Orders placed during the "pre-opening" or at the Indicative Opening Price will be matched on a price and time priority basis.
Implied orders are not taken into consideration, because these orders are only active during the continuous trading session.
- Priority is assigned to an order that betters the market (e.g. a new buy order at 36 betters a 35 bid). Only one order per market side of the market can have top priority. There may be scenarios in which a top order does not exist for one or both sides of the market (e.g. an order betters the market, but is then canceled).
- Only outright non-implied orders can be top orders.
- Top orders are matched first, regardless of size.
- After a top order is filled, the Pro Rata Allocation algorithm is applied to the remainder of the resting orders at the applicable price levels until the incoming order is filled.
- The Pro Rata algorithm allocates fills based upon each resting order's percentage representation of total volume at a given price level. For example, an order that makes up 30% of the total volume resting at a price will receive approximately 30% of all executions that occur at that price. Approximate fill percentages may occur because allocated decimal quantities are always rounded down (i.e. a 10-lot order that receives an allocation of 7.89-lots will be rounded down to 7-lots).
- The Pro Rata algorithm will only allocate to resting orders that will receive 2 or more contracts.
- After percentage allocation, all remaining contracts not previously allocated due to rounding considerations are allocated to the remaining orders on a FIFO basis.
- Outright orders will have priority over implied orders and will be allocated the remaining quantity according to their timestamps.
- Implied orders will be then allocated by maturity, with the earliest expiration receiving the allocation before the later expiring contracts. If spread contracts have the same expiration (i.e., CONTRACT A-CONTRACT B and CONTRACT A-CONTRACT C), then the quantity will be allocated to the earliest maturing contracts making up that spread (i.e., the CONTRACT A-CONTRACT B will get the allocation before the CONTRACT A-CONTRACT C because the CONTRACT B expires before the CONTRACT C).