The enormous increases in contract and quote volume on Eurex Exchange in the last two weeks has been a stress test of market integrity for the Group's IT infrastructure.
Last week, the number of quotes reached a new peak of 1.2 billion on a single day and the total average daily trading volume (ADV) in August is at an annual high of almost 12 million contracts, compared to the yearly ADV of 8.4 million contracts, according to Eurex figures.
And new records were set in some benchmark products, such as futures and options on the Euro Stoxx 50 and Dax.
For summer months not known for high volumes in less fretful years, markets felt the strain across the board, yet Eurex systems experienced no effect on the latency or response times, the company said in a statement.
“The on-going and constant enhancement of and investment into Eurex Group’s IT infrastructure were the reasons that the system availability and data throughput at Eurex Exchange and Eurex Clearing remained stable – trading and clearing worked without any frictions or interruptions,
“The safety mechanisms that have been implemented also guarantee market integrity and orderly trading. These include volatility interruption, which allows a short-term interruption of trading in affected products in the event of high volatility, thus enabling market participants to react appropriately to excessive price volatility,” the Group wrote.
Volatility interruptions occur if the last effected price of a futures contract is outside one of the price ranges within a specific time frame – determined separately for each contract. The orders and quotes with respect to the relevant futures product continues to be noted for trading in the order book, according to Eurex data.
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