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  1. 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.

  2. 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).
  3. Only outright non-implied orders can be top orders.
  4. Top orders are matched first, regardless of size.
  5. 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. 
  6. 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).
  7. The Pro Rata algorithm will only allocate to resting orders that will receive 2 or more contracts.
  8. 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).