Info Hub

Connectivity

Click here for a PDF of the connectivity information.

Connecting to the Exchange Backbone

Small Exchange POP and Environment Locations

The Small Exchange maintains Backbone POPs in the following locations:

Exchange POP Code

Environment

Facility Operator/Name

Location

Exchange POP Code

AB2

Environment

Production

Facility Operator/Name

CryusOne/Building 2

Location

2805 Diehl Rd - Aurora, IL

Exchange POP Code

NY2

Environment

DR, Certification

Facility Operator/Name

Equinix/NY2

Location

275 Hartz Way, Secaucus, NJ

Exchange POP Code

CH1

Environment

Facility Operator/Name

Equinix/CH1

Location

350 E. Cermak, Chicago, IL

Exchange Status

FIX Requirements

The documents below describe the Small Exchange order management, market data and drop copy FIX API.  The API uses FIX protocol version 4.4. The documents are not intended to serve as a complete specification of the FIX protocol. It is assumed the reader is acquainted with the protocol. Please refer to the official FIX specifications at https://www.fixtrading.org/ website for additional details.

Market States

The market state will define the accepted order types and processing, as well as market data distribution logic for a contract.  Market states are managed by the Small Exchange and disseminated over market data. Trading states for each contract's session on the Small Exchange use the following logic for order processing:

State

Order Matching

Accepted Orders

State

Closed

Order Matching

No order matching, no trades occur.

Accepted Orders

No orders are accepted; all inbound orders are rejected.

State

Pre-open

Order Matching

No order matching, no trades occur. Orders on opposite sides may cross.

Accepted Orders

Limit, Stop, and Stop-Limit order types are accepted with a time in force of GTC or Day. These orders can also be canceled or replaced. Market, FOK, and IOC orders are rejected.

State

Pre-open No Cancel

Order Matching

No order matching, no trades occur. Orders on opposite sides may cross.

Accepted Orders

Limit, Stop, and Stop-Limit order types are accepted with a time in force of GTC or Day. Cancel and replace requests will not be accepted. Market, FOK, and IOC orders are rejected.

State

Open

Order Matching

Regular price-time priority matching.

Accepted Orders

All supported orders are accepted.

State

Paused

Order Matching

No order matching, no trades occur.

Accepted Orders

Only order cancelation is allowed. New and replace orders are rejected.

State

Halted

Order Matching

No order matching, no trades occur.

Accepted Orders

No orders are accepted, all inbound orders are rejected.

Matching Engine

To match orders, the Small Exchange developed an anonymous, FIFO (first in, first out) execution algorithm using the order’s price-time priority. All orders received are placed into the corresponding contract's CLOB and are prioritized in accordance with order’s effective limit price. Orders with the same effective limit price are prioritized in accordance with the time they were received by the Matching Engine. The first order received at the contract's best price level (the highest bid or lowest offer) is the first order to match with an opposite side order.

Price-Time Priority Example

The following orders are entered into the CLOB:

Order 1 buy 10 SM75@90.99

Order 2 sell 15 SM75@91.06

Order 3 buy 10 SM75@91.00

Order 4 sell 10 SM75@91.07

Order 5 sell 10 SM75@91.06

Order 6 buy 5 SM75@91.00

Order 3 has a time priority over Order 6, meaning Order 3 will match at the price level of 91.00 before Order 6. Similarly, on the sell side, Order 2 has a time priority over Order 5.

A 7th aggressor order enters the CLOB to buy 40 SM75@ 91.10 and the following trades are produced in this order:

  1. 15 SM75@91.06. The best offer available is Order 2 at 91.06 which satisfies the limit price of aggressor Order 7. Order is fully filled and removed from the CLOB.
  2. 10 SM75@91.06. Order 7 has a remaining quantity of 25 which matches with Order 5, removing this from the CLOB.
  3. 10 SM75@91.07. Order 7 now has remaining working quantity of 15.  There are no offer orders at the 91.06 price level, and the next best offer in the CLOB is Order 4 at 91.07, which also satisfies the aggressor limit price of 91.10.  Order 4 is removed from the CLOB.

Order 7 is placed in the CLOB with a remaining working quantity of 5 as there are not any remaining offers in the CLOB that satisfy the limit price.

Order Modification

An order that is modified or replaced may or may not lose its priority in the queue as follows:

  • If an order’s price is changed, the order loses its priority and is placed at the end of the queue for its new price level.
  • If an order’s quantity is increased, the order loses its priority and is moved to the end of the queue within the same price level.
  • If an order’s quantity is decreased, it maintains its priority in the queue.

Implied Orders

The Small Exchange’s Matching Engine generates implied orders based on real, direct orders received by market Participants.  The Exchange supports implied orders for single and multi-leg orders and implied orders are only generated when the markets are in an open state.

Implied Single Orders

Implied single orders are generated from real two-leg orders and single contract orders.  For example, an implied bid order for contract A can be generated from direct bid orders from A+B and direct best offer order for B.

Single Implied Order Generation Rules

  1. For every contract, implied orders can be generated for each side based on the best priced order of the contract's CLOB and the two-leg contract's CLOB.
  2. The effective limit price of a generated implied order is determined using the multi-leg order formula, taking into consideration side and leg ratios.
    Example
    a. Buy A@90.50 and sell A-B@0.30 => generate implied buy B@90.20
    b. Sell B@90.10 and sell A-B@0.30 => generate implied sell A@90.40
    c. Sell B@50.00 and buy A+2B@180.00 => generate implied buy A@80.00
  3. An implied order for a contract which is generated from a multi-leg order that has a leg ratio other than 1 is generated but not distributed over market data protocol. 
    Example
    a. Sell A@80.00 and buy A+2B@180.00 => generate implied buy B@50.00 with minimum required fill quantity of 2 as required by the leg ratio in the multi-leg contract.  The minimum fill requirement makes the implied order not useful to be distributed over market data protocol. 
  4. The size of the implied order is determined as a possible fill size between a single order and multi-leg order multiplied by the implied contract ratio in the multi-leg ratio. 
    Example
    a. Buy 15 contracts of A and sell 20 contracts of A-B generate implied buy 15 contracts of B.
    b. Sell 15 contracts of A and buy 10 contracts of A+2B generate implied buy 20 contracts of B (as 10*2).
    c. Sell 15 contracts of A and buy 10 contracts of 2A+3B generate implied buy 21 contracts of B (as 7*3). 

Implied Multi-leg Orders

Implied multi-leg orders are generated from existing real best bid and best offer of the leg's contracts.  For example, an implied bid order for contract A+B can be generated from best bid orders of contract A and B.

Multi-leg Implied Order Generation Rules

  1. For every multi-leg contract, implied orders can be generated for each side based on the best priced orders of the contract's CLOB.
  2. The effective limit price of generated implied order is determined using a multi-leg order formula taking into consideration sides and legs ratios.
    Example:
    Buy A@95.50 and sell B@95.70 => generate implied A-B@-0.20
  3. Implied orders for listed multi-leg contracts (specifically, calendar and standard ratio intercommodity spreads) are distributed over market data protocol.
  4. The size of generated implied order is determined using the minimum of the leg’s order size.
    Example:
    Buy 15 contracts of A and sell 20 contracts of B => generate implied buy 15 contracts of A-B
  5. Implied order generation procedure may not start and may not generate any implied multi-leg orders when there is a high volume of real direct orders from Participants.

Implied Order Matching Rules

  • Implied orders have a lower matching priority than real, direct orders with the same price.   
  • An implied order will be canceled and becomes ineligible for matching when one (1) or both of the orders used to generate the implied order is removed from an CLOB by being canceled, expired, filled or replaced.  
  • When an implied match occurs, the aggressor order with the latest timestamp (e.g. the last order received by the Matching Engine across all orders in the match) receives the best fill price.

Example

4 direct orders are placed into the books:

Order #1 - buy 10 SM75-S10Y@0.02

Order #2 - sell 25 SM75-S10Y@0.05

Order #3 - buy 10 SM75@91.00

Order #4 - sell 15 S10Y@90.98

These direct orders create the below list of implied orders:

  • Buy 10 SM75-S10Y@0.02.  This first level implied multi-leg order is created from Order #3 and Order #4.
  • Buy 10 S10Y@90.95.  This first level single implied order is created from Order #2 and Order #3.
  • Sell 15 SM75@91.03.  This first level single implied order is created from Order #2 and Order #4.
  • Buy 10 SM75@90.97.  This second level single implied order is created from Order #1 and the second implied order above, buy 10 S10Y@90.95. 
  • Sell 10 S10Y@91.01.  This second level single implied order is created from Order #1 and the third implied order above, sell 15 SM75@91.03.

Aggressor Order #5 is received:

Sell 25 SM75-S10Y@0.01

This order triggers the following actions:

Order #1 (buy 10 SM75-S10Y@0.02) and Order #5 (sell 10 SM75-S10Y@0.02) are matched. This causes implied orders buy 10 SM75@90.97 and sell 10 S10Y@91.01 to be canceled.

Order #5 (sell 10 SM75-S10Y@0.02), Order #3 (buy 10 SM75@91.00) and Order #4 (sell 15 S10Y@90.98) are matched. Implied order to buy 10 S10Y@90.95 is canceled and implied order sell 15 SM75@91.03 is reduced to 5 contracts: sell 5 SM75@91.03.

Orders remaining in the book:

Price Assignment

Regular

This method is used when a contract's market is open.  When there are multiple orders, the inbound aggressor order will always receive the best price. 

Example

There is a resting order to sell @95.00 and an inbound aggressor order enters the market to buy @96.00.  The resulting trade produced for the orders will have a price of 95.00, which is the best price available when the aggressor order is processed.  Any remaining quantity from the aggressor order will be placed in the CLOB using the priority of its price and time.

Indicative Opening Price

This pricing method is used when a contract's market state is in pre-open.  The indicative opening price provides market participants with a probable price and quantity at which the market will open. This price is calculated based on all direct limit orders; bid and offers may cross but no matches occur until the contract's market switches to open.  Stop orders are excluded from this calculation and implied orders are not generated during pre-open. The indicative opening price will be generated and disseminated in the market data at the price level with the largest matching quantity of bids and offers.  Since this is based on the current book and order activity, the indicative opening price may change according to activity and, conversely, if there are not any matching orders, an indicative opening price will not be generated.   

Opening Price

The opening price is calculated using an algorithm that considers the total number of matching buy and sell orders:

  1. Buys and sells are totaled at each price level.
  2. The price level with the largest number of matching orders on the buy and sell side will be the opening price.
  3. If there are several price levels with the same matching quantity, the price closest to the previous day’s settlement will be the opening price.
  4. If there are not any crossing buy and sell orders the opening price will be the first traded price after the opening.
    Example
    Previous day settlement = 91.05

Cumulative Bid Quantity

Bid Quantity

Price

Offer Quantity

Cumulative Offer Quantity

Matching/Non-matching Calculations

Cumulative Bid Quantity

20

Bid Quantity

20

Price

91.00

Offer Quantity

20

Cumulative Offer Quantity

220

Matching/Non-matching Calculations

matching quantity = 20

Cumulative Bid Quantity

50

Bid Quantity

30

Price

90.99

Offer Quantity

30

Cumulative Offer Quantity

200

Matching/Non-matching Calculations

matching quantity = 50

Cumulative Bid Quantity

120

Bid Quantity

70

Price

90.98

Offer Quantity

50

Cumulative Offer Quantity

170

Matching/Non-matching Calculations

matching quantity = 120

Cumulative Bid Quantity

210

Bid Quantity

90

Price

90.97

Offer Quantity

70

Cumulative Offer Quantity

120

Matching/Non-matching Calculations

matching quantity = 120

Cumulative Bid Quantity

230

Bid Quantity

20

Price

90.96

Offer Quantity

30

Cumulative Offer Quantity

50

Matching/Non-matching Calculations

matching quantity = 50

Cumulative Bid Quantity

235

Bid Quantity

5

Price

90.95

Offer Quantity

20

Cumulative Offer Quantity

20

Matching/Non-matching Calculations

matching quantity = 20

The price 90.98 is chosen as the Opening as the price is closer to the previous day settlement of 91.05

Transition to Open

When the market transitions to open, the following steps are performed as a single, atomic transaction in the matching engine:

  • The opening price is calculated based on all direct limit orders for the contract's CLOB. This is only done if there has not been any published opening price for the contract on that trading day.
  • All direct crossing bid and offer orders are matched, and related trades are produced.
  • All changes to the market during the opening are distributed over market data for the contract.
  • After the initial opening price is calculated and disseminated, any eligible stop orders will become active.
  • Implied matching and pricing is enabled for the contract.

Order Status

Every order processed by the Matching Engine will receive a status to facilitate order management workflows for FIX and REST APIs. The table below provides a list of all applicable statuses and their descriptions.

Status

Description

Status

New/Working

Description

New and replace orders will have a new status when they are successfully placed into an CLOB. New orders can be treated as working. When a replaced order has a new status, this also means that the original order has successfully been replaced. Working orders can be modified or canceled at any time before being filled.

Status

Partially Filled

Description

An order is partially filled when a portion of the order is filled by some quantity and some quantity is not filled and is still working.

Status

Filled

Description

The order has been filled. No modifications or cancelations can be made after an order has been filled.

Status

Canceled

Description

Orders that have been canceled and are no longer working.  No modifications or cancelations can be made after an order has been canceled.

Status

Rejected

Description

Orders that have not been accepted by the Matching Engine will receive a rejected status.  Orders can be rejected for a number of reasons.

Status

Expired

Description

Order quantities that were not filled or canceled prior to the close of their specified TIF trading session will have an expired status. This will also apply to working orders when a particular contract is expired.

Order Types

Small Exchange supports market, limit, stop, and stop-limit orders.

Market Order

Market orders are submitted without a specified limit price and are executed at the best price available in the CLOB when the order is received. Market orders entered on the Small Exchange are given protection prices to prevent market orders from being filled at extreme prices and the market orders are filled within this predefined range. Protection levels are defined by the Exchange and may vary by product. To determine the protection price on bid orders, protection points are added to the current best offer price. Conversely, protection points are subtracted from the current best bid price to determine the protection price on offer orders. If there is no liquidity on the opposite side so a market order can calculate its protection price, the order is rejected.  Market orders can only have a time in force of Day.

Example

The CLOB is as follows:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

100

Bid Price

9

Ask Price

10

Ask Quantity

100

Bid Quantity

50

Bid Price

8

Ask Price

11

Ask Quantity

50

Bid Quantity

10

Bid Price

7

Ask Price

12

Ask Quantity

10

Bid Quantity

1

Bid Price

6

Ask Price

13

Ask Quantity

1

If a market bid order is submitted for 150 contracts, the best price to match the buy order will be 10.  The first 100 contracts will match at price 10, and the remaining 50 contracts will match with the next best price, 11.  The CLOB will therefore change to:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

100

Bid Price

9

Ask Price

12

Ask Quantity

10

Bid Quantity

50

Bid Price

8

Ask Price

13

Ask Quantity

1

Bid Quantity

10

Bid Price

7

Ask Price

Ask Quantity

Bid Quantity

1

Bid Price

6

Ask Price

Ask Quantity

Limit Order

A limit order has a specified limit price which defines the maximum price for buying or the minimum price for selling.  The system is designed to execute a buy order at or below the specified limit price and a sell order at or above the specified limit price.

Example

The CLOB is as follows:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

100

Bid Price

9

Ask Price

10

Ask Quantity

100

Bid Quantity

50

Bid Price

8

Ask Price

11

Ask Quantity

50

Bid Quantity

10

Bid Price

7

Ask Price

12

Ask Quantity

10

Bid Quantity

1

Bid Price

6

Ask Price

13

Ask Quantity

1

If a limit bid order is submitted for 150 contracts at price 10, the limit price will make sure that the buy order does not pay more than 10.  The first 100 contracts will match at 10, the remaining 50 contracts will not match with any resting ask orders and will rest on the book. The CLOB will change to:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

50

Bid Price

10

Ask Price

11

Ask Quantity

50

Bid Quantity

100

Bid Price

9

Ask Price

12

Ask Quantity

10

Bid Quantity

50

Bid Price

8

Ask Price

13

Ask Quantity

1

Bid Quantity

10

Bid Price

7

Ask Price

Ask Quantity

Bid Quantity

1

Bid Price

6

Ask Price

Ask Quantity

Stop Order with Protection

Stop orders are entered on the market with a specified price to buy or sell when a future trades past the specified price. When the stop price is reached, the stop order becomes a market order and it is given a protection price to prevent the order from being executed at an extreme price.  The triggered order can only be executed within the protection range limit. Triggered stop orders that are working cannot be replaced, only canceled.

Example

Bid

A Participant enters a stop order: buy 10 with a trigger price 100. The Exchange has set protection points at 3.00, so the Participant’s order will not be filled at a price greater than 103.

A trade occurs at the trigger price of 100 and the order is activated.  The Participant receives partial fills for:
2 @ 100.25
3 @ 102.00
2 @ 102.50

The next best offer is received at 103.20 which exceeds the protection price limit of 103.  The Exchange places the remaining 3 orders on the CLOB at a protection price limit of 103.

Ask

The Participant enters a stop order: sell 10 with a trigger price of 100. Exchange has set protection points at 3.00, so the Participant’s order will not be filled at a price less than 97.

A trade occurs at the trigger price of 100 and the order is activated.  The Participant receives partial fills for: 
2 @ 99.75
3 @ 98.00
3 @ 97.50

The next best bid is 96.80 which is below the protection price limit of 97.  The Exchange places the remaining 2 orders on the CLOB at a protection price limit of 97.

Stop-Limit Order

Stop-limit orders are entered on the market with 2 specified prices: the stop price and the limit price.  When the stop price is traded on the first trade above the stop price, the stop-limit order is triggered and enters the market as a limit order. The limit price is the highest/lowest price at which the stop order will be filled and the order will only be filled at price levels between the trigger price and the limit price.  If any quantity is unfilled, it remains on the CLOB as a limit order at the limit price. Triggered stop-limit orders that are working cannot be replaced, only canceled.

Example

Buy 10 @ 99.95: Stop Limit 100.15

CLOB when order is entered:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

5

Bid Price

99.75

Ask Price

100.00

Ask Quantity

5

Bid Quantity

3

Bid Price

99.70

Ask Price

100.05

Ask Quantity

3

Bid Quantity

3

Bid Price

99.65

Ask Price

100.10

Ask Quantity

3

Bid Quantity

2

Bid Price

99.60

Ask Price

100.15

Ask Quantity

2

A trade occurs in the market at the stop price of 99.95 activating the stop-limit order. The order executes through all price levels to the limit price of 100.15.

Post execution CLOB:

Bid Quantity

Bid Price

Ask Price

Ask Quantity

Bid Quantity

5

Bid Price

99.75

Ask Price

100.10

Ask Quantity

1

Bid Quantity

3

Bid Price

99.70

Ask Price

100.15

Ask Quantity

2

Bid Quantity

3

Bid Price

99.65

Ask Price

Ask Quantity

Bid Quantity

2

Bid Price

99.60

Ask Price

Ask Quantity

Stop and Stop-Limit Order Processing

When a stop order or stop-limit reaches the Matching Engine it is validated for a specified stop price.  Buy orders must have a stop price greater than the last traded price and sell orders must have a stop price less than the last traded price.  If the order does not meet this criteria, it is rejected. If a contract does not have a last traded price for current trading session, the previous day’s settlement price is used for validation.  Accepted stop and stop-limit orders are placed in a queue and do not enter the CLOB until the stop price is triggered.  

  • Buy stop and stop-limit orders are triggered by a trade at a price equal or above the order’s stop price.
  • Sell stop and stop-limit orders are triggered by a trade at a price equal or below the order’s stop price.

Time in Force

Each order reaching the Matching Engine must have a Time In Force (TIF) qualifier defining how long the order remains in effect.  If the order is not filled within the timeframe specified by the qualifier, it will expire. Acceptable TIF qualifiers and order types are listed below.  Orders received with unsupported TIF and order type combinations are rejected.

Accepted orders types and time in force qualifiers supported when the markets are in an open state:

Day

These orders remain eligible for execution during the session in which it is placed.  After the trading session closes, the remaining portion of all unexecuted day orders will expire.  Day orders are supported for market, stop, limit, and stop-limit orders.

Good Til Canceled (GTC)

GTC orders remain in effect until the order’s contract is expired or until the order is canceled.  At the close of the contract's last trading day, any unexecuted GTC orders will be expired. The GTC time in force qualifier is supported for stop, limit, and stop-limit orders.

Immediate or Cancel (IOC)

IOC orders received by the Matching Engine are immediately filled for at least the specified minimum quantity and any remaining portion of the order that cannot be immediately filled is canceled.  The IOC qualifier is accepted for limit orders only.

Fill or Kill (FOK)

FOK orders must be executed in their entirety immediately.  If the total quantity of a FOK order cannot be immediately filled, the entire order is canceled.  The FOK qualifier is accepted for limit orders.

Contract Types

Outrights

Each product trading on the Small Exchange has two (2) months available for trading: the current month and the following month.  Once the current month's contract expires, the new month begins trading the trading day after expiration. Options on these futures products will be available shortly.

Spreads

Spread trading is simultaneously buying one (1) futures contract and selling another.  Small Exchange supports calendar and intercommodity spreads across certain asset classes. The Exchange’s CLOB treats these defined spreads as separate products and accepts a single price and quantity even though they are constructed of more than one (1) contract.

Calendar (intracommodity) spreads

Each product will have 2 months listed for trading and these will make-up the months for a calendar spread.  The construction of the spread consists of purchasing the shorter month and selling the longer month or vice versa. Each spread will have its own CLOB, but it is possible through implied pricing, the spread can execute against another spread or against orders in the single leg CLOB.

Example

Shorter Month

Longer Month

Spread

Shorter Month

January

Longer Month

February

Spread

January - February

Cross-product (intercommodity) spreads

The Small Exchange accepts recognized spreads between different products with the same expiration month, which are defined below within a 1 by 5 ratio.   Each recognized ratio will have its own CLOB. It is possible the spread can execute against another spread order or against orders in the single leg CLOB.

Accepted cross-product spreads:

Small Stocks 75 vs. Small 10 Year US Treasure Yield

Small Precious Metals vs. Small Dollar 

Small Precious Metals vs. Small Global Oil

Small Dollar vs. Small Global Oil

Risk Controls

All risk management services are offered by the Small Exchange on a best-effort basis. Clearing Members only have access to the Trading Firms and Members they guarantee.  Small Exchange personnel have access to all risk controls and can enable and/or adjust controls as necessary.

Dynamic Price Bands

Price bands are used to prevent erroneously priced orders from entering the market.  The bands validate limit price-based orders, rejecting any buy orders above the upper band and any sell orders below the lower band. These are dynamic based on the reference price.  The reference price is the last traded price. If it is not yet defined for a trading session, the previous day's settlement is used. The reference price will be added to bids and subtracted from offers.

Logic for single instruments:

<Upper Price Band> = <Reference Price> + <Intrument Price Increment> * <Instrument Upper Price Band Offset>

<Lower Price Band> = <Reference Price> - <Intrument Price Increment> * <Instrument Lower Price Band Offset>

Logic for multileg instruments:

<Upper Price Band> is calculated using multi leg formula by taking taking Upper Price Band for all positive ratio legs and Lower Price Band for all negative ratio legs.

<Lower Price Band> is calculated using multi leg formula by taking taking Lower Price Band for all positive ratio legs and Upper Price Band for all negative ratio legs.

Price bands are applied to all time in force qualifiers. In the case of stop-limit orders, the stop and limit prices for sell orders must be less than the reference price and for buy orders the stop and limit prices must be greater than the reference price. Band validation does not prevent bids below the market or offers above the market from being accepted on the Exchange. Price bands are not applied during the pre-open or pre-open no cancel states.

Price Protection

The Exchange adds a protection level to market orders and stop orders after they are triggered.  The purpose of this is to protect these orders from filling at bad prices that are far off from the market price at the time of the order due to price slippage in an illiquid or volatile market. Protection levels are defined by the Exchange and may vary by product. To determine the protection price on bid orders, protection points are added to the current best offer price. Conversely, protection points are subtracted from the current best bid price to determine the protection price on offer orders. If there is no liquidity on the opposite side in order to calculate the protection price, the order is rejected. 

Daily Limit

The daily limit is the maximum price range permitted for a contract during a trading session.  The daily limit helps the Small Exchange maintain stable markets by preventing extraordinary market volatility during periods of significant stress.  This pre-order check is performed on all order types with the exception of good till canceled orders. Buy orders priced above the upper daily limit and sell orders priced below the lower daily limit will be rejected, preventing the market from trading above or below this predetermined price. 

The daily limit is based off the previous day’s settlement price.  Generally, this is set at 20%, subject to change by the Small Exchange, as dictated by the marketplace. 

Intraday Limits

The purpose of a intraday limit is to provide the market a momentary pause during times of increased volatility.  This market halt is intended to give participants time to respond to large, unexpected movements in a particular market on the Small Exchange.  The Exchange employs 2 intraday limits at 7% and 13% of the previous day’s settlement price and these can be changed by the Small Exchange, as dictated by the marketplace. During a triggered intraday limit event, the market state is switched to “paused” for 3 minutes and the following actions take place: 

  • For the first minute, trading is paused and only order cancelations are allowed.
  • During the second minute, the market is in a pre-open state.
  • In the final minute, the market is in a pre-open no cancel state and then reopens. After the market reopens a new opening price is not calculated or published. 

Maximum Quantity Order Limits

Clearing Members are required to set maximum order quantity limits on each product for their associated trading firms.  This pre-order validation requires the Clearing Member to define the maximum order quantity that will be accepted and any order over this size will be rejected.  Max quantity limits will default to zero and orders will be rejected until this is updated to a positive value for each product. 

Position Exposure Limits

Clearing Members are responsible for setting position exposure limits within each product for their associated trading firms. The matching engine validates orders against the position exposure limits and, if the validation fails, the order will be rejected. If the trading firm has no exposure (zero) limit set for a certain product, all orders received from that firm within that product will be rejected.  When a trading firm is added, the limits default to zero and the Clearing Member must set max long and max short exposure limits to enable trading.

Position limits are calculated by netting the long and short fills then adding gross working orders.

Long positions = long working quantity + day long fills - day short fills

Short positions = short working quantity + day short fills - day long fills

Credit Exposure Limits

The credit exposure limit is the permitted maximum exposure in USD across the trading day and this can be set by a Clearing Member on their trading firms as an additional way to manage risk.  This limit is the overall exposure allowed per firm and is calculated using each product’s initial margin rate, multiplied by the number of filled and working contracts. Trades are netted by each instrument within each trading firm and working orders are added on a gross basis.  If a working order is canceled, that value is returned to the overall exposure amount. Limits can be updated during the trading day and will reset prior to the start of each new trading day. Clearing Members will be notified as they approach specified thresholds (e.g. 50%, 80%, 90%, etc.).  If the credit limit is met or exceeded, the Clearing Member or the Exchange can use the kill switch to reject new trades and/or cancel working orders.

Kill Switch

The kill switch can be activated to either block new orders or block new orders and cancel working orders.  Once the kill switch has been activated, it will stay active until it is deactivated. Clearing Member admins will have access to the kill switch for their firm, their associated trading firms, and they will be able to grant other authorized persons access as applicable.  Appropriate personnel within the Small Exchange will have access to all instances of the kill switch. The kill switch, when activated, will cancel and/or block orders during Pre-open, Open and Paused market states. The kill switch will not cancel orders during Pre-open no cancel and Halted market states.

Kill switch functionality is executed on a best-effort basis.

Self-Match Prevention

Self-match prevention is an optional risk control for Participants.  This functionality is intended to prevent the matching of orders with common ownership.  Participants choosing to utilize self-match prevention will send their Small Exchange generated self-match ID with all their orders using FIX tag 2362.  Orders received having an unknown self-match ID will be rejected. Two (2) orders having the same token are prevented from matching by canceling one (1) or both of the orders.  The Participant will have the option to cancel the aggressor order (last order received by the Matching Engine), cancel the resting order, or cancel both orders. This strategy will be sent in tag 8000. Self-match will prevent self-matches during implied trades and during the pre-open and pre-open no cancel states.

Self-match prevention is executed on a best-effort basis.

Cancel on Disconnect

Cancel on disconnect is an optional setting for each trading session. Participants will set this when they configure their FIX line.  When enabled, the FIX gateway is monitored for disconnections or timeouts at intervals specified by the Participant when they log on to the FIX session.  When an absence of a heartbeat is detected for the Participant specified time, all the working orders for that session will be canceled, regardless of the order’s time in force.  It is the Participant’s responsibility to reenter all orders that have been canceled by cancel on disconnect. If this functionality works correctly, the Participant will receive a cancel confirmation message for the canceled orders once the FIX session is reconnected.  Cancel on disconnect will cancel orders during Pre-open, Open and Paused market states. Cancel on disconnect will not cancel orders during Pre-open no cancel and Halted market states.

When enabled, cancel on disconnect is executed on a best-effort basis.

FIX Message Throttle

The Small Exchange implements message throttling to assist with maintaining an orderly market.  This control reduces negative impacts to the Exchange’s marketplace in the case a malfunctioning trading system, among other things.  The FIX message throttle is a configuration of the Small Exchange’s FIX gateway to limit the number of messages (New, Replace or Cancel Orders) received from FIX sessions within time periods of 100ms and 1s. In the case a Participant exceeds any of the FIX session limits, subsequent messages are rejected until the rate falls below the threshold.

FIX throttling services are executed on a best-effort basis.

Settlement & Expiration

Daily Settlement of the Front Month

The front month is the contract nearest to expiration for a particular Small Exchange product. The front month is the anchor leg for settlements. When the front month expires, the nearest contract to expiration becomes the new front month.

If a trade occurs in the last sixty (60) seconds of the contract’s trading hours, the daily settlement value for the front month will be calculated using the volume weighted average price (“VWAP”) of such trades, rounded to the nearest tradable tick, or $0.01.  If there are no trades during this time, the Small Exchange will use the following methodology to determine the daily settlement value for such contracts:

Cash Index Value + (Previous Day’s Back-Front Spread / Days Between Front and Back Month Contracts) x Days to Expiration

Daily Settlement of the Back Month

All monthly contracts not the front month are the back month. If a trade occurs in the last sixty (60) seconds of the contract’s trading hours, the daily settlement value will be calculated using the VWAP of such trades rounded to the nearest tradable tick, or $0.01. If there are no trades during this time, the settlement value of such back month contract will be calculated using calendar spreads. In the absence of relevant calendar spread trades during the trading day, the settlement value for such back month contract will be the front month settlement value for such product plus the previous day's front month minus back month spread value.

Final Monthly Settlement

On the day of expiration, the final expiration settlement value of the contract is determined using the modified average cash value of the respective cash index, starting at 14:58:30 CT to 14:59:59 CT, inclusive.  The value of the cash index will be recorded for each second of this time frame.  In the event the cash index value does not change during the one-second aggregation period, the value for the prior second is carried forward to ensure this is always comprised of 90 values; further, in the event the cash index value changes multiple times during such one-second aggregation period, the last value is used.  The average of these 90 values is the final expiration settlement value for the product.  The calculation of the final expiration settlement value of each contract is performed by the Exchange’s Index Calculation Agent, and validated by the Exchange.

Symbols

Futures Symbols

Description

Symbol

Description

Small Stocks 75

Symbol

SM75

Description

Small Global Oil

Symbol

SMGO

Description

Small Precious Metals

Symbol

SPRE

Description

Small Dollar

Symbol

SFX

Description

Small 10-Yr US Treasury Yield

Symbol

S10Y

Index Symbols

Description

Symbol

Description

Small Stocks 75 Index

Symbol

75SME

Description

Small Global Oil Index

Symbol

GOSME

Description

Small Precious Metals Index

Symbol

PRESME

Description

Small Dollar Index

Symbol

FXSME

Description

Small 10-Yr US Treasury Yield Index

Symbol

10YSME

Month Codes

Month

Code

Month

January

Code

F

Month

February

Code

G

Month

March

Code

H

Month

April

Code

J

Month

May

Code

K

Month

June

Code

M

Month

July

Code

N

Month

August

Code

Q

Month

September

Code

U

Month

October

Code

V

Month

November

Code

X

Month

December

Code

Z

Error Trade Policy

Exchange Authority

Any request by a Member, Related Party or Participant to invoke the Error Trade Policy must be communicated to the Exchange as soon as possible. If a potential error Trade is not brought to the Exchange’s attention, with a phone call to the Exchange, within eight (8) minutes after Trade occurred the Trade will stand except as noted in Part D (iv). 

The Exchange has the authority to adjust trade prices or cancel trades when necessary to mitigate market disrupting events caused by malfunctions in the electronic trading platform(s) or errors in orders submitted by members and market participants. 

Any trade price adjustments or trade cancelations will be transparent to the market and subject to standards that are clear, fair, and publicly available. 

All decisions of the Exchange are final. The Exchange is not liable for any losses resulting from price adjustments or Trade cancelations. 

Request for Review of Potential Error Trades

The Exchange may determine to review a Trade based on analysis of market activity or at the request of an Exchange Member, Related Party or Participant. The request must be communicated to the Exchange over the phone and within eight (8) minutes of the Trade execution. Any other form of communication with the Exchange will not be permitted as a request for review. The Exchange will determine whether or not a Trade will be subject to review. 

Price Adjustments and Trade Cancelations

The Exchange will make a decision if the Trade in question will be subject to review. The Exchange will promptly issue an alert to all market participants if a Trade is under review. The Exchange will first determine if the Trade price is inside the non-reviewable range. In deciding if the Trade price is in the non-reviewable range, the Exchange will determine the fair value market price at the time the potential error occurred. In making the determination, the Exchange may consider all relevant factors, including the last Trade price, the underlying index price, a better bid or offer price, a more recent price in a different Contract month and the prices of related contracts trading on the Exchange or other markets. 

A. Trade Price in Non-Reviewable Range

If the Exchange determines the Trade price was inside the non-reviewable range, no further action will be taken, and the Trade will stand. The Exchange will issue an alert to all participants indicating the Trade in question will stand. 

B. Trade Price Outside Non-Reviewable Range

Futures Contracts: If the Exchange determines that a Trade price is outside the Non-Reviewable Range for a Futures Contract (including Futures spread Transactions), the Trade price will be adjusted to a price that equals the fair value market price for that Contract at the time the Trade in review occurred, plus or minus the Non-Reviewable Range. In the event there are multiple parties, prices and/or Contracts involved in the Transactions in question, the Exchange has the authority, to cancel rather than price adjust these Transactions. The Exchange will alert all market participants to the decision. 

Any Trades that were price adjusted will be inserted into the Exchange’s official time and sales records at the adjusted Trade price. If any Trades are canceled those Trades will be canceled and removed from the Exchange’s official time and sales records. 

C. Contingency Orders Triggered by Error Trade

If an error Trade is busted, either by agreement of the parties thereto or by Exchange staff, the Help Desk will also: (a) bust all Trades that were triggered as a result of Contingency Orders being triggered by such Trade; and (b) cancel all bids and offers that were entered into the Trading System as a result of contingency Orders being triggered by such Trade. The Exchange will notify the Participants responsible for the Trades so that the original Orders can be re-entered into the Trading System. 

D. Alternative Resolution by Agreement of Parties

(i) With the approval of the Exchange, parties to a Trade that is price adjusted may instead mutually agree to cancel the Trade. 

(ii) With the approval of the Exchange, parties to a Trade that is busted may instead mutually agree to price adjust the Trade to a price consistent with the adjustment provisions in rule 3 (Price Adjustments and Trade Cancelations). 

(iii) Subject to paragraphs (i) and (ii) of this section D, parties to a Trade that is canceled, or price adjusted may mutually agree to a cash adjustment provided that such adjustments are reported to the Exchange and the parties maintain a record of the adjustment. 

(iv) An executed Trade may not be reversed via transfer except where such Trade is determined by the Exchange to be outside of the non-reviewable range but not reported timely, subject to agreement of the parties and approval of the Exchange. Any such transfer must occur at the original Trade price and quantity; however, the parties may mutually agree to a cash adjustment. 

E. Liability for Losses Resulting from Price Adjustments or Cancelations

(i) A party entering an Order that results in a price adjustment or Trade bust shall be responsible for demonstrated claims of realized losses incurred by persons whose Trade prices were adjusted or busted; provided, however, that a claimant shall not be entitled to compensation for losses incurred as a result of the claimant’s failure to take reasonable actions to mitigate the loss. 

(ii) A claim for a loss pursuant to this paragraph must be submitted to the Exchange within one (1) Business Day of the event giving rise to the claim. The Exchange will reject any claim that is not filed in a timely manner, and such decisions shall be final. Eligible claims shall be forwarded by the Exchange to the party responsible for the Order(s) that resulted in a Trade bust or a price adjustment and to the Clearing Firm through which the Trade was placed. Such party, or the Clearing Firm on behalf of the party, shall, within ten (10) Business Days of receipt of the claim, admit or deny responsibility in whole or in part. Failure to respond to the claim within ten (10) Business Days shall be considered a denial of liability.

(iii) To the extent that liability is admitted, payment shall be made within ten (10) Business Days. Unless otherwise agreed upon in writing by the parties, failure to make the payment within ten (10) Business Days shall be considered a denial of liability for purposes of this rule. A copy of any such written agreement must be provided to the Exchange. 

(iv) To the extent that liability is denied, the party making the claim may submit the claim for Arbitration pursuant to the provisions of Chapter 8. Such claims must be submitted to the Regulatory Department within ten (10) Business Days of the date the party was issued notification that liability was denied.