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Dynamic Circuit Breakers (DCB) monitor for significant price movements during a trading session. DCBs define an upper and lower limit of how far an instrument is allowed to move in a configured time interval.

Each product has its own assigned percentage used to calculate its DCB variant, which is a percentage value of its previous settlement price. This calculated variant is used through the course of the trading session.

Formula: Previous Days settle * DCB percentage Value = DCB variant (rounded down to nearest tradable tick)

Upon market open, a rolling 60-minute look-back window calculates the upper and lower limits used by DCBs. The high and low prices within the window plus or minus the variant determine the DCB high bid and low ask limits during the open market state.

If triggered in the primary contract market (lead month), all associated contract markets immediately transition into a pre-open state. There is no monitoring period.

The GCC designates the lead month for the primary contract. When a DCB is triggered in a primary month, CME Globex will send a Security Status message (35=f) within market data which will show tags 327=2 (Halt reason - market event) and a 326=21 (SecurityTradingStatus - Pre Open)

If triggered in a non-primary month, only the triggering contract will reserve. CME Globex will send a Security Status message (35=f) within market data which will show tags 327=2 (Halt reason - market event) and a 326=21 (SecurityTradingStatus - Reserve).

See also:

Watch this video for an overview of Dynamic Circuit Breakers:

Dynamic Circuit Breakers

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