07/16/2003
1) Definition of a “No Bust Range” which defines the price parameters of a trade which will not be challengeable under the error procedures. Such a procedure has proven very effective on the CME’s Globex system in relieving the amount of error trades. Additionally, information beyond trades, which include minimum tick size and dollars per tick, are supplied which will make the Rule more illustrative and clear.
2) A fee schedule has been prescribed for the handling of error trade reviews which have a graduated schedule.
3) A formal procedure on how error trades, otherwise potentially allowable under the Rule but outside of the notification parameters, will be handled.
4) The amendment to Rule 3.46 provides for Staff serving as the Committee versus members. This change will allow for Exchange personnel who are familiar with the market and error procedures to administer the revised error procedure.
RULE - 11.63 Electronic Trading Error Trade Procedures
(A) Whenever an Electronic Trader or Authorized Terminal User believes that he or she executed a trade through NYMEX ACCESS® or through an Alternative Electronic Trading System in error as a result of an error ("Error"), the Electronic Trader or Authorized Terminal User or a representative of the firm that is a party to the trade must contact the NYMEX Customer Service Call Center ("NCSCC") immediately. For the purposes of this rule, the term "Alternative Electronic Trading System" shall mean any electronic trading system other than NYMEX ACCESS® on which NYMEX Division or COMEX Division products are traded, but not including GLOBEX®.
(B) If a potential user Error is observed by or brought to the attention of the NCSCC within ten (10) minutes after the trade occurs, the following procedures will apply:
(1) The NCSCC staff will determine whether the trade price is less than the number of ticks set forth below away from the fair market value as determined by the NCSCC. In determining the fair market value, the NCSCC will consider the notional settlement price, the actual settlement price, the last traded price, a better bid or offer price, or any other information the NCSCC staff deems relevant. If the trade price is within the relevant range, then the trade will stand.
| Contract Outrights |
# Ticks From Market |
Minimum Tick Size |
$ per Tick |
| CL | 10 | 0.01 | 10 |
| HO | 25 | 0.0001 | 4.2 |
| HU | 25 | 0.0001 | 4.2 |
| NG | 20 | 0.001 | 10 |
| PN | 25 | 0.0001 | 4.2 |
| PL | 20 | 0.1 | 5 |
| PA | 10 | 0.05 | 5 |
| QL | 10 | 0.01 | 15.5 |
| GC | 10 | 0.1 | 10 |
| SI | 4 | 0.005 | 25 |
| HG | 10 | 0.0005 | 12.5 |
| AL | 5 | 0.0005 | 22 |
| JM | 12 | 0.05 | 42 |
| Intra-Commodity Spreads |
# Ticks From Market |
Minimum Tick Size |
$ per Tick |
| CL | 4 | 0.01 | 10 |
| HO | 10 | 0.0001 | 4.2 |
| HU | 10 | 0.0001 | 4.2 |
| NG | 5 | 0.001 | 10 |
| PN | 10 | 0.0001 | 4.2 |
| PL | 10 | 0.1 | 5 |
| PA | 5 | 0.05 | 5 |
| QL | 10 | 0.01 | 15.5 |
| GC | 5 | 0.1 | 10 |
| SI | 10 | 0.001 | 25 |
| HG | 2 | 0.0005 | 12.5 |
| AL | 5 | 0.0005 | 22 |
| JM | 12 | 0.05 | 42 |
| Inter-Commodity Spreads |
# Ticks From Market |
Minimum Tick Size |
$ per Tick |
| CL / HO | 5 | 0.01 | 10 |
| CL / HU | 5 | 0.01 | 10 |
| HO / HU | 25 | 0.0001 | 4.2 |
Products Traded on an Alternative Electronic Trading System (categorized generically by commodity and by unit size)
| Product (Unit Size) | # Ticks From Market |
| Crude Oil and Crude Products (1000 Barrels) | 10 |
| Crude Oil and Crude Products (42,000 Gallons) | 24 |
| Natural Gas | 16 |
| Electricity | 12 |
(2) Upon determining that the trade price is outside the relevant range indicated above, the NCSCC immediately will initiate an alert over the relevant trading system and to the quote vendor network indicating that the trade may be an Error and will attempt to contact the parties to the transaction to determine whether all parties to the trade consent to the cancellation of the trade.
(3) If both parties consent to void the trade within ten (10) minutes after the alert is sent, and no third party objects to the cancellation of the trade within ten (10) minutes of the alert, the trade will be cancelled.
(4) If a third party contacts the NCSCC within ten (10) minutes of the time the system alert and the alert to the quote vendor network set forth in Subsection (B)(2) were sent, objecting to the cancellation of the trade, the NCSCC will not immediately cancel the trade and the transaction will be reviewed by the Electronic Trading Review Committee.
(5) If the NCSCC is unable to contact all parties to a transaction or both parties do not consent to cancel the trade within ten (10) minutes after the NCSCC is notified of a potential user Error then the transaction will be reviewed by the Electronic Trading Review Committee, which shall be comprised of Exchange employees in accordance with Exchange Rule 3.46.
(6) (a) If a transaction is to be reviewed by the Electronic Trading Review Committee, a Panel of at least two (2) members of the Committee shall be convened to review circumstances surrounding the transaction and determine whether the transaction was an Error and, if so, whether such trade should be cancelled. The panel may, at its discretion, consult with Electronic Traders, Authorized Terminal Users or market participants and consider market information provided by those sources in rendering its decision.
(b) The factors that may be considered by the Committee include:
(i) the market conditions before and after the transaction occurred, including, but not limited to, current bids and/or offers or transactions in other contract months;
(ii) whether one or more parties to the trade believe the trade was at a valid price or quantity, as applicable;
(iii) whether there is any indication that the transaction in question triggered stops or resulted in the execution of a spread transaction as a result thereof;
(iv) whether a third party relied on the price; and
(v) any other factors that the Committee deems relevant.
(c) The Panel shall make its decision as soon as practicable after being convened. The decision of the Panel shall be a final decision.
(7) Once the Panel has reached a decision, the NCSCC shall send a system notice indicating whether the trade will be cancelled and shall also directly contact the parties to the trade in this regard.
(8) In addition, the NCSCC will initiate an alert to the quote vendor network indicating whether the trade will be cancelled.
(9) If a trade is cancelled subject to these error procedures, the NCSCC may also cancel any and all trades that were executed, and bids or offers posted, as a result of contingent orders having been elected by the Error trade. NCSCC shall consider the factors indicated in subsection (6)(b), above, in determining whether to cancel such additional trades and shall take the actions required under subsection (B)(7) and (B)(8) of this rule in connection with such cancelled trades.
(C) The party requesting that the trade be cancelled must submit to the NCSCC no later than two (2) hours after the end of the applicable trading session, a completed Exchange form documenting in writing the reasons for the request that previously had been provided verbally to the NCSCC.
(D) A fee for each Error trade cancelled in accordance with this rule shall be charged to the party responsible for such Error trade as follows:
(1) $250 for each of the first three (3) instances within one calendar year;
(2) $500 for each of the next five (5) instances within one calendar year; and
(3) $1000 for each instance thereafter within one calendar year.
(E) If a potential user Error is brought to the attention of the NCSCC by one of the parties to the potential Error trade later than ten (10) minutes after the trade occurs, the trade will stand. However, NCSCC staff will assign both sides of the transaction to the account of one of the parties if:
(1) The trade would otherwise qualify for treatment as an Error in accordance with section (B)(1) of this rule;
(2) the NCSCC staff, using its best efforts, is able to contact the opposite party to the transaction; and
(3) both parties to the transaction agree to the assignment.
The party reporting the Error and requesting the assignment under this section shall be charged an Error fee in accordance with section (D) of this rule.
([Brackets] indicate additions; strikethroughs indicate deletions.)
3.46 Electronic Trading Review Committee
(A) The Electronic Trading Review Committee shall be a Regular Committee and shall consist of such number of
(B) The Committee shall have jurisdiction to review the circumstances surrounding NYMEX ACCESS® transactions and transactions on Alternative Electronic Trading Systems to determine whether a transaction was in error, and, if so, whether such trade should be cancelled.