T7 Trading parameters: Adjustment of parameter classes in the volatility interruption model with Automated Corridor Expansion (ACE)
044/2024 T7 Trading parameters: Adjustment of parameter classes in the volatility interruption model with Automated Corridor Expansion (ACE) Xetra Circular 044/24
1. Introduction
This circular informs you about an adjustment of the parameter classes in the volatility interruption model with Automated Corridor Extension (ACE), which is currently used in the trading model Continuous Trading with Intraday Auctions for the trading of Exchange-Traded Funds (ETFs) and Exchange-Traded Products (ETPs) on the trading venue Xetra (MIC: XETR).
The adjustment of the trading parameters will enter into force with effect from 21 October 2024.
2. Required action
No special actions are required from participants.
3. Details of the initiative
Please refer to the following table for an overview of the updated parameter classes:
| Parameter Class | Dynamic Price Corridor (± %) | Static Price Corridor (± %) | 1. ACE | 2. ACE Price Corridor (± %) | 3. ACE Price Corridor (± %) |
1 | 0.5 | 1 | 1 | 2 | 3 |
2 | 1 | 2 | 2 | 3 | 5 |
3 | 1.5 | 3 | 3 | 5 | 10 |
4 | 2 | 4 | 3 | 5 | 10 |
5 | 3 | 6 | 5 | 10 | 15 |
6 | 4 | 8 | 5 | 10 | 15 |
7 | 5 | 10 | 10 | 15 | 20 |
Please note that the number of parameter classes will be increased from six to seven as part of the adjustment.
The parameter data for each ETF and ETP will be published in the T7 reference data on the Common Report Engine and on the Xetra website www.xetra.com. Please refer to one of these data sources for individual instrument assignments to ACE parameter classes as well as potential future parameter updates.
Further information
Recipients: | All Xetra® Trading Participants and Vendors | |
Target groups: | Traders, Technical Contacts, System Administration, Nominated Persons, General | |
Contact: | Cash Markets Operations Helpline, Tel. +49-69-211-1 14 00 | |
Related circular: | Xetra circular 080/21 | |
Web: | ||
Authorised by: | Frank Hoba, Dagmar Wojcik (on behalf of the Management Board) |