December 16,2020 @05:55 AM
Eurex Circular 057/20
We would like to inform our futures traders that Eurex has decided to increase the efficiency in DAX® (FDAX), Mini-DAX® (FDXM), and (EURO) STOXX® Banks Sector Index Futures (FESB/FSTB).
The following futures trading tick size changes will be effective as of 21 December 2020:
| Product ID | Tick size outright contract (simple instrument) in index points OLD | Tick size outright contract (simple instrument) in index points NEW | Tick size calendar contract (standardised futures strategies) in index
points OLD | Tick size calendar contract (standardised futures strategies) in index
points NEW |
| FDAX | 0.5 | 1.0 | 0.5 | 0.5 |
| FDXM | 1.0 | 1.0 | 1.0 | 0.5 |
| FESB | 0.1 | 0.05 | 0.02 | 0.02 |
| FSTB | 0.1 | 0.05 | 0.02 | 0.02 |
As a result of these futures trading updates, we will delete all outstanding orders and quotes in FDAX following the close of business on December 18, 2020. Please ensure you manage your futures trading positions and prepare to re-enter your orders when the market re-opens. No order/quote deletion will take place in FDXM, FESB, and FSTB.
Starting December 21, 2020, we are updating the tick sizes for futures trading outright, and calendar spreads on DAX® (FDAX), Mini-DAX® (FDXM), EURO STOXX® Banks Sector (FESB), and STOXX® Banks Sector (FSTB). These adjustments will increase or decrease the minimum price fluctuation (tick value) for each futures contract.
The table below contains an overview of the different instruments of the contracts and their ticks.
Decoupling of outright and calendar spread orderbooks for FDAX and FDXM
Effective December 21, 2020, we are decoupling the outright and calendar spread order books for FDAX and FDXM. Simultaneously with the futures trading tick-size adjustments, the trading system will discontinue support for synthetic matching in the outright orderbook using implied prices from the calendar spread book.
Specifically, we are removing support for ‘synthetic paths’ — the combination of best-price orders and quotes across different order books. Consequently, the trading system will no longer calculate ‘synthetic prices’ or maintain path priorities for FDAX and FDXM.
Technical distribution of the product and instrument configuration
The new price granularity is valid for all outright instruments and will be distributed via the instrument snapshot in RDI (Reference Data Interface). The respective instrument attributes are:
| Attributes | FDAX (unchanged) | FDXM (changed) | FESB (changed) | FSTB (changed) |
| InstrumentPricePrecision | 1 | 1 | 2 | 2 |
| MinPriceIncrement | 0.5 | 0.1 | 0.01 | 0.01 |
| MinPriceIncrementAmount | 12.5 | 0.5 | 0.5 | 0.5 |
The valid limit order price granularity for different futures trading instrument types and trade types can be found in the product snapshot in the field “TickRules.”
Change of transaction fees
Following the tick-size adjustments, we will amend the standard futures trading fees for FDAX, FDXM, FESB, and FSTB, effective January 4, 2021. Additionally, we have also planned further amendments to transaction fees for these futures trading products to take effect on January 3, 2022. You can find the specific (planned) updates to the Eurex Clearing AG Price List in the attached Eurex Clearing circular 065/20.
More information can be found on the Eurex Website: Click Here
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