What is the ELX Futures matching system algorithm?
Each contract within ELX Futures is configured to match orders based on a Pro Rata, FIFO or split Pro Rata algorithm consistent with industry expectations. Outright 5 year, 10 year and 30 year and Ultra Long-Term contracts match based on the FIFO algorithm. The 2 year contract matches with a 60/40 split Pro Rata and FIFO distribution and all calendar spreads operate with a 60/40 Pro Rata.
