The Administrator announces that the Order Size Cap Parameter utilised in the calculation of the CME CF Real Time Indices (RTI) will be dynamically calculated from c. 1630 London Time on December 2nd 2019. This will replace the static caps that are currently utilised.
This change to the manner in which the Administrator calculates and implements the order size cap will further strengthen the manipulation resistance and integrity of these benchmarks.
The Order Size Cap for each individual determination of a Real Time Index will be calculated by:
The full mathematical representation of this dynamic order size cap will be published in an updated CME CF Real Time Indices Methodology Guide upon the implementation of this change on December 2nd 2019.
This development and implementation of this change has been overseen by the CME CF Oversight Committee.
The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.
Note: Some of the underlying instruments cited within this material may be restricted to certain customer categories in certain jurisdictions.
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