EBS Price Discretion Scenarios

This page provides examples of EBS Price Discretion order type behavior.

1 Price Discretion Order
- 1.1 Price Discretion Order Matching Process

Price Discretion Order

A Price Discretion (PD) order allows an order to match up to (bid) or down to (ask) a discreet Limit price while showing a given Limit price to the market.

The discreet price for a bid must be greater than the shown Limit price, else the order will be rejected (e.g. Bid limit 50 with PD 55).
The discreet price for an ask must be less than the shown Limit price, else the order will be rejected (e.g. Ask limit 50 with PD 40).

The discretion price is not published on market data.

The maximum allowed discretionary offset from limit order price is available from the MDP 3 - Security Definition (tag 35-MsgType=d) message in tag37728-MaxPriceDiscretionOffset.

Price Discretion is available for Limit orders having the following order qualifiers:

Good for Session (GFS)
Display Quantity (DQ)

PD is not available for FAK/FOK orders.

Price Discretion Order Matching Process

When an aggressing order arrives to the order book, CME Globex will attempt to match orders as follows:

First Pass - match resting orders according to Limit price-time priority.

Second Pass - booked PD orders aggress incoming quantity according to time priority.

A booked order having a discreet order price, if encompassing the incoming order price, will match at the incoming order price.

Example 1: Price Discretion Orders on Book

First Pass

Incoming ask at limit price 55 does not match resting bid at limit price 50 – No Match

Second Pass

Resting bid at PD 60 from Order 2 aggresses incoming ask at limit price 55 – Match 10 @ 55
Resting bid at PD 70 from Order 3 aggresses incoming ask at limit price 55 – Match 5 @ 55

Market following match event:

Example 2: Incoming Price Discretion Order

Starting market with incoming Sell Price Discretion order.

First Pass

Incoming ask at PD 40 matches resting bid at limit price 50 – Match 10 @ 50.

Second Pass

Resting bid at PD 60 from Order 2 aggresses incoming ask at PD 40 – Match 5 @ 40.

Market following match event:

Example 3: Incoming Price Discretion Order with Booked Price Discretion Orders

Starting market with incoming Sell Price Discretion order.

First Pass

Incoming ask at PD 30 does not match resting bid at limit price 10 – No Match.

Second Pass

Resting bid at PD 40 from Order 1 aggresses incoming ask at PD 30 -- Match 1 @ 30
Resting bid at PD 60 from Order 2 aggresses incoming ask at PD 30 -- Match 9 @ 30