77305-LIFFE-Euronext Brochure - FEP

How the Euronext.liffe Markets Work

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This document is an introduction to how the Euronext.liffe markets work detailing how trading 

takes place on LIFFE CONNECT.The vast majority of the LIFFE CONNECT functionality is 

common to all markets.Where there are differences these are highlighted clearly. 

Euronext refers to Euronext N.V. and any company which is at least a 50% owned subsidiary of Euronext N.V. 

All proprietary rights and interest in this publication shall be vested in Euronext and all other rights including, but without 

limitation, patent, registered design, copyrights, trademark, service mark, connected with this publication shall also be vested 

in Euronext. 

LIFFE CONNECT is a trademark of LIFFE Administration and Management. LIFFE Administration and Management is a part 

of the Euronext Group. 

No part of this publication may be redistributed or reproduced in any form or by any means or used to make any derivative 

work (such as translation, transformation, or adaptation) without written permission from Euronext. 

Euronext shall not be liable (except to the extent required by law) for the use of the information contained herein however 

arising in any circumstances connected with actual trading or otherwise. Neither Euronext, nor its servants nor agents, is 

responsible for any errors or omissions contained in this publication.This publication is for information only and does not 

constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other 

transaction.All information, descriptions, examples and calculations contained in this publication are for guidance purposes only, 

and should not be treated as definitive. 

Those wishing either to trade Euronext futures and options contracts or to offer and sell them to others should establish the 

regulatory position in the relevant jurisdiction before doing so. 

Euronext N.V. 

P.O. Box 19163 

1000 GD Amsterdam 

The Netherlands 

Tel +31 (0)20 550 4444

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Contents 

Introduction 1 

Background 2 

● LIFFE CONNECT – Euronext.liffe’s state of the art trading platform 2 

● Euronext, LIFFE and Euronext.liffe 2 

The benefits of Euronext.liffe and LIFFE CONNECT 3 

The LIFFE CONNECT Trading Host 4 

● Access to LIFFE CONNECT 4 

● What happens to a trade? 9 

● Market data 9 

Trading 10 

● Market Services 10 

● Customer Escalation 10 

● Anonymity 10 

● System Configuration 10 

● Trade Priority/Matching 12 

● Examples of Algorithms 12 

Entering and Managing Orders 15 

● Submitting Orders 15 

● Price Limits 15 

● Order Types 16 

● Order Attributes 17 

● Guaranteed Cross Mechanism for Brussels and Paris Markets 18 

● Crossing and Pre-negotiated Trading for the LIFFE market 18 

● Recognised Strategies on LIFFE CONNECT 19 

● Volatility Trades (Delta Neutral) 19 

● Order Management 20 

● Wholesale Trading 20 

● FLEX ® Options 20

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● Automated Price Injection Models 20 

● Termination of a Trading Session and Subsequent Re-Start 20 

The Trading Day 21 

The Responsible Person 23 

Implied Spread Trading 24 

Settlement Prices and Clearing Process 26 

● An Overview 26 

● Daily Settlements 26 

Contacts Inside back cover

● ●●1 Introduction 

This brochure provides a description of 

how derivatives trading takes place on LIFFE 

CONNECT for the Euronext.liffe markets. 

This ranges from the ways in which the trading 

platform can be accessed, to how orders are 

input, matched and cleared and how the markets 

are controlled by the relevant Market Services 

departments in Brussels, London or Paris. 

LIFFE CONNECT functionality is generally 

the same for all Euronext.liffe markets. However, 

there is some functionality which has been 

tailored for individual markets, as LIFFE 

CONNECT continues to be enhanced to 

ensure that users of Euronext.liffe markets 

have the functionality that they require. 

How the Euronext.liffe Markets Work 

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2 How the Euronext.liffe Markets Work 

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Background 

LIFFE CONNECT – Euronext.liffe’s 

state of the art trading platform 

Euronext.liffe’s electronic trading platform 

LIFFE CONNECT - was designed and 

developed by LIFFE in conjunction with 

customers and selected Independent Software 

Vendors (ISVs) to replace its open outcry 

trading floor. 

The first contracts to migrate from the 

LIFFE trading floor to LIFFE CONNECT 

were Individual Equity Options on 30 November 

1998. Since then, the transition of contracts 

from the trading floor environment to screen 

has taken place in phases to ensure a smooth 

transition, with each release of LIFFE 

CONNECT focusing on a specific market 

segment. Following the successful migration of 

the Exchange’s commodity products to LIFFE 

CONNECT on 27 November 2000, LIFFE 

became a fully automated exchange, with its 

entire product range trading electronically. 

● Euronext, LIFFE and Euronext.liffe 

Euronext was formed by the merger of the 

Amsterdam, Brussels and Paris cash and 

derivatives exchanges in September 2000. 

The Euronext Group has since grown further, 

adding BVLP (the Portuguese cash and 

derivatives exchange) and LIFFE (The London 

International Financial Futures and Options 

Exchange).The derivatives businesses of 

Euronext and LIFFE are being combined under 

the Euronext.liffe umbrella with the phased 

migration of Euronext derivatives markets to 

LIFFE CONNECT, the most sophisticated 

electronic derivatives trading platform in the 

world.The Brussels and Paris markets will 

migrate to LIFFE CONNECT in Spring 2003, 

with Amsterdam and Lisbon to follow.This 

document is focused on the Brussels, LIFFE 

and Paris markets.

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A wider range of products to trade 

Through LIFFE CONNECT, Euronext.liffe 

customers will have access to a wider range of 

complementary products. Euronext.liffe brings 

together Euronext’s traditional strength in equity 

derivatives, with LIFFE’s expertise in short term 

interest rate products. Euronext.liffe offers the 

broadest range of products available on any 

exchange in the world, providing futures and 

options contracts across five product lines: 

short term interest rates, bonds, swaps, equities 

and commodities. 

A broader, deeper market 

Enhanced global distribution of LIFFE 

CONNECT, bringing wider access to the 

market and more participants, will aid price 

formation and liquidity.The economies of scale 

created by the Euronext.liffe partnership will 

benefit existing and future customers much 

faster than might otherwise have been achieved 

by the markets separately. 

Fast track membership 

On 28 October 2002 Euronext.liffe introduced 

asingle “fast track” membership scheme.The 

move gives existing members of derivatives 

markets in Amsterdam, Brussels, Lisbon, London 

and Paris the potential to trade all Euronext.liffe 

products by filling in a single form to obtain 

membership of the other markets, rather than 

the individual applications to each market that 

were previously required. 

Currently, approval for membership depends on 

an applicant satisfying the appropriate regulatory 

requirements. Many firms already benefit from 

the EU’s financial services “passport”, and the 

regulators are now considering whether a “proxy 

passport” might be issued to firms who do not 

qualify for the existing arrangements. Ultimately, 

Euronext.liffe intends to create a more unified 

membership structure and process to reinforce 

the benefits of bringing all Euronext.liffe 

products onto a common trading platform, 

LIFFE CONNECT. 


The benefits of Euronext.liffe and LIFFE CONNECT 

● Further information 

If you require any further information, there are 

two extremely comprehensive web sites which 

provide information about all Euronext.liffe 

markets, products and services. Please visit 

www.euronext.com and www.liffe.com. 

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The LIFFE CONNECT Trading Host 

The Trading Host is at the heart of the 

trading system and handles the matching of 

bids and offers.There are, in fact, two LIFFE 

CONNECT Trading Hosts. Firstly, the 

Trading Host for Equity Options, which hosts 

all individual equity option contracts traded on 

the Brussels, LIFFE and Paris derivatives markets. 

Secondly, the Trading Host for Futures and 

Options on Futures, which hosts all other 

contracts traded on the Brussels, London 

and Paris derivatives markets. 

LIFFE CONNECT is acknowledged to be the 

world’s leading electronic derivatives trading 

system and the only one that has proven itself 

capable of trading high volumes of complex 

short term interest rate products. In keeping 

with other electronic trading platforms, LIFFE 

CONNECT is an anonymous, order-driven 

system, where traders are unaware of their 

actual counterparty both pre and post-trade. 

LIFFE CONNECT is based on an open 

system architecture using an Application 

Program Interface (API) which allows users 

to build or purchase trading or view-only 

applications to suit their specific business needs. 

This offers the potential to integrate front/back 

office trading, settlement, risk management and 

order routing systems as well as allowing 

customers to trade derivatives and cash 

markets on the same screen. 

LIFFE CONNECT provides the world’s most 

advanced and complete electronic trading 

environment, offering unrivalled flexibility to 

the customer. 

1 Regulatory restrictions may prevent or condition access in some jurisdictions. 

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Access to LIFFE CONNECT 

LIFFE CONNECT can be accessed 

electronically from the world’s major financial 

centres 1 .Traders wishing to access LIFFE 

CONNECT can do so via one of the many 

front-end trading applications which have been 

developed by Independent Software Vendors 

(ISVs) or via an application developed by a 

member in-house.These applications are 

personalised trading screens that link the 

user to the market via a chosen network. 

Users have considerable flexibility and choice 

of networks including: 

● direct access from London via 

Euronext.liffe’s local network 

● direct access via Euronext.liffe’s international 

network provider 

● access through services offered by Value 

Added Network (VAN) partners 

● access via a member’s own network 

● access via a leased line to an Application 

Service Provider (ASP). 

Please note that to access LIFFE 

CONNECT members will require 

a2Mbs line and 2 gateways.

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Direct Access to LIFFE CONNECT (London) 

Typical system configuration for UK/London based access via Euronext.liffe’s Exchange Access System 

(EASy) network: 

Site Two 

Trading Host 

(Equity and Financial) 

Euronext.liffe in London 

Site One 

Trading Host 


Router/s Router/s 

Equity Gateway 

Financial Gateway 

API 

Trading Application 

API 


Euronext.liffe EASy WAN 

2 Mgb line 2 Mgb line 

Router/s 

Network Address 

Translator 

Member WAN 


MEMBER SITE 

IN LONDON 

API 


MEMBER BRANCH OFFICE 

API 


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Direct Access to LIFFE CONNECT (International) 

Typical system configuration for access via Euronext.liffe’s international network: 

Site Two 

Trading Host 


API 



Member WAN 

Site One 

Trading Host 



API 


Euronext.liffe Global WAN 


Translator 

POINTS OF PRESENCE IN 

MAJOR FINANCIAL CENTRES 




2 Mgb line 

Router/s 

2 Mgb line 

MEMBER SITE 

API 


MEMBER BRANCH OFFICE 

API 

Trading Application

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Value Added Network (VAN) Access to LIFFE CONNECT 

Typical system configuration for access via a access through services offered by VAN partners: 

Site Two 

Trading Host 



Site One 

Trading Host 



Gateway/s 

API 


MEMBER SITE 

VAN's Trading 

Application 

Euronext.liffe EASy Network 

Router/s 


Translator 

VAN's Wide Area Network 

2 Mgb line 

MEMBER SITE 

VAN's Trading 

Application 

2 Mgb line 


VAN's DATA 

CENTRE 

API 


MEMBER SITE 

VAN's Trading 

Application 

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Application Service Provider (ASP) Access to LIFFE CONNECT 

Typical system configuration for access via a access through services offered by ASPs: 

Site Two 

Trading Host 



Traders may also access the market via: 

Site One 

Trading Host 



Gateway/s 

API 


MEMBER SITE 

Graphical User 

Interface 

Euronext.liffe EASy Network 

Router/s 


Translator 

ASP agreed communication 

method (leased line, 

managed network, internet ....) 

2 Mgb line 2 Mgb line 

MEMBER SITE 


Interface 

ASP DATA 

CENTRE 

API 


MEMBER SITE 


Interface 

● Order routing services offered by a member.These services allow a trader/client to enter his orders 

electronically to a member who in turn inputs the order immediately onto LIFFE CONNECT. 

● Trading bureaux and arcades, which allow independent traders to trade directly on LIFFE 

CONNECT under the control of a member.

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What happens to a trade? 

Trading on LIFFE CONNECT takes place 

by submitting an order, via a trading application 

(front-end software), into the LIFFE 

CONNECT central order book. 

Having received the orders, the LIFFE 

CONNECT Trading Host stores all orders 

in a central order book and performs order 

matching with corresponding orders (this is an 

electronic representation of the market place) 

where the criteria for determining trade 

priority (the sequence in which orders are filled) 

is dependent on the individual specification of 

the contract being traded. 

A trader has the ability to revise orders and 

orders may be withdrawn at any time, either 

individually or as a block. 

After a trade has been executed on LIFFE 

CONNECT confirmation of execution is sent 

to the trading application.Trade details are also 

sent from the Trading Host to Clearing21 ® for 

Brussels and Paris derivatives markets and the 

Trade Registration System (TRS) for the LIFFE 

market in real-time throughout the day. 

Clearing21 ® and TRS allow complete post-trade 

processing by member back offices. Clearing21 ® 

and TRS provide various facilities, including the 

allocation and registration of trades originating 

on LIFFE CONNECT. In the case of the 

LIFFE market, trades are passed through to the 

Clearing Processing System (CPS). CPS extends 

the functions of TRS by providing position 

maintenance and clearing functions, enabling 

customers to co-ordinate their trading, 

settlement, margining and risk management 

within one system.These processes are available 

on Clearing21 ® for the Brussels and Paris 

derivatives markets. 


In the case of the LIFFE market, once a trade 

is registered, the London Clearing House 

(LCH) becomes the central counterparty to 

the buying and selling Clearing Members. 

As central counterparty, LCH ensures the 

financial performance of registered trades 

through to delivery.An automatic feed between 

CPS and LCH transmits all details of instructions 

submitted to CPS by members. 

In the case of the Brussels and Paris derivatives 

markets the central counterparty function is 

carried out by Clearnet, who ensure the 

financial performance of registered trades 

through to delivery. 

● Market data 

LIFFE CONNECT distributes data in real-time 

via the Market Feed (for onward dissemination 

via a network of Quote Vendors (QVs)) and the 

LIFFE CONNECT API.The API is the software 

that allows a front-end trading application to 

communicate with the LIFFE CONNECT 

Trading Host. Market data gives customers 

the ability to track and view all price and 

aggregate volumes available for buy and sell 

orders of a specified contract, series, or 

explicit strategy market. 

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● ●● Trading 

5 

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Market Services 

Market Services in Brussels, London and 

Paris ensure that a fair and orderly market is 

maintained at all times. Market Services are 

the trader’s daily points of contact with the 

Euronext.liffe markets and each location has 

teams of specialist staff dealing with specific 

product areas. 

To assist Market Services staff, a number of 

sophisticated systems have been developed 

which monitor the market continuously 

throughout the trading day.These systems alert 

staff to any market activity that may require 

investigation and/or remedial action by the 

Euronext.liffe markets. 

Customer Escalation 

Euronext.liffe takes the views of all users of 

the markets very seriously and has a customer 

escalation procedure in place to ensure that 

any issues that may arise are dealt with in an 

appropriate manner. Contact details for Market 

Services can be found on our web site. 

Anonymity 

Trading anonymity is a key aspect of the LIFFE 

CONNECT market.Traders in the market will 

not be aware of whose orders they are viewing 

or trading against, either before or after a trade. 

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System Configuration 

Irrespective of whether a trader chooses to 

develop their own bespoke trading application 

or use a solution provided by an ISV, the method 

by which the trading application communicates 

with the LIFFE CONNECT system is through 

software provided by Euronext.liffe.This is 

described in detail in the API Reference Manual, 

copies of which may be downloaded from 

www.liffe.com, or can be obtained by contacting 

Euronext.liffe Technical Conformance Services 

on +44 (0)20 7379 2274 or by e-mailing 

tcs@liffe.com. 

The API can reside on the trading application 

workstation (known as a multiple API 

implementation) or on a server-based application 

(known as a single API implementation).

● 

Multiple API Implementation 

Trading Host 

(Equity and 

Financial) 

EASy or 

GWAN 



Member’s Premises 

● the Network Address Translator (NAT) represents the demarcation point between the Exchange and 

the member 

● each trader workstation accesses LIFFE CONNECT via an independent Euronext.liffe API. 

Please note that the system diagrams represented above are typical network configurations to which 

some variations may apply. 

NAT 


Examples of ISV Connectivity to LIFFE CONNECT 

The following diagrams represent the typical system configuration for access to LIFFE CONNECT via 

ISV solutions using either a single or multiple API implementation. 

Single API Implementation 

Trading Host 

(Equity and 

Financial) 

EASy or 

GWAN 



NAT 

Member’s Premises 

Trading Server 

API 

Member’s 

LAN 

● the Network Address Translator (NAT) represents the demarcation point between the Exchange and 

the member 

● each trader workstation accesses LIFFE CONNECT via a single API running on the Trading Server 

Member’s 

Network 

Trader 

Workstation 

Trader 

Workstation 

Trader Workstation 

API 

Trader Workstation 

API 

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● 

Trade Priority/Matching 

LIFFE CONNECT matches orders in 

the central order book.The Trading Host 

configuration allows the trade matching 

algorithm to be set by contract. One of 

the following algorithms will be used: 

(a) Price and time priority 

Price: highest bid/lowest offer has priority over 

orders in the same contract month/strategy 

Time: the first order at a price has priority 

over all other orders at the same price which 

will, in turn, trade according to the time they 

were accepted by the Trading Host 

Note:The above algorithm will be used for 

all Brussels and Paris contracts following 

migration onto LIFFE CONNECT. 

(b) Price and pro-rata 

Price: highest bid/lowest offer has priority 

over other orders in the same contract 

month/strategy 

Pro-rata: all orders at a price have the same 

priority, orders are filled in proportion to 

the volume 

The following variations of the pro-rata 

algorithm are available: 

● vanilla pro-rata (with priority functionality 

disabled) 

● pro-rata with priority order and no volume 

cap or minimum volume 

● pro-rata with priority order and a volume 

cap 

● pro-rata with priority order and a minimum 

volume requirement 

● pro-rata with a priority order, a volume cap 

and minimum volume requirement 

● 

Vanilla Pro-Rata Algorithm 

The objective of the vanilla pro-rata algorithm 

is to divide incoming business between all 

orders at a given price level, with the volume 

of the business allocated to each trader being 

in proportion to the amount of volume they 

have in the market at that price.This contrasts 

with the price/time algorithm where volume is 

allocated, at a given price level, on the basis of 

the time when the order was entered, with the 

oldest being filled first. 

Example 

Given the following orders: 

Trader 1 Euribor Sell 100 lots @ 10:01 

Sep03 at 97.73 


Sep03 at 97.73 


Sep03 at 97.73 

A new bid of 97.73 for 110 lots will be allocated 

in the following way: 

Trader 1 gets 55 lots 

Trader 2 gets 11 lots 

Trader 3 gets 44 lots

● 

Pro-Rata Algorithm with Priority Order 

The pro-rata algorithm with priority order is 

closely based on the vanilla pro-rata algorithm 

described above. However, it allows one order 

in the order book to be assigned a priority flag 

for each side of the market. Once the incoming 

order has traded against the priority order, the 

pro-rata will operate in the normal fashion. 

The aim of this mechanism is to encourage 

traders to improve prices by offering a reward 

of guaranteed volume in return for price 

improvement. 

An order will gain priority status if it creates a 

price improvement in a market as it enters the 

order book. Only one order in a particular 

market can have priority status at any one 

time.As a result, priority status will be passed 

to an order that subsequently creates a price 

improvement prior to the filling of the order 

that had previously held priority status. 

There will not always be a priority order. 

This could occur when the order with priority 

is fully traded leaving other orders at the same 

or a worse price. 

Example 



Sep03 at 97.73 (Priority) 


Sep03 at 97.73 


Sep03 at 97.73 

In this case the order of Trader1 is assigned 

priority as this was the order that created the 

price movement. 

● 



Trader 1 sells 100 lots 




Note the difference between this result and the 

plain vanilla algorithm where no price movement 

had occurred. 

Pro-Rata with Priority Order and 

aVolume Cap 

In order to prevent a priority order locking a 

particular market, a volume cap is made available 

within the algorithm. It is possible to specify two 

volume cap values for each contract, one for 

outright markets and one for strategy markets. 

These values represent the amount of value that 

the priority order will automatically get. Once 

the volume cap has been hit, any unassigned 

volume still remaining in the incoming order will 

be distributed in the normal pro-rata manner. 

It is possible for the priority order to be 

allocated additional volume over and above that 

allowed by the volume cap as a result of the prorata 

allocation. 

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● 

Example 





Sep03 at 97.73 


Sep03 at 97.73 

Trader1 has made the new best price and 

his order has been assigned priority status. 

However, in this case there is a volume cap 

of 50 lots in operation. 



Trader 1 sells 70 lots (50 priority + 20 pro-rata) 



Pro-Rata Algorithm with Priority Order 

and a Minimum Volume Requirement 

In order to prevent small orders taking priority 

from large volume orders a minimum volume 

parameter can be specified.As with the volume 

cap this is configurable on a per contract basis 

with separate values being available for outright 

and strategy markets.A side effect of a minimum 

volume parameter is that it can result in 

situations where the best price in a market is 

not provided by the priority order. 

Example 

There is a minimum volume requirement of 20 

lots. Given the following orders: 




Sep03 at 97.73 


Sep03 at 97.73 

Trader1 has made a new best price and his 

order has been assigned priority status 

because his order meets the minimum volume 

requirement of 20 lots. 

A new sell order arrives: 


Sep03 at 97.72 

Although Trader 4 has made a new best price the 

minimum volume requirement has not been met. 



Trader 4 sells 10 lots at 97.72 

Trader 1 sells 67 lots (50 priority + 17 prorata) 

at 97.73 

Trader 2 sells 7 lots at 97.73 

Trader 3 sells 26 lots at 97.73

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Entering and Managing Orders 

6 

● 

Submitting Orders 

Using their trading application, traders may 

submit orders to LIFFE CONNECT at any 

time from the start of the Pre-Open period until 

the relevant market closes.These orders may be 

for any contract month, series or strategy – the 

trader need not “subscribe” to a market to 

submit an order. However, the relevant member 

will need to hold the appropriate trading 

subscription that provides its traders with 

access to particular contract groups. 

When an order is submitted to the Trading Host, 

it is considered firm once the Trading Host has 

checked and confirmed it as valid. Once this has 

happened, the order is time stamped by the 

Trading Host.All orders (with the exception of 

Market orders) must specify the price of the 

contract month, series or strategy and the 

volume to be bought or sold at that price. 

Orders that do not trade to completion and are 

not of a type that require immediate completion 

are stored in the central order book.The order 

time stamp value is used for subsequent order 

prioritisation in contracts where the price/time 

trade-matching algorithm is employed, and where 

implied strategy trading occurs. 

Members may either execute business on their 

own behalf and/or on behalf of clients according 

to their authorised status. LIFFE CONNECT 

provides a facility that allows members executing 

business on behalf of another member to 

allocate that business directly to the originating 

member using an account allocation field on 

their trading application.Alternatively, account 

allocation can be achieved post-trade through 

Clearing21 ® or TRS. 

In the case of the LIFFE market, there is a facility 

to record client details (eg account number) and 

the TRS assignment codes (eg House Account) 

on all orders submitted to the Trading Host.This 

is not a mandatory field and where there is no 

entry the trade will be allocated to the House 

account by default. 

● 


For the Brussels and Paris markets, an 

assignment code must be entered and there is 

no default facility.Where an assignment code is 

not entered the order will be rejected. 

Price Limits 

All incoming orders are subject to price limits. 

These are in place to prevent the execution of 

orders with manifest pricing errors. Futures and 

options contracts are treated differently.The 

separate processes are outlined below: 

● Futures 

For futures contracts, price limits are 

calculated from a base level which itself is 

calculated from a combination of the last 

trade and the mid-point between the bid and 

offer for the most actively traded (blue) 

month, and for the contract months, with 

reference to spread relationships with the 

blue month. 

● Options 

For an individual options contract, the price 

limits are calculated using a model based on 

the ‘fair value’ price calculated. 

● Monitoring 

Price limits are monitored throughout the 

trading day and may be adjusted by Market 

Services officials depending on market 

conditions. Orders submitted that fall 

outside price limits will be rejected by the 

Trading Host and the originating trader will 

be notified via his trading application. Price 

limits apply during the market trading 

period. For futures contracts they are also 

applied during the Pre-Open period. 

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● 

Order Types 

Orders can be of the following types: 

● Limit orders are executed at the price 

stated or better. Unless otherwise specified 

(see GTC, GIS, GTD and IC orders), any 

residual volume from an incomplete limit 

order is retained in the central order book 

until it is withdrawn or traded (or cancelled 

automatically at the end of the trading 

day/session). 

● Market orders are executed at the best 

price(s) available in the market when the 

order is received until all available volume at 

that price has been traded.Any remaining 

portion of the order then executes at the 

next best price and so on, until all the order 

volume has been filled.Any residual volume 

from an incomplete Market order is 

immediately cancelled. Market orders will 

be rejected if the market is not open. 

● Market on Open (MOO) orders may 

be submitted to the Trading Host during 

the Pre-Open period. MOO orders will be 

executed at the calculated opening price at 

Market Open.Where a MOO order has 

traded in part at Market Open, the residual 

volume will be converted to a Limit order 

at the calculated opening price of that order. 

If no trading takes place at Market Open, the 

MOO order will trade with any matching 

MOO order at the mid-price of the opening 

bid and offer (including bids and offers 

implied from related strategy markets where 

applicable).Any residual MOO order volume 

will then convert to a Limit order at this 

mid-price.Where no bid and/or no offer 

exists at Market Open, the MOO order 

will be cancelled by the Trading Host. 

● Contingent Multiple (CMO) orders 

contain two or more ‘component’ orders. 

The trading of any component is contingent 

on being able to trade fully all components 

within the contingent order. Contingent 

orders allow the trading of contract 

strategies across two separate contracts, 

therefore allowing traders to submit intercontract 

spreads to LIFFE CONNECT. 

They cannot be submitted during the Pre- 

Open period, as all order components must 

exist in open markets. 

In addition there are a number of designated 

orders which can be of one or more of the 

above order types: 

● Good ’til cancelled (GTC) orders 

remain in the central order book until 

either they trade, or are withdrawn by the 

submitting trader, or the contract expires. 

GTC orders may be entered with or 

without a cancellation date. If they have an 

accompanying date they will automatically 

be cancelled by the system at the end of 

trading on that date. 

In the event that a GTC order trades when 

the trader associated with that order is 

not logged onto the system, the system will 

update the order volume, but the trader 

will not receive a trade notification message. 

Upon log-on to the system the trader will 

receive the updated order information from 

the Trading Host and will need to check his 

order book to ascertain the order status. 

GTC orders cannot be transferred to 

another trader. In the event of a failure a 

trader may withdraw GTC orders by 

telephoning the Exchange and instructing 

exchange officials accordingly. GTC orders 

are Limit orders.

● Good in Session (GIS) orders remain 

in the central order book until either they 

trade, or are withdrawn by the submitting 

trader, or the session ends. 

In the event that a GIS order trades when 

the trader associated with that order is not 

logged onto the system, the system will 







GIS orders cannot be transferred to another 

trader. In the event of a failure a trader may 

withdraw GIS orders by telephoning the 

Exchange and instructing exchange officials 

accordingly. GIS orders are Limit orders. 

Please note that GIS orders are not valied 

on the LIFFE market 

● Good ’til Day (GTD) orders remain in 

the central order book until either they 

trade, or are withdrawn by the submitting 

trader, or the day ends. 

In the event that a GTD order trades when 

the trader associated with that order is 

not logged onto the system, the system will 







GTD orders cannot be transferred to 

another trader. In the event of a failure 

a trader may withdraw GTD orders by 

telephoning the Exchange and instructing 

exchange officials accordingly. GTD orders 

are Limit orders. 


● Immediate and Cancel (IC) orders 

these are executed against any existing 

orders at the stated price or better, up to 

the volume of the IC order.Any residual 

volume from the IC order is then 

immediately cancelled. IC orders can be 

added to Limit orders and will be added 

to market orders automatically if no other 

designation is made. 

● Complete Volume (CV) orders. These 

orders are only executed if there is sufficient 

volume available at the stated price or better 

for them to execute fully. Otherwise the 

entire order is cancelled. CV orders can 

be Limit or Market orders. 

● Minimum Volume (MV) orders. Traders 

may state a minimum volume for an order. 

If the minimum volume cannot be executed 

immediately, the whole order is cancelled. 

Any residual volume from an incomplete MV 

order is retained in the central order book 

and will trade as normal (ie with no further 

minimum volume constraints). Note that MV 

orders may not be used to execute any prenegotiated 

business. MV orders can be Limit 

or Market orders. 

Order Attributes 

At the order entry level, three main attributes 

may be attached to an order: 

● the Order Type 

● the Time Validity Qualifier 

● the Quantity Qualifier 

Order attributes managed by LIFFE 

CONNECT are listed in the following table: 

17


● 

LIFFE CONNECT 

Order type Market on Open (MOO) 

Limit order 

Stop order (via ISV) 

Market orders 

Cross orders 

Time validity Good ‘til Cancelled (GTC) 

qualifier Good in Session (GIS) 

Immediate and Cancel (IC) 

Good ’til Day (GTD) 

Quantity Normal 

Qualifier Complete Volume (CV) 

Minimum Volume (MV) 

Iceberg (via ISV) 

Guaranteed Cross Mechanism for Brussels 

and Paris Markets 

Using this function, a trader can enter an order 

for both sides of a pre-negotiated trade. Subject 

to certain conditions, these trades will be 

automatically matched by the Trading Host and 

do not require individual authorisation from 

Market Services. 

This facility can be configured to require the 

submission of a Request For Quote (RFQ) to 

the market at a configurable time prior to the 

execution of the guaranteed cross trade. 

The following system checks can be configured 

on a per contract basis.The configured checks 

must be passed for the order to be accepted. 

The checks are as follows: 

● an RFQ has been submitted to the market 

within a configurable time period and the 

volume of the guaranteed cross order is 

less than or equal to the RFQ volume 

● the price of the guaranteed cross order is 

within acceptable limits 

● the volume of the guaranteed cross order 

must be greater than the minimum 

configured volume for the contract 

● 

The acceptable limits for each contract can be 

configured on a per contract basis with the 

following options: 

1. the trade’s price must fall within the market’s 

Best Bid and Offer (BBO) (unless the market 

is configured to allow trades at the BBO, in 

which case a trade at BBO must have a 

volume equal to or greater than a configured 

volume constraint) 

2. the trade will only be allowed if there is 

at least one bid and at least one offer in 

the market 

3. the trade will be allowed even if the market 

contains only bids, only offers, or the market 

is empty 

A guaranteed cross can only be submitted when 

the market is in an “Open” or “Pre-Close” state. 

The guaranteed cross trade is validated against 

buy-side and sell-side combinations of 

assignment codes.The Trading Host will reject a 

guaranteed cross if the combination of 

assignment codes is not a valid combination. 

Crossing and Pre-negotiated Trading 

for the LIFFE Market 

Crossing and the execution of pre-negotiated 

business in the LIFFE market is permitted. 

Orders for which matching business has been 

found by pre-negotiation may be entered to the 

Trading Host without delay between the 

submission of the separate buy and sell orders, 

providing that there is both a bid and offer 

present in the central order book. 

Where there is no bid, no offer or neither 

present for the relevant contract month or 

strategy, then an RFQ must first be entered for 

the relevant contract month or strategy.

● 

● 

The matching business may only be entered to 

the Trading Host when a specified period of 

seconds has elapsed following submission of the 

RFQ.A bid and/or offer must not be entered to 

the Trading Host deliberately to circumvent the 

RFQ requirement. 

Recognised Strategies on LIFFE 

CONNECT 

LIFFE CONNECT is widely regarded as 

the most sophisticated electronic derivatives 

trading platform in the world and provides 

more strategies than any other platform. Full 

details of the current strategies available for 

trading on LIFFE CONNECT can be found 

on our web site. 

Volatility Trades (Delta Neutral) 

LIFFE CONNECT supports functionality 

which allows traders to perform volatility (delta 

neutral) trades, ie to trade simultaneously an 

option against the underlying.The following are 

examples of possible volatility trades: 

● An individual equity option (outright or 

strategy) against the underlying stock. 

● Any other option traded on Euronext.liffe 

against the exchange listed future. 

This allows traders to hedge an option position 

using the related underlying. 

Where the derivatives exchange is a 

complementary business unit to the cash 

exchange (for example Brussels and Paris but 

not London) the LIFFE CONNECT Host can 

be set up to: 

● report the cash leg of an equity options 

volatility trade to the cash market 

participants 

● validate the cash leg of the volatility order 

upon submission and trade to ensure that it 

is within an allowable spread of the current 

market mid-point 

● map different options codes to the cash 

market codes for the same contract 


● allow different account codes for the 

derivative and cash leg which may be 

controlled by Exchange rules 

LIFFE CONNECT can store the valid 

underlying cash legs that are applicable for each 

series so that the Trading Host can automatically 

reject any strategy created market that involved 

an unrelated derivative and cash leg.Where 

applicable the Trading Host will validate the 

underlying futures leg or otherwise can be 

configured to validate the cash leg against the 

underlying feed and a tick spread limit.This tick 

spread limit is a configurable parameter that can 

be increased or reduced dynamically during the 

trading day by Market Services. 

Where the cash trade is sent to the trade 

reporting interface, a mapping can be put in place 

to ensure that the correct Individual Trader 

Mnemonic (ITM) and account type are 

populated. 

Traders can choose the delta value for volatility 

orders submitted.The volume of the underlying 

leg is calculated by the Trading Host based on 

the submitted delta.The futures leg price and 

volume is reported to the market with a tag to 

denote it is a volatility trade. 

19


● 

● 

Order Management 

Traders have the ability to do the following via 

their front-end trading application: 

Individual Orders: 

● withdraw orders 

● revise orders – the Trading Host allows 

volume, price and Good ‘til Cancelled (GTC) 

expiry dates to be amended 

● transfer orders – individual traders may 

nominate a replacement ITM 

● view orders – see an “order book” listing 

active and traded orders 

Batch Orders: 

● submit up to 16 outright Limit orders in the 

same contract in a single transaction 

● revise up to 64 outright Limit orders in the 

same contract in a single transaction 

● pull up to 64 outright or strategy Limit 

orders in the same contract in a single 

transaction 

● crossing is not permitted between orders 

within a single submission or revision 

transaction 

● on updating a bid and ask, the worsening 

prices will be revised first in order to avoid 

the inadvertent matching of orders 

Wholesale Trading 

The LIFFE CONNECT live market is 

complemented by a number of trading facilities 

that recognise the needs of the wholesale market. 

These facilities allow traders to negotiate trades 

bilaterally to support defined trading strategies 

and submit such trades to the market via LIFFE 

CONNECT for authorisation by Market 

Services.These facilities are Against Actuals, Block 

Trading and Basis Trading. Wholesale trades can 

be submitted for authorisation via a trader’s frontend 

trading application. Please note that not all 

wholesale facilities are available on each 

Euronext.liffe market. 

● 

● 

FLEX ® Options 

Traders may submit FLEX ® options trades to LIFFE 

CONNECT via the front-end trading 

application. FLEX ® options allow the buyer to 

specify the style (American or European), strike, 

maturity and notional principal of an option. 

Please note that FLEX ® option functionality is only 

available on the LIFFE market. 

Automated Price Injection Models 

An Automated Price Injection Model (APIM) is 

defined as an electronic system or computer 

software which interfaces with the LIFFE 

CONNECT API and both determines the 

requirement for sending, and sends, order 

handling messages to the LIFFE CONNECT 

Trading Host without necessarily requiring the 

intervention of an individual. Only those 

members who have registered the use of an 

APIM for a specific contract, who are using 

conformed software and have been approved by 

Euronext.liffe will be allowed to operate 

a model in that contract. 

● Termination of a Trading Session and 

Subsequent Re-Start 

Trading on LIFFE CONNECT may be 

suspended if circumstances are preventing the 

orderly conduct of business. Market Services will 

send out a message to all market users informing 

them of such a suspension. In the event that 

trading on LIFFE CONNECT in one or more 

contracts is restricted, suspended or halted, the 

session will be re-started when business may 

resume in an orderly manner.

● ●●7 

● 

The Trading Day 


Periods of the Trading Day 

The following diagram shows the various periods of the trading day. Different contracts have different 

opening/closing times.The exact timings of the trading day periods for each Euronext.liffe contract can 

be viewed on www.euronext.com and www.liffe.com 

(Sent to all trading 

applications that 

have initialised) 

Session Start 

Trading Day 

Session End 

API Messages 

(Sent to all traders 

subscribed to the 

relevant market) 

Market Trading 

Time 

Trading Day 

Period 

Outside Trading Day 

Session Start 

(n) minutes 

Market Enabled Pre-Open 

(n) minutes 

Market Open 

Uncrossing algorithm 

Market Closed 

} 

} 

} 

} 

Pre-Close 

Session End 

(n) minutes 

Outside Trading Day 

Market Mode 

Messages 

API initialisation followed by 

standing data requests permitted 

Logon and subscribe to 

market permitted 

Order submission permitted 

but no trades take place 

Trading, order handling and 

settlement 

Issue settlement prices 

Issue settlement prices 

All sessions are logged out 

Read on for details of the activity that takes place at each stage of the trading day as shown in the above 

diagram. 

21


● 

● 

● 

● 

● 

Outside the Trading Day 

Prior to the start of the trading day, for a 

specified period of minutes (depending on the 

contract), trading applications will be able to 

initialise the API. 

Session Start 

A message is transmitted a set number of 

minutes (depending on the contract) before preopening 

period which is visible to all subscribed 

LIFFE CONNECT market users.At this 

time traders are allowed to log-on to LIFFE 

CONNECT, check communications and 

view market data. 

Pre-Open 

The Pre-Open message is issued to all logged-on 

users.All order types, except Market orders, 

are valid, including MOOs, which are only valid 

during this period.The market depth data 

created by these orders can be viewed. However, 

no actual trading takes place. Indicative opening 

prices are displayed. 

Market Open 

Market orders can now be entered in addition to 

Limit orders while MOO orders can no longer 

be submitted.Trading continues for a set period 

of time. 

Settlement 

Settlement prices are calculated for LCH and 

Clearnet for margining purposes.The timing of 

these calculations are subject to contract 

specification. Market Services calculate 

settlement prices and publish them to all market 

users and distribute them via the Market Feed 

which disseminates order and trade information 

(prices/volumes) to over 60 QVs and sub-QVs 

world-wide. Designated contracts continue 

trading during and after settlements. 

● 

Market Close 

At this time trading ceases and all outstanding 

orders (except GTCs) are deleted from the 

central order book. No new orders, editing of 

outstanding orders or withdrawals are accepted. 

Market Services calculate closing prices and 

publish them to all customers and QVs and 

sub-QVs via the Market Feed. 

● Session End 

At Session End traders can view 

settlement/closing prices.At the end of this 

period, all traders are automatically logged-off 

LIFFE CONNECT.

● ●● 

8 

The Responsible Person 

In establishing appropriate trading access 

arrangements for LIFFE CONNECT, 

Euronext.liffe has sought to provide members 

with maximum flexibility whilst continuing to 

provide a framework for effective regulation.This 

reflects the “open architecture” design of LIFFE 

CONNECT and the potential for members to 

achieve direct trading access to the system from 

foreign jurisdictions. 2 

In order to conduct business on LIFFE 

CONNECT, a member will be required to 

register at least one responsible person with 

the Euronext.liffe market concerned. 

All business must be submitted under an 

Individual Trading Mnemonic (ITM) assigned 

to a responsible person. 

Members may also grant trading access to other 

staff under the supervision of a responsible 

person, and may provide indirect access to 

their clients by way of order routing systems. 

Where trading access is granted to other staff, 

the member is responsible for ensuring that such 

staff are suitable, adequately trained and 

supervised in accordance with member’s 

obligations (see below).Where order routing 

access is granted to clients, the member should 

ensure that client orders are appropriately 

vetted before they are submitted to LIFFE 

CONNECT. In either case, all business 

must be submitted under an ITM assigned to 

aresponsible person and under the relevant 

responsible person’s supervision. 

A responsible person is required to fulfil the 

following obligations in respect of all business 

submitted under his/her ITM(s): 

● he/she must have the authority to adjust 

or withdraw any order at Euronext.liffe’s 

request 

2 Regulatory restrictions may prevent or condition access in some jurisdictions. 


● he/she must be able to identify to 

Euronext.liffe the immediate source 

of all orders 

● he/she must ensure as far as possible that 

business conducted in his/her name complies 

with the relevant Euronext.liffe Rules and 

Trading Procedures. 

A responsible person may be an individual 

trader. However, the responsible person may 

instead, or additionally, act in a supervisory 

capacity, whereby other staff (or clients) submit 

(or route) orders through his/her ITM(s), under 

his/her supervision. 

To reflect the practicalities of staff other than 

responsible persons potentially being granted by 

members a form of direct access (albeit under 

the supervision of responsible persons), it will 

not be necessary for the responsible person 

physically to log-on to LIFFE CONNECT 

themselves. However, the member must 

implement suitable security measures for 

passwords and security keys such that only 

authorised individuals may gain trading access. 

For further details about any aspect of 

membership or the use of ITMs please email 

goformembership@euronext.com or 

membership@liffe.com or visit 

www.euronext.com or www.liffe.com. 

23


● ●● 

Implied Spread Trading 

9 

● 

● 

Strategy Trades 

Traders may execute strategies comprising 

combinations of contract months as defined 

by the market. (A separate strategy market is 

created for each strategy.) A market maintained 

algorithm calculates the traded price of each 

leg. In addition, implied trading functionality is 

provided in respect of certain strategies traded 

on LIFFE CONNECT; both “implied-in” and 

“implied-out” prices are generated. 

For those explicit strategy markets where 

implied trading functionality applies, the relevant 

outright contract months will generate impliedin 

prices to the explicit strategy market.Where 

these implied-in prices represent the best price 

for a strategy, they will be traded subject to the 

trade matching algorithm which applies to the 

contract in question. 

For outright contract month markets, the 

interaction of an explicit strategy order and a 

relevant outright contract month order(s) 

will generate an implied-out price in the other 

outright contract month.Where an implied-out 

price generated by the Trading Host is better 

than that available in the outright contract 

month, the order will be traded, again subject to 

the relevant trade matching algorithm, provided 

the other leg of the explicit strategy can still be 

traded at the same time. 

Dissemination of Implied Prices 

The LIFFE CONNECT Trading Host generates 

both implied-in and implied-out prices. However, 

only implied-out prices and only those which 

represent the current best market price are 

distributed via the LIFFE CONNECT API. 

Similarly, implied-out prices are disseminated via 

the Market Feed while implied-in prices are not. 

However, all ISV software is conformed to 

calculate and display implied-in prices. 

Implied-in Pricing, Calendar Spread 

Month Dec Mar 

Bid 95.000 

Ask 95.100 

In this example, two explicit quotes are entered. 

This creates an implied-in strategy bid in 

Dec/Mar of -0.10.This price is calculated and 

held in the Trading Host.An incoming strategy 

that is entered and matches this price will 

automatically trade against the explicit outright 

legs that formed the implied strategy. 

Implied-out Pricing, Calendar Spread 

Month Dec Mar 

Bid 95.480 95.850 

Ask 95.500 

95.600 

Strategy Dec/Mar -0.100 Bid

In this example, two explicit outrights have been 

entered in addition to an explicit strategy.The 

implied quotes generated by the Trading Host 

are shaded.Any trade with the implied quote 

will automatically facilitate the strategy trade 

with the explicit leg. 

Implied Pricing, Calendar Spread 

Where implied quotes trade with each other a 

form of limited chaining may prevent market 

display of seemingly ‘crossed’ markets (bid>ask). 

This also leads to situations where incoming 

explicit orders take priority over improved 

implied quotes.This situation is only created if 

implied quotes are not matched with explicit 

prices. Explicit prices cannot be traded through. 

Month Dec Mar 

Bid 95.500 95.450 

Ask 

Jun 

95.350 

Strategy Dec/Mar 0.050 Ask 

Mar/Jun 0.100 Ask 

In the above example, explicit prices are entered 

in Dec, Dec/Mar and Mar/Jun.The Jun bid is not 

shown, as its ‘parent’ is an implied-out price. 

However a Jun ask at a price at or below 95.350 

will trade with the hidden implied price. 


Implied-in Pricing, Butterfly Strategies 

An implied-in price for a butterfly strategy will 

be calculated from explicit outright leg prices. 

Bid 

Mar 94.80 

Ask 

94.81 

Jun 94.70 94.72 

Sep 94.60 94.61 

Bid = (80-72) – (72-60) = -4 

Ask = (81-70) – (70-61) = +2 

Therefore, the Mar/Jun/Sep implied butterfly is 

–4 bid/ +2 offer.Any implied-out leg prices will 

be ignored in this calculation.They can also be 

traded through.An implied-in butterfly will trade 

with matching explicit butterfly quotes.Any price 

improvement will only be given to the incoming 

order that triggers the trade, whether it is a 

butterfly quote or an incoming leg price. 

In the above example, an incoming explicit 

butterfly quote of +3 bid would trade at the 

offer price ie +2. 

25


● ●● 

Settlement Prices and Clearing Process 

10 

● 

An Overview 

Executed trade details are fed from the Trading 

Host into TRS (for the LIFFE market) and 

Clearing21 ® (for the Brussels and Paris 

derivatives markets) in real-time throughout 

the trading day. 

TRS is the LIFFE market’s administration system 

that allows complete post-trade processing by 

member’s back office departments.TRS provides 

various facilities, including the registration and 

allocation of trades.Trades are then passed 

through to the CPS. CPS extends the functions 

of TRS by providing position maintenance and 

clearing functions, enabling customers to coordinate 

their trading, settlement, margining and 

risk management within one system.All trades 

executed in the LIFFE market will match 

instantly in TRS and will be cleared at the 

London Clearing House. 

Clearing21 ® is the equivalent of TRS and CPS 

for the Brussels and Paris derivatives markets 

and is the clearing technology of Clearnet, who 

clear these contracts. 

Clearing21 ® is an open architecture clearing 

system, providing dialogue between the 

members' internal computer systems and 

Clearnet. It is a real-time operation which 

enables market participants to better manage 

their positions and risks with detailed position 

keeping, allowing for balancing between unit 

accounts in the position keepers' books and 

those managed by Clearnet. 

● 

TRS, CPS and Clearing21 ® can be used to 

perform the following clearing operations: 

● postings and give-ups 

● position keeping by account 

● management of an account base (opening, 

modification, closure) 

● actions on position (exercise, abandonment, 

assignments) 

● adjustments (corrections, transfers, offsets) 

● calculation of margins and premiums 

● calculation of initial margins (SPAN ® method) 

Daily Settlements 

Settlement prices are the official prices for all 

derivatives at which all open positions are revalued 

for the purposes of profit and loss and 

subsequent margin calculation at the end of the 

business day.The margining system is the means 

by which LCH and Clearnet control the risk 

associated with a clearing member’s position 

on a daily basis. 

The prices established will be transmitted to 

LCH or Clearnet. In the event that LCH or 

Clearnet considers that prices do not correctly 

reflect the true value of contracts within the 

market, it may require the market to amend 

prices as appropriate. 

Final settlement prices will be displayed on 

LIFFE CONNECT. 

Please note that UK options settlement prices 

are calculated using the US format of the 

Cox-Ross model and Continental options 

settlement prices are calculated using the 

European format of the Cox-Ross model.

● ●● 

Contacts 

For more information about LIFFE CONNECT 

please contact: 

email: liffeconnect@liffe.com 

web: www.euronext.com 

www.liffe.com

Euronext, LIFFE and Euronext.liffe 

Euronext was formed by the merger of the 

Amsterdam, Brussels and Paris cash and 

derivatives exchanges in September 2000. 

The Euronext Group has since grown 

further, adding BVLP (the Portuguese cash 

and derivatives exchange) and LIFFE (The 

London International Financial Futures and 

Options Exchange).The derivatives 

businesses of Euronext and LIFFE are being 

combined under the Euronext.liffe umbrella 

with the phased migration of all of 

Euronext’s derivatives markets to LIFFE 

CONNECT, the most sophisticated 

electronic derivatives trading platform in 

the world. 

Professional 

© November 2002 

Amsterdam 

P.O. Box 19163 

1000 GD Amsterdam 

The Netherlands 

tel +31 (0)20 550 55 55 

fax +31 (0)20 550 49 00 

Brussels 

Palais de la Bourse/Beurspaleis 

Place de la Bourse/Beursplein 

1000 Brussels 

Belgium 

tel +32 (0)2 509 12 11 

fax +32 (0)2 509 12 12 

Lisbon 

Rua Soeiro Pereira Gomes 

– Edifício da Bolsa 

1649-017 Lisbon 

Portugal 

tel +351 21 790 00 00 

fax +351 21 795 20 22 

London 

Cannon Bridge House 

1 Cousin Lane 

London EC4R 3XX 

United Kingdom 

tel +44 (0)20 7623 0444 

fax +44 (0)20 7588 3624 

Paris 

39, rue Cambon 

75039 Paris cedex 01 

France 

tel +33 (0)1 49 27 10 00 

fax +33 (0)1 49 27 14 33 

www.euronext.com www.liffe.com 

3370/Apr–03/5000/US

77305-LIFFE-Euronext Brochure - FEP

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