CME/Globex電子交易平台保護市價單和保護停損單相關說明

CME交易所基於保護交易人，針對在Globex平台交易的MARKET 和 STOP單，作出一些保護措施，執行價位區間以 “ No bust range “ 的50%為限，舉例如下，若有異動，以交易所為準。

CME No bust range 參考

http://www.rulebook.cme.com/Rulebook/Chapters/pdffiles/005.pdf  ( Page 49-51 )

CME Price Banding 參考(STL最大區間)

http://www.cme.com/files/PriceBanding.pdf

 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。

舉例說明:

• Buy 1 M EC Market

EC的 “no bust range” 為20 ticks(如下面附件).  20 X 50% = 10 ticks.

若現在市場的最好賣價 15930, 此筆市價委託單進入交易所的委託價將為15940(15930+10)。但若遇市價波動劇烈,價位穿過15940 , 導致無法成交, 此筆單將以Buy1MEC15940 掛著委託。

• Sell 1 M JY Market

JY 的 “no bust range” 為20 ticks.  20 X 50% = 10 ticks.

若現在市場的最好買價為 9742, 此筆市價委託單進入交易所的委託價將為9732.(9742-10)。但若遇市價波動劇烈, 價位穿過9732, 導致無法成交, 此筆單將以 Sell 1 M JY 9732掛著委託。

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。

舉例說明:

• Buy 1 M EC 15930 Stop  

EC的 “no bust range” 為20 ticks

若現在市場的最好賣價 15930, 此筆市價委託單進入交易所的委託價將為15940(15930+10)。但若遇市價波動劇烈,價位穿過15940 , 導致無法成交, 此筆單將以Buy1MEC15940 掛著委託 

•  Sell 1 M BP 19880 Stop

BP 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.(19880-15)。 但若遇市價波動劇烈 , 價位穿過19865 , 導致無法成交, 此筆單將以 S 1 M BP 19865掛著委託。

附件