GLOBEX Advisory Notices
To | CME Globex(R) Customers
From | CME Globex Account Management
Subject | Allocation Algorithm for CME Eurodollar Futures
Notice Date | 2004-12-15
Notice Number | 121504-1
Effective Date |
Dear CME Globex® Customers, On January 30, CME will implement an enhancement to the Pro Rata Allocation Algorithm in CME Eurodollar futures contracts entered on the CME Globex platform. This change will be implemented in the CME certification environment Sunday, December 19 (CME Globex trade date of December 20). Note that there will be no system impact due to this change. The Pro Rata Allocation Algorithm operates as follows: After the opening, time priority is assigned to the first order at a price that betters the market when the order is received (the "TOP order"). Only one buy order and one sell order can have time priority at any given time. Orders with time priority (TOP orders) are matched first regardless of size. An order will lose time priority when an order at a better price is entered. After the time priority or TOP order is filled, the Pro Rata Allocation Algorithm is applied to the remainder of the resting orders at that price level. This application of the algorithm allocates fills based upon each resting order's percentage representation of total volume at a given price level. If the "initial allocation" results in a fraction, the algorithm will "round down" or drop the fractional amount. Currently, any remaining quantity not executed after the "initial allocation" is allocated to the largest orders remaining at that price. However, with the implementation of this enhancement in January, any remaining quantity after the initial allocation will be allocated using First In First Out ("FIFO") matching rules. Also, upon implementation of the algorithm enhancement, the match engine will no longer allocate one lot fills during the initial allocation. Any one lot fills will be added to the remaining quantity which will be allocated according to FIFO rules during the second allocation. If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700, or the CME Globex Control Center at 312.456.2391. Thank you, CME CME Globex Account Management 312.634.8700