CME's Average Pricing Algorithm

  • 10 Nov 2015
  • By CME Group

This document provides specifications for CME’s average pricing calculations, often referred to as APS (“apes”), for its original implementation in the Average Pricing System.

Average-pricing calculations allow any number of transactions in a contract, on the same side of the market (only buys or only sells), to be offset and then replaced with one or more special transactions at an average price. The input transactions being averaged are considered an average pricing group (“APS group”).

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