CFE Contract Listings and Product Level System Parameters

Below are daily downloads of CFE contracts listed for trading on a trade date and a reference chart for various CFE product level system parameters that apply within CFE's trading system. Please refer to CFE rules for additional detail regarding the parameters.

Listed Futures Contracts
Simple Contracts VA Simple Contracts Spread Contracts
VX VXT VXM VXMT VA IBHY IBIG IEMD
Threshold Width 10% None 10% None 10% 10% 10% 10%
Market Order Protection 10% None 10% None 10% None None None
Limit Order Protection (CFE setting) 10% None 10% None 10% 1% 1% 1%
Limit Up 70% None 70% None None 10% 10% 10%
Limit Down 30% None 30% None None 10% 10% 10%
Minimum Price (simple) 0.05 -0.5 0.01 -0.5 0.5 0.01 0.01 0.01
Maximum Price (simple) 99,999.95 0.5 99,999.99 0.5 99,999.5 99,999.99 99,999.99 99,999.99
OCC Origin Code Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Customer
Firm
Time in Force Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
Day
IOC
FOK
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
GTC
GTD
Day
IOC
FOK
GTC
GTD
Matching Algorithm Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority Price-Time Priority
Simple Stop Limit Yes No Yes No Yes Yes Yes Yes
Simple Tick Increment 0.05 0.01 0.01 0.01 0.5 0.01 0.01 0.01
Spread Tick Increment
(applies to net spread price)1
0.01 0.01 0.01 0.01 0.1 0.01 0.01 0.01
Block Trade/ECRP Tick Increment
(applies to simple and spread)
0.005 0.005 0.005 0.005 0.1 0.005 0.005 0.005
Block Trade Minimum Size (simple) 200 200 2,000 2,000 1,500 50 50 100
Block Trade Smallest Leg (spread)2 100 100 1,000 1,000 1,500 50 50 100
Block Trade Smallest Leg (strip)2 100 100 1,000 1,000 N/A 50 50 100
DPM/LMM Allocation N/A N/A N/A N/A N/A N/A N/A N/A
  1. Refer to contract specifications for the tick increment for leg prints that result from a spread trade.
  2. CFE rules also provide for a minimum overall Block Trade quantity for a spread or strip.

Last updated 2024-10-08