Ex-post trading limits documentation
Introduction
This document describes the technical details related to the order-to-trade ratio (OTR) limit for the ex-post product.
OTR limit: A maximum order-to-trade ratio (OTR) of 200 per calendar month.
Definition
The Order-to-Trade Ratio (OTR) defines a maximum number of submitted orders out of which at least one must result in a (partial) trade, mathematically:
How the limit is assessed
Measurement period per calendar month. The OTR is assessed per calendar month (e.g. 1–30 Jan), not a rolling window. Order and trade counts accumulate from the first day of the month and reset at the start of the next month.
Compliance basis per period. The OTR is a period compliance measure. ETPA evaluates the ratio over the full calendar month rather than continuously in real time. A participant is assessed on their ratio for the period; there is no real-time gate that blocks or rejects individual orders.
No grace threshold. There is no minimum order or trade volume before the ratio applies, and ETPA does not treat low or high Ex-post activity differently. The limit applies regardless of how much (or how little) trading takes place during the period.
System registration
ETPA uses unique order and trade IDs to calculate the OTR. The OTR applies to all Ex-Post orders submitted to the orderbook, including automated/algorithmic strategies and any order type available for the product.
Whenever a participant places an order (including order modification), this generates a unique order ID. Orders that generate a unique order ID include active orders (ACT), expired orders (EXP), withdrawn orders (WIT), partially matched orders (PMA), and matched orders (MAC). For example, in the case of order modification (including through API), this implies that an existing order is withdrawn (WIT) and a new order is created (ACT), resulting in two unique order IDs.
Whenever a participant's order is (partially) matched, this generates a unique trade ID. Orders that generate a unique trade ID include partially matched orders (PMA) and matched orders (MAC). For example, in the case of partially matched orders, this will result in a single unique order ID and a single unique trade ID.
| System registration | System code | Unique order ID count | Unique trade ID count | Explanation |
|---|---|---|---|---|
| New order entered | ACT | 1 | One new order ID is created when the order is submitted. | |
| Order expires | EXP | 1 | The same order ID is recorded with status "expired"; no additional order ID is created. | |
| Order withdrawn | WIT | 1 | The same order ID is recorded with status "withdrawn"; no additional order ID is created. | |
| Fully matched order | MAC | 1 | 1 | A single order ID remains, but a new trade ID is generated for each partial execution. |
| Partially matched order | PMA | 1 | 1 unique trade ID per partial fill | A single order ID remains, but a new trade ID is generated for each partial execution. |
Self-monitoring
Participants can calculate their OTR using the Reporting API v2 (see the API documentation).
The Reporting API exposes the raw inputs — the unique order IDs and unique trade IDs — rather than a single precomputed OTR figure. Participants calculate the ratio themselves from these orders and trades counts. When doing so, apply the counting rules above (notably that each partial fill creates a trade ID) so that your computed value matches ETPA's records.
We expect participants to monitor their OTR regularly (e.g. weekly) to ensure they remain below the limit.