Better Price or Volume Match Allocation

Owned by CME Group
Apr 26, 2024
3 min read

Better Price or Volume Match (BPVM) is a certain percentage of the quantity on the Request for Cross (RFC) that will cross at the RFC price.

CME Globex applies BPVM logic during RFC allocation. If the RFC price betters the order book bid and ask prices and the order book bid or ask prices do not improve the RFC price at the conclusion of the Pre-Cross state, then CME Globex applies a BPVM percentage to the Cross order. All subsequent Cross match rules thereafter apply.

The following examples show cases in which the BPVM would and would not apply according to the rules stated above.

Example 1

  1. Market is 4 – 6.

  2. RFC entered for price of 5 for a quantity of 5000.

  3. At end of Pre-Cross state, the market is 5 – 6.

  4. The BPVM is applied because:

    • the Cross price betters the order book bid and ask prices upon receipt by CME Globex and

    • the order book bid or ask prices are not through the Cross price at the conclusion of the Pre-Cross state.

  5. If any order quantity remains after the BPVM, CME Globex matches the market's 5 bid against the Cross offer.

  6. CME Globex applies the Broker Match Guarantee (BMG) percentage if there is remaining Cross quantity on both sides.

Example 2

  1. Market is 5 – 6.

  2. RFC entered for price of 5 for a quantity of 5000.

  3. Since the Cross bid does not have a better price than the market's bid at the time of receipt by CME Globex, the BPVM is not applied.

  4. At end of Pre-Cross state, the market is 5 – 6.

  5. CME Globex matches the market's 5 bid against the Cross offer.

  6. CME Globex applies the BMG if there is remaining Cross quantity on both sides.

Example 3

  1. Market is 4 – 6.

  2. RFC entered for price of 5 for a quantity of 5000.

  3. At end of Pre-Cross state, the market is 3 – 4.

  4. The RFC 5 offer is better than the market price at the time of receipt by CME Globex, but at the conclusion of the Pre-Cross state the order book offer is better than the Cross bid. Therefore, the BPVM is not applied.

  5. The market's 4 offer is matched against the Cross bid and the Cross bid receives the price improvement.

  6. CME Globex applies the BMG if there is remaining Cross quantity on both sides.



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