- What are Dynamic Circuit Breakers?
- What is changing?
- What happens if a DCB is triggered?
- How is the DCB variant calculated?
- How are the upper and lower limits calculated?
- What happens to the look-back window after a DCB triggers?
- What happens to the DCB look-back window if a Velocity Logic (Narrow/Wide) is triggered?
- Where can I find the pertinent information of the levels for DCB, and Velocity Logic thresholds?
- What happens if a DCB triggers on the close?
- What happens if DCB triggers during the final settlement window?
- What is disseminated over market data when a DCB is triggered?
- How can I be notified of product DCB product updates?
1. What are Dynamic Circuit Breakers?
Dynamic Circuit Breakers monitor for significant price movements during a trading session. DCBs define an upper and lower limit of how far an instrument is allowed to move in a configured time interval.
2. What is changing?
Some products using traditional Circuit Breakers, which have a static daily fixed value pinned to settlement, are implementing DCBs. The market data Security Definition (tag 35-MsgType=d) message for these products will not publish the price limit values in tag 1149-HighLimitPrice and tag 1148-LowLimitPrice.
3. What happens if a DCB is triggered?
If triggered in the primary contract market (lead month), all associated contract markets immediately transition into a two minute pre-open state. There is no monitoring period. The GCC designates the lead month for the primary contract. If triggered in a non-primary month, only the triggering contract will reserve.
4. How is the DCB variant calculated?
Each product has its own assigned percentage used to calculate its DCB variant, which is a percentage value of its previous settlement price. This calculated variant is used through the course of the trading session.
Formula: Previous Days settle * DCB percentage Value = DCB variant (rounded down to nearest tradable tick)
5. How are the upper and lower limits calculated?
Upon market open, a rolling look-back window calculates the upper and lower limits used by DCBs. The high and low prices within the window plus or minus the variant determine the DCB high bid and low ask limits during the open market state.
6. What happens to the look-back window after a DCB triggers?
When trading resumes, the 60-minute look-back window restarts and DCBs begin to calculate accordingly.
7. What happens to the DCB look-back window if a Velocity Logic (Narrow/Wide) is triggered?
When trading resumes, the 60-minute look-back window restarts and DCBs begin to calculate accordingly.
8. Where can I find the pertinent information of the levels for DCB, and Velocity Logic thresholds?
You can find Velocity Logic values within the Special Price Fluctuations and Limits guide and the DCB values on the Price Limits page.
9. What happens if a DCB triggers on the close?
On the market close, the halt time will reduce to 5 seconds from 2 minutes in the last five minutes of trading.
10. What happens if DCB triggers during the final settlement window?
In the five minutes preceding daily settlement the halt time will reduce to 5 seconds from 2 minutes. After the settlement window, the reserve will revert to 2 minutes.
11. What is disseminated over market data when a DCB is triggered?
When a DCB is triggered in a primary month, we will send a Security Status message (35=f) within market data which will show tags 327=2 (Halt reason - market event) and a 326=21 (SecurityTradingStatus - Pre Open)
When a DCB is triggered in a non-primary month, we will send a Security Status message (35=f) within market data which will show tags 327=2 (Halt reason - market event) and a 326=21 (SecurityTradingStatus - Reserve)
12. How can I be notified of product DCB product updates?
When DCBs are added or changed to products it will be announced in the CME Globex Notice.
You can sign up for the CME Globex Notice via our subscription center.
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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
