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1. 简介
欧洲期货交易所(欧交所, Eurex)管理层决定对德国股指DAX® (FDAX)、小型德国股指Mini-DAX® (FDXM)和欧元 STOXX®银行类股指数(FESB/FSTB) 等期货合约采取几项措施,提升该等产品的效益。
以下最小变动价位调整将于2020年12月21日起生效:
Product ID | Tick size outright contract (simple instrument) in index points | Tick size outright contract (simple instrument) in index points | 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 |
模拟测试开始时间:2020年8月5日
正式生产环境运行开始时间:2020年12月21日
为实施上述调整,欧交所的期货合约和期权合约规格将重新修订,详参阅附件2
欧交所清算所(Eurex Clearing AG)在价目表中列出了对于以上指数期货的交易费用修订,并将自2021年1月4日生效适用。此外,将于2022年1月3日生效的修订稿草案请参阅附件欧交所清算所通函065/20号
2. 所需操作
本次调整讲会对所有欧交所交易参与者和相关机构产生影响。
请注意FDAX所有交易单和报价单将于2020年12月18日收盘后被删除。将保留FDXM、FESB 和FSTB的交易单/报价单。
3. 调整细则
2020年12月21起,DAX® (FDAX)、Mini-DAX® (FDXM)、欧元 STOXX®50蓝筹银行类股 (FESB) 和欧元STOXX®600银行类股指数(FSTB)期货或相关产品的日历价差期货的最小变动价位会有所调整。因此,最小变动价位其对应价值也会相应的降低或上升。
详情可参阅附件1的表格,包含了不同工具合约概览以及最小变动价位。
FDAX(DAX® 期货)和FDXM(Mini-DAX®期货)的直接订单簿和日历价差订单簿将分离
自2020年12月21日起,随着上述期货合约/相关商品日历价差的最小变动价位的不同调整,FDAX和FDXM产品和各自的日历价差的两个订单簿也将分拆开来。交易系统将不再支持直接(outright)期货合约的合成订单及价差和约中的推论相应价格的集中撮合功能。
这意味着系统不再支持将存储在FDAX和FDXM分别产品或合约各自订单簿中的交易/报价单进行合成交易单和合成报价单的最佳价格的功能(前两个功能合称为“合成路径”),以及自此类订单组合模拟出的隐含交易/报价单价格(“合成价格”)参与价格优先的集中订单簿撮合的安排(以往Mini-DAX®合约的下单口数可以按规比例合成正常DAX®合约的模拟交易单及交易价格参与DAX®合约的集中撮合交易)。
即将调整产品的技术分布和工具的配置
新的价格数据的粒度适用于所有直接产品挂牌合约(instrument) 并且通过参考数据接口(RDI)的快照工具输送。其中各金融产品的属性调整如下图:
Attributes | FDAX | FDXM | FESB | FSTB | ||||
InstrumentPricePrecision | 1 | 1 | 2 | 2 | ||||
MinPriceIncrement | 0.5 | 0.1 | 0.01 | 0.01 | ||||
MinPriceIncrementAmount | 12.5 | 0.5 | 0.5 | 0.5 |
不同产品类别和交易单类别的有效限价交易单价格数据粒度界限可通过快照里产品信息中的的“变动价位规则”栏目获得。
交易费用变动
由于最小变动价位的调整,FDAX、FDXM、FESB 和FSTB的交易费用标准修订将于2021年1月4日生效。这些产品交易费用的进一步修订计划于2022年1月3日实施。因应这些调整的欧交所清算所费用价格列表修订稿(计划)附在通函065/20号。
附件:
1 –不同金融工具合约和其最小变动价位概览
2—欧交所期货和期权合约规格更新版
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XEUR
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