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Average pricing

Average pricing

Merge

The average pricing service allows the merging of multiple transactions into one transaction with an average price calculated by Eurex Clearing. The price of the average price transaction is determined using a volume-weighted calculation and is rounded to seven digits. A residual amount representing the difference in cash flows can result from the calculation/rounding.

The creation of average priced transactions is available:

  • for transactions with the same trade datefor transactions of the same instrument, account and equal side (buy/sell)
  • for transactions “to open”
  • for either on-exchange or bi-lateral off book, or multi-lateral off-book, i.e. off-book transactions can only be merged with other off-book transactions of the same bi-/multilateral type
  • for transactions that are adjustable, i.e. the transaction duration has not expired and they are not part of pending workflow
  • if transactions are not part of a previous average price merge

Average pricing is not available for:

  • Cooperation products (Eurex/KRX cooperation, Eurex/TAIFEX cooperation)
  • Transactions with preliminary price

The merged transaction will be available for transaction management (e.g. trade separation, give-up/take-up) but cannot be part of another merge.

De-merge

Average priced transactions can be de-merged, i.e. the original transactions can be re-established. The following conditions must be met for an average priced transaction to be available for de-merge:
When transferring a position, Members have the choice to adjust the position transfer price and/or to transfer a cash amount.

  • transaction must be adjustable and is not part of a pending workflow
  • transaction must be booked to open
  • transaction must be booked to the member and account in which in which the average price merge took place