UIs), including CME Direct and CME FirmSoft.
Example: TACO Order/trades submitted Monday between 10:00 am - 8:30 am Tuesday would be considered a Tuesday trade date. Non TACO orders submitted Monday from 10 am - 4 pm would be considered a Monday trade date. Customers using the same session to manage multiple products including TACO will need to select the correct trade date when using a UI to query orders/trades.
The settlement price in Market Data Incremental Refresh (tag 35-MsgType=X, 269=6) message is the price of the last traded differential of the trading session and is used for the following:
- internal Price Banding
- display of reference price of the last traded differential on customer systems.
TACO Trading Hours for Equity Contracts
Sunday – Friday as follows:
- Sunday Pre-Open 4:00 pm Central Time (CT)
- Trading starts on Sunday at 5:00 pm (CT) and stops on Monday at 8:30 am (CT)
- Monday – Friday trading stops and market close at 8:30 am (CT), ALL day orders eliminated
- Monday – Friday Pre-Open 9:30 am (CT)
- Monday – Friday trades from 10:00 am (CT) – 4:00 pm (CT)
- Monday – Thursday Market Halt occurs at 4:00 pm – 5:00 pm (CT) - Globex Maintenance Period NO day orders eliminated
- Monday – Thursday Pre-Open 4:45 pm (CT)
- Monday – Thursday trades from 5:00 pm (CT) – 8:30 am (CT) next business day
- Note: Any order submitted on Friday after 10:00am (CT) will have a next business date of Monday.
- TACO markets do not and will not support GT orders.
- Day/session orders entered on Friday for Monday’s trade date will be eliminated at the 1st close on Friday afternoon.
- No TACO orders will be persisted over the weekend.
- Clients must re-enter their Day/session orders for Monday trade date when we re-open Sunday for Monday’s trade date.