Order Types on GLOBEX - 期貨

1.原文連結：
CME No bust range 參考:
http://www.cmegroup.com/globex/files/TradeCancellationPolicy.pdf ( page 8 )

CBOT No bust range 參考 :
http://www.cbot.com/cbot/pub/page/0,3181,1174,00.html ( APPENDIX 9B-3 )

2.內容：
Subject: 公告: Order Types on GLOBEX

As a reminder, now that many commodities are traded on the CME Group's GLOBEX
platform, here are the order types that GLOBEX will accept:

Limit ( 限價單 )
A Limit order allows the buyer to define the maximum price to pay and the
seller the minimum price to accept (the limit price). A Limit order remains
on the book until the order is either executed, canceled or expires. Any
portion of the order that can be matched is immediately executed.

Market with Protection ( 保護市價單 )
Market orders at CME Group are implemented using a "Market with Protection"
approach. Unlike a conventional Market order, where customers are at risk of
having their orders filled at extreme prices, Market with Protection orders
are filled within a predefined range of prices (the protected range). The
protected range is typically the current best bid or offer, plus or minus 50%
of the product's No Bust Range. If the entire order cannot be filled within
the protected range, the unfilled quantity remains on the book as a Limit
order at the limit of the protected range.

有別於傳統的市價單, CME Globex 接受市價委託是以 " Market with Protection "來
執行, 以避免客戶成交極端價格的風險.

For example :
1. Buy 1 June 08 6E @ Market. CME Euro Currency 的 no bust range
為20 ticks. 20 X 50% = 10 ticks.

若現在市場的 best offer 為 15930, 此筆市價委託單進入交易所的委託價

將為15940.

但若遇市價波動劇烈而跳空15940的價格導致無法成交, 此筆單將以

B 1 June 08 6E @15940 限價單 working.

2. Sell 1 June 08 6J @ Market.CME Japanese Yen 的 no bust range

為20 ticks. 20 X 50% = 10 ticks.

若現在市場的 best bid 為 9742, 此筆市價委託單進入交易所的委託價

將為9732.

但若遇市價波動劇烈而跳空9732的價格導致無法成交, 此筆單將以

S 1 June 08 6J @9732 限價單 working.


Stop Limit ( 停損限價單 )
A resting Stop Limit order is triggered when the designated price is traded
on the market. The order then enters the order book as a Limit order with
the customer's specified limit price. The order is executed at all price
levels between the trigger price and the limit price. If the order is not
fully executed, the remaining quantity of the order remains in the market. A
Buy Stop Limit order must have a trigger price greater than the last traded
price for the instrument. A Sell Stop Limit order must have a trigger price
lower than the last traded price.

Stop with Protection ( 保護停損單 )
Stop orders at CME Group are implemented using a "Stop with Protection"
approach. Unlike a conventional Stop order, where customers are at risk of
having their orders filled at extreme prices, Stop with Protection orders are
filled within a predefined range of prices (the protected range). A Stop
with Protection order is triggered when the designated price is traded on the
market. The order then enters the order book as a Limit order with the limit
price equal to the trigger price, plus or minus the predefined protected
range. The protected range is typically the trigger price, plus or minus 50%
of the No Bust Range for that product. The order is executed at all price
levels between the trigger and limit price. If the order is not completely
filled, the remaining quantity rests in the market at the limit price. A Buy
Stop Order must have a trigger price greater than the last traded price for
the instrument. A Sell Stop Order must have a trigger price lower than the
last traded price.

有別於傳統的停損單, CME Globex 接受停損委託是以 " Stop with Protection "來執
行, 以避免客戶成交極端價格的風險.

For example :
1. Buy 1 June 08 6E @ 15930 Stop.CME Euro Currency 的 no bust range

為20 ticks. 20 X 50% = 10 ticks.

若現在市場價格觸及15930而被執行, 此筆停損委託單進入交易所的委

託價將為15940.

但若遇市價波動劇烈而跳空15940的價格導致無法成交, 此筆單將以

B 1 June 08 6E @15940 限價單 working.



2. Sell 1 June 08 6B @ 19880 Stop.CME British Pound 的 no bust range

為30 ticks. 30 X 50% = 15 ticks.

若現在市場價格觸及19880而被執行, 此筆停損委託單進入交易所的委

託價將為19865.

但若遇市價波動劇烈而跳空19865的價格導致無法成交, 此筆單將以

S 1 June 08 6B @19865 限價單 working.






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