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Eurex Improve: Simulation exercise and amendment of Contract Specifications

Release date: 13 Jan 2020 | Eurex Exchange

003/2020 Eurex Improve: Simulation exercise and amendment of Contract Specifications

Eurex Circular 003/20

1. Introduction 

On 20 January 2020, Eurex will conduct a dedicated Eurex Improve simulation exercise to prepare for the launch of Eurex Improve on 3 February 2020. The exercise will be carried out from 10:00 to 11:00 CET and from 17:00 to 18:00CET.

Furthermore, Eurex amends the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland as of 3 February 2020 in order to include the parameter calibration of Eurex Improve. The changes to the Contract Specifications are attached to this circular.

Eurex Improve is a new functionality that aims to generate additional orderbook trading volume. Eurex Improve provides Trading Participants with a tool suitable to guarantee their customers full execution of orders below minimum block trade sizes at the best price available at Eurex.

Simulation exercise: 20 January 2020

Production start: 3 February 2020

2. Action required

Participation in the Eurex Improve simulation exercise is on a voluntary basis and does not require prior registration.

Trading Participants wishing to test Eurex Improve in the simulation environment and searching for a counterpart to simulate Improve requests outside of the simulation exercise are invited to contact us to discuss what can be facilitated.

3. Details of the initiative

Eurex Improve is already available in the Eurex T7 simulation environment. To increase the probability of different Trading Participants interacting with each other, Eurex conducts a dedicated Eurex Improve simulation exercise on 20 January 2020, from 10:00 to 11:00CET and from 17:00 to 18:00 CET.

During the indicated time slots, Eurex encourages:

  • all Trading Participants conducting customer business, to initiate Improve requests, and
  • all Trading Participants intending to respond to Improve requests, to have their respective algorithms operational in the simulation environment.

In addition to the interaction of Trading Participants, Eurex will support the simulation exercise by initiating Improve requests and responding to Improve requests on best effort basis, using a business unit (BU) and user ID owned by the Eurex Exchange.

Since Eurex does not maintain an algorithm to automatically respond to Improve requests, interested Trading Participants, who want Eurex to respond to their requests, are requested to send Improve requests in the following two contracts:

Option on EURO STOXX 50®: OESX Mar20 3750 (call and put)
Option on Siemens AG: SIFF Mar20 12000 (call and put)

Eurex will respond to respective Improve requests on a best effort basis.

Please note that the length of the price improvement period to respond to Improve requests is set to five seconds (5,000 milliseconds) in the simulation environment. This length differs from the length of the price improvement period in the production environment (150 milliseconds). All other Eurex Improve parameters are calibrated identically in the simulation environment and the production environment.

Attachment

  • Updated section of the Contract Specifications for Futures Contracts and Options Contracts at Eurex Deutschland

Further information

Recipients:All Trading Participants of Eurex Deutschland and Vendors
Target groups:Front Office/Trading, Middle + Backoffice
Contact:

Kirstin Meissner, Market Structure & Regulation, T +44 207 8 62 72 55, kirstin.meissner@eurexchange.com;
Thomas Winter, Market Functionality, T +49-69-211-1 47 69, thomas.winter@eurexchange.com

Web: Eurex Improve
Related circulars:Eurex circulars 036/18 and 114/19
Authorised by:Randolf Roth