Exchange Price Range Rules and Reference Price Calculation
Summary
This document describes an exchange execution rule that bounds the prices at which a taker order may fill, using upper and lower multipliers around a reference price. The applicable bounds can differ by buy or sell side and by direction. The reference price changes over time, while the limits for an order are fixed when it enters its taker phase. A fill attempt outside the permitted range causes the taker order to expire. The rule is not enforced when required rule fields or a usable reference price are absent.
It also explains several ways to determine the reference price. The matching engine may calculate a trade-price average across rolling time buckets, prorating the oldest bucket when it partly falls outside the window. Other methods include manual or fixed values, averages from external providers, futures index prices, or spot midpoint averages and linked averages. The document is operational exchange documentation, not a trading strategy or evidence that price bounds improve execution. Its hypothetical values are illustrative, and actual symbol settings must be queried from the venue.
Key ideas
- The rule restricts taker executions to a configured range around a reference price.
- An order’s execution limits are set at the start of its taker phase and remain in place for that phase.
- An out-of-range taker execution attempt expires the order.
- Reference prices may use rolling trade averages, external data, futures indices, or spot midpoint calculations.
- Missing rule multipliers or reference prices can leave the rule unenforced.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.