CME's Average Pricing Algorithm

10 Nov 2015
By CME Group
Topics: General Education

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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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.