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MultiExcerptNamemoprot

Market orders with protection are intended to avoid cascading market orders being filled at extreme prices. Market orders with protection are filled within a pre-defined range of prices referred to as the protected range. For bid orders, protection points are added to the current best offer price to calculate the protection price limit. For offer orders, protection points are subtracted from the current best bid price.

CME Globex matches the order at the best available price level without exceeding the protection price limit. If the entire order cannot be filled within the protected range immediately, the unfilled quantity remains in the order book as a limit order at the limit of the protected range. Refer to http://www.cmecmegroup.com for a list of the "no bust" ranges for products.

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Example: Bid

The following example illustrates how the client interacts with CME Globex to process a market order with protection bid.

  1. The client sends a Market Order to CME Globex.
     
    • Bid, ESZ8, Market Order.
    • Best Offer = 90025 and Protection Points = 600.
    • Protection Price Limit = 90025 + 600 = 90625.
  2. CME Globex sends an Execution Report - Partial Fill.
     
    • 2-Lot @ 90025
  3. CME Globex sends an Execution Report - Partial Fill.
     
    • 3-Lot @ 90300
  4. CME Globex sends an Execution Report - Partial Fill.
     
    • 3-Lot @ 90550
  5. Next Best Offer = 90675. This value exceeds the protection price limit. CME Globex places the remaining quantity on the order book at a protection price limit of 90625.

Example: Offer

The following example illustrates how the client interacts with CME Globex to process a market order with protection offer.

  1. The client sends a Market Order to CME Globex.
    • Offer, ESZ8, Market Order.
    • Best Bid = 90000 and Protection Points = 600
    • Protection Price Limit = 90000 - 600 = 89400
  2. CME Globex sends an Execution Report - Partial Fill.
    • 2-Lot @ 90000
  3. CME sends an Execution Report - Partial Fill.
    • 3-Lot @ 89900
  4. CME Globex sends an Execution Report - Partial Fill.
    • 3-Lot @ 89650
  5. Next Best Bid = 89300. This value is below the protection price limit. CME Globex places the remaining quantity on the order book at a protection price limit of 89400.

 

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