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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 the GCC Product Reference Sheet for a list of the "no cancel" 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.

Click the icon below to view a video for Market Order with protection:

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Stop Order - Futures Only

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Multiexcerpt
MultiExcerptNamestopordpro

Stop orders with protection are intended to avoid cascading stop orders being executed at extreme prices. A stop order with protection is activated when the market trades at or through the stop trigger price and can only be executed within the protection range limit. The order enters the order book as a market order with the protection price limit equal to the trigger price plus or minus the pre-defined protection point range. Protection point values usually equal half of the Non-reviewable range. Refer to www.cmegroup.com for a list of the Non-reviewable range per product. For bid orders, protection points are added to the trigger price to calculate the protection price limit. For offer orders, protection points are subtracted from the trigger price.

CME Globex matches the order at all price levels between the trigger price and the protection price limits. If the order is not completely executed, the remaining quantity is then placed in the order book at the protection price limit.

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Example: Bid

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

  1. The client sends in a new Stop With Protection order to CME Globex.Bidding 10 ESM1, Stop order, 133000 Trigger Price.
  2. A trade occurs at the trigger price of 133000. The order is activated and CME responds with an execution report – order confirmation (Notification that order was triggered).
  3. Trigger Price 133000, Protection Points  300
  4. Protection Price Limit 133000 + 300 = 133300
  5. CME Globex sends an Execution Report - Partial Fill. 2-Lot @ 133025.
  6. CME Globex sends an Execution Report - Partial Fill. 3-Lot @ 133200.
  7. CME Globex sends an Execution Report - Partial Fill. 2-Lot @ 133225.
  8. Next Best Offer = 133375. This value exceeds the protection price limit of 133300. CME Globex places the remaining quantity on the order book at a protection price limit of 133300.
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Example: Offer

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

  1. The client sends a New Stop With Protection order to CME Globex.
  2. Offering 10 ESM1, Stop order ,133000 Trigger Price.
  3. A trade occurs at the trigger price of 133000. The client's order is activated and CME responds with an execution report - order confirmation (Notification that order was triggered).
  4. Trigger Price 133000, Protection Points 300
  5. Protection Price Limit 133000 – 300 = 132700
  6. CME Globex sends an Execution Report - Partial Fill. 2-Lot @ 132900.
  7. CME Globex sends an Execution Report - Partial Fill. 3-Lot @ 132850.
  8. CME Globex sends an Execution Report - Partial Fill.  3-Lot @ 132800.
  9. Next Best Bid = 132675. This value is below the protection price limit. CME Globex places the remaining quantity on the order book at a protection price limit of 132700.

Click the icon below to view a video for Stop Order with protection:

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<p><a href="http://progressive.powerstream.net/008/00102/cmeg_es/electronic-trading/protection_points/index.html" target="_blank" rel="nofollow"><img src=http://www.cmegroup.com/globex/images/eid-thumb.png alt="AutoCert+"></a></p>