關於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 Ranges
CME Price Banding (STL 最大區間)
https://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Price+Banding
CME Stop Spike Logic (防止價格過度波動)
http://www.thegosu.com/upload/ElectronicTradingConcepts.pdf (P35)
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:
★ 委託 Buy 1 M9 JY 9320 Stop
日幣JY 的 “no bust range” 為 40 ticks
若現在市場的最好賣價 9320, 此筆市價委託單進入交易所的委託價將為 9340(9320+20)。
意即送到交易所委託內容為 Buy 1 M9 JY 9320 STOP 9340 LMT
但若遇市價波動劇烈,價位穿過 9340 , 導致無法成交, 此筆單將以 Buy 1 M9 JY 9340 限價掛著委託。
★ 委託 Sell 1 M9 JY 9300 Stop
日幣JY 的 “no bust range” 為 40 ticks.
若現在市場價格觸及 9300 而被執行, 此筆停損委託單進入交易所的委託價將為 9280(9300-20)。
意即送到交易所委託內容為 Sell 1 M9 JY 9300 STOP 9280 LMT
但若遇市價波動劇烈 , 價位穿過 9280 , 導致無法成交, 此筆單將以Sell 1 M9 JY 9280 限價掛著委託。
詳細價格限制,請參交易所最新公告。
農產品:https://www.cmegroup.com/trading/price-limits.html#agricultural
能源類:https://www.cmegroup.com/trading/price-limits.html#energy
指數類:https://www.cmegroup.com/trading/price-limits.html#equityIndex
利率類:https://www.cmegroup.com/trading/price-limits.html#interestRates
金屬類:https://www.cmegroup.com/trading/price-limits.html#metals