1.原文连结： CME No bust range 参考: http://www.cmegroup.com/globex/files/TradeCancellationPolicy.pdf ( page 8 ) CBOT No bust range 参考 : http://www.cbot.com/cbot/pub/page/0,3181,1174,00.html ( APPENDIX 9B-3 ) 2.内容： Subject: 公告: Order Types on GLOBEX As a reminder, now that many commodities are traded on the CME Group's GLOBEX platform, here are the order types that GLOBEX will accept: Limit ( 限价单 ) A Limit order allows the buyer to define the maximum price to pay and the seller the minimum price to accept (the limit price). A Limit order remains on the book until the order is either executed, canceled or expires. Any portion of the order that can be matched is immediately executed. Market with Protection ( 保护市价单 ) Market orders at CME Group are implemented using a "Market with Protection" approach. Unlike a conventional Market order, where customers are at risk of having their orders filled at extreme prices, Market with Protection orders are filled within a predefined range of prices (the protected range). The protected range is typically the current best bid or offer, plus or minus 50% of the product's No Bust Range. If the entire order cannot be filled within the protected range, the unfilled quantity remains on the book as a Limit order at the limit of the protected range. 有别於传统的市价单, CME Globex 接受市价委托是以 " Market with Protection "来 执行, 以避免客户成交极端价格的风险. For example : 1. Buy 1 June 08 6E @ Market. CME Euro Currency 的 no bust range 为20 ticks. 20 X 50% = 10 ticks. 若现在市场的 best offer 为 15930, 此笔市价委托单进入交易所的委托价 将为15940. 但若遇市价波动剧烈而跳空15940的价格导致无法成交, 此笔单将以 B 1 June 08 6E @15940 限价单 working. 2. Sell 1 June 08 6J @ Market.CME Japanese Yen 的 no bust range 为20 ticks. 20 X 50% = 10 ticks. 若现在市场的 best bid 为 9742, 此笔市价委托单进入交易所的委托价 将为9732. 但若遇市价波动剧烈而跳空9732的价格导致无法成交, 此笔单将以 S 1 June 08 6J @9732 限价单 working. Stop Limit ( 停损限价单 ) A resting Stop Limit order is triggered when the designated price is traded on the market. The order then enters the order book as a Limit order with the customer's specified limit price. The order is executed at all price levels between the trigger price and the limit price. If the order is not fully executed, the remaining quantity of the order remains in the market. A Buy Stop Limit order must have a trigger price greater than the last traded price for the instrument. A Sell Stop Limit order must have a trigger price lower than the last traded price. Stop with Protection ( 保护停损单 ) Stop orders at CME Group are implemented using a "Stop with Protection" approach. Unlike a conventional Stop order, where customers are at risk of having their orders filled at extreme prices, Stop with Protection orders are filled within a predefined range of prices (the protected range). A Stop with Protection order is triggered when the designated price is traded on the market. The order then enters the order book as a Limit order with the limit price equal to the trigger price, plus or minus the predefined protected range. The protected range is typically the trigger price, plus or minus 50% of the No Bust Range for that product. The order is executed at all price levels between the trigger and limit price. If the order is not completely filled, the remaining quantity rests in the market at the limit price. A Buy Stop Order must have a trigger price greater than the last traded price for the instrument. A Sell Stop Order must have a trigger price lower than the last traded price. 有别於传统的停损单, CME Globex 接受停损委托是以 " Stop with Protection "来执 行, 以避免客户成交极端价格的风险. For example : 1. Buy 1 June 08 6E @ 15930 Stop.CME Euro Currency 的 no bust range 为20 ticks. 20 X 50% = 10 ticks. 若现在市场价格触及15930而被执行, 此笔停损委托单进入交易所的委 托价将为15940. 但若遇市价波动剧烈而跳空15940的价格导致无法成交, 此笔单将以 B 1 June 08 6E @15940 限价单 working. 2. Sell 1 June 08 6B @ 19880 Stop.CME British Pound 的 no bust range 为30 ticks. 30 X 50% = 15 ticks. 若现在市场价格触及19880而被执行, 此笔停损委托单进入交易所的委 托价将为19865. 但若遇市价波动剧烈而跳空19865的价格导致无法成交, 此笔单将以 S 1 June 08 6B @19865 限价单 working. -- --

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