Protective mechanisms only come into play in the auction and continuous trading models. They are designed to

• improve price continuity
• preserve price quality

The safeguards are on the one hand volatility interruptions as well as extended volatility interruptions, and price collars on the other hand. A volatility interruption can occur in auctions and continuous trading. Depending on the security, either the Single Volatility Interruption model (for equities and equity-like securities) or the Volatility Interruption Model with Automated Corridor Expansion (for ETFs, ETNs and ETCs) is used. Price collars are applied in Xetra Midpoint, TES LIS trading and Xetra EnLight trading.

The volatility interruption shall strengthen the price continuity of determined prices. Therefore, trading is interrupted by an additional unscheduled auction price determination according to the principle of most executable volume, in case the potential next price would deviate too much from previously determined references prices. Volatility interruptions can be initiated in two ways:

1. The potential execution price is outside the “dynamic” price range based on the reference price. For the dynamic price range, the reference price refers to the last price determined for a security in an auction, in Continuous Trading or in a Mini Auction (= reference price 1).
2. The potential execution price lies outside the additionally defined “static” price range. This broader “static” price range defines the maximum percentage deviation from another reference price (= reference price 2), namely the last price determined in a regular auction (with the exception of Mini Auctions). If this does not exist, then the last price determined on one of the prior trading days shall be taken as the reference price.

The price range defines the maximum percentage deviation from the reference price for a particular security. It is set individually for each security. 

For each security traded in the Single Volatility Interruption model, a single dynamic and single static price range is applied. The minimum duration of a Single Volatility Interruption is 120 seconds.

For securities traded in the Volatility Interruption model with Automated Corridor Expansion, the multi-level price corridors defined per instrument and published in the reference data apply, ranging from narrow to wide. If no valid price can be determined within the current price corridor, the volatility interruption is extended and switched to the next wider price corridor. The minimum duration of the volatility interruption with automated corridor expansion, both for the initial, narrowest level and each subsequent level, is also published in the reference data and amounts to either 120 or 300 seconds per level and trading phase.

Prices in the off-book trading model Xetra EnLight are checked to ensure they do not fall outside a price collar around the current best bid and ask limits in continuous trading with intraday auctions. The price bands are defined as follows:

• ETFs in the XTF segment: 1%
• ETCs and ETNs in their respective segments: 5%
• Equities and other securities: 5%

Quote entries and orders that would result in a price outside the price collar are rejected by the system.

In the Xetra Midpoint trading model, a trade does not occur if the execution price (midpoint price) lies outside a price collar. The respective price collar corresponds to the dynamic or static price range defined for the instrument in the volatility interruption model. The affected orders are not deleted, but simply not executed.

The parameters of the protective mechanisms described here may be adjusted by the Management Board of the Frankfurt Stock Exchange depending on market conditions.