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ICE Futures US®, Inc ICE Futures U.S.®, Inc. ELECTRONIC TRADING RULES TABLE OF CONTENTS Rule Subject 27.00 Scope of Chapter 27.01 Products Traded on ETS 27.02 Definitions ACCESS 27.03 Direct Access 27.03A Access for Submitting Block Trades and Other Non-Competitive Transactions 27.04 Clearing Member Responsibilities 27.05 ETS Access From the Trading Floor 27.06 Revocation of Direct Access Authorization by Clearing Member 27.07 eBadges and Responsible Individuals 27.08 Effect of Termination or Suspension of Clearing Member 27.09 Required Identifications ORDERS 27.10 Customer Disclosure Statement 27.11 Acceptable Orders 27.12 Order Entry 27.12A Audit Trail Requirements for Electronic Orders Submitted Through Order Routing Systems 27.13 Revising Orders 27.14 Deactivating and Deleting Orders TRADING 27.15 Pre-Trading Session 27.16 Opening Match 27.17 Open and Close of Electronic Trading Session 27.18 Trading Hours 27.19 Order Execution 27.20 Trading Against Customer Orders 27.21 Cross Trades 27.22 Pre-Execution Communications 27.23 Dual Trading 27.24 Good Faith Bids and Offers 27.25 Priority of Execution 27.26 Execution of Customer Orders When Electronic and Open Outcry Markets Are Both Open 27.27 Settlement Prices 27.28 Invalid Trades 27.29 Error Trades 27.30 Errors and Omissions in Handling Orders 27.31 Disciplinary Procedures 27.32 Misuse of ETS 27.33 Termination of ETS Connection 27.34 Exculpation; Limitation of Liability 27-1 APPENDIXES APPENDIX I Error Trade Policy APPENDIX II Messaging Policy 27-2 ICE FUTURES U.S.®, INC. ELECTRONIC TRADING RULES Rule 27.00. Scope of Chapter The Rules contained in this Chapter govern the trading of Exchange Futures and Options Contracts utilizing the ICE electronic trading system (“ETS”). To the extent that any Rule contained in this Chapter conflicts with any Rule or provision thereof contained in any other Chapter of the Rules, this Chapter shall supersede such other Rules. Transactions executed through ETS are subject to the Rules unless specifically excluded therefrom. Rule 27.01. Products Traded on ETS The Exchange shall determine the Exchange Futures and Options Contracts which shall be listed for electronic trading and the hours during which such trading shall be permitted. Rule 27.02. Definitions As used in this Chapter the following terms shall have the meanings indicated: (i) “Anchor Price” shall mean the price set by the Exchange from which Reasonability Limits, No Cancellation Ranges and Interval Price Limits are determined. The Anchor Price shall be based on the front month, provided however, that, when the front month nears expiration, the Anchor Price will be based on the delivery month with the most open interest. The determination as to when to shift the Anchor Price based on open interest will be made by the Exchange. The Anchor Price may be the prior day’s settlement price, the price of the Opening Match or the last traded price of the front delivery or expiration month as determined by the Exchange. The Anchor Price of each successive expiration or delivery month is determined by applying spread differentials against the Anchor Price. (ii) “Direct Access” shall mean a direct connection to the ICE electronic trading system to trade Exchange Futures and Options Contracts. (iii) “eBadge” shall mean the number(s) assigned by the Exchange to a Clearing Member or User with Direct Access which identifies such Person. The eBadge for a User who is a Floor Broker shall be the same as the numeric of the Floor Trading badge issued to such Floor Broker. (iv) “Implied Matching Engine” means the system functionality which derives spread and outright prices, respectively, from outright and spread orders entered onto the ETS for the purpose of matching outright orders against legs of calendar spread orders entered onto the ETS. (v) “Interval Price Limit” shall mean the dynamic intraday price limit established by the Exchange for an Exchange Futures Contract which limits the amount that the price of a contract delivery month may Trade above or below the applicable Anchor Price of such contract delivery month during the IPL Recalculation Time, Interval Price Limits may be changed by the Exchange in its discretion. The Exchange shall determine which contract delivery months shall have Interval Price Limits, and may change such determination, as well as the applicable Interval Price Limits, in its discretion. 27-3 (vi) “IPL Recalculation Time” shall mean the pre-set period of time, established by the Exchange, during which an Interval Price Limit shall remain in effect. At the conclusion of each IPL Recalculation Time a new IPL price range is determined, IPL Recalculation Times may be changed by the Exchange in its discretion. (vii) “IPL Hold Period” shall mean the additional period of time, as determined by the Exchange, during which the IPL price range that was in effect at the time that a trading hold is triggered will remain in effect. A trading hold is triggered when a contract delivery month seeks to trade on the ETS at a price that would be outside the permitted IPL, as specified in Rule 27.19(c). (viii) “Market Supervision” shall mean the Department of the Exchange responsible for overseeing electronic trading. (ix) “No Cancellation Range” shall mean the price range above and below the Anchor Price for each Exchange Commodity Contract within which a Trade alleged as an error Trade may not be cancelled. (x) “Reasonability Limits” shall mean the amount by which the price of an Exchange Commodity Contract may increase or decrease in one trading sequence from the last traded price of that delivery or expiration month or the amount the price may change from a price determined by an ETS algorithm. Orders entered with prices above or below the Reasonability Limits will not be permitted to result in Trades at prices that are outside of the Reasonability Limits. (xi) “Responsible Individual” shall mean an individual who is registered with the Exchange as the individual with authority to modify or withdraw any order submitted under any of the eBadge(s) with respect to which such individual is registered, and who is able to immediately identify the source of any order submitted under such eBadge. (xii) Trading Algorithms (A) “Price/Time Matching Algorithm” is generally used during an ETS trading session. When used, it matches orders on the basis of a price and time priority algorithm. The “best” price order always has the highest priority, for buy orders that means those orders that have the highest price and for sell orders that means those orders that have the lowest price. If more than one order is in the market at a specific price, the highest priority is given to the order that arrived at ETS first. (B) “Uncrossing Algorithm” is generally used during the Pre-Trading Session in accordance with Rules 27.15 and 27.16. It cycles through all orders submitted during the Pre-Trading Session identifying the best bid and best offer and produces matches where there is price crossing. All orders that are traded, whether fully or partially, as part of the Uncrossing Algorithm, trade at the same trade price. (xiii) “Trading Session” shall mean the hours of trading for one (1) trading day calculated from the Open to the Close. (xiv) “User” shall mean any Person other than a Clearing Member who utilizes ETS. Amended by the Board April 11, 2007; effective April 16, 2007 [¶ (vi)]. Amended by the Board May 22, 2007; effective May 23, 2007 [¶ (vii)]. Amended by the Board May 1, 2008; effective May 13, 2008 [¶ (i)]. Amended by the Board February 17, 2012; effective March 12, 2012 [¶¶ (iv) through (xiii)]. Amended by the Board June 13, 2012; effective August 3, 2012 [¶¶ (iv) through (xiv)]. 27-4 ACCESS Rule 27.03. Direct Access (a) All Clearing Members are eligible for Direct Access to the ICE ETS upon execution of an Electronic User Agreement with the Exchange. (b) The Exchange may grant Direct Access to the ICE ETS to Users who are not Clearing Members upon the request of a Clearing Member. Such request shall be submitted by the Clearing Member to the Exchange for each User in accordance with Exchange procedures. The Clearing Member shall execute such documents as required, in a form prescribed by the Exchange, setting forth the Clearing Member’s obligation to clear Trades submitted by the Users that it has so authorized. (c) Each User authorized by a Clearing Member in accordance with paragraph (b) of this Rule shall furnish such information, register such personnel and execute such agreements as may be required by the Exchange. A request for Direct Access shall not become effective until granted by the Exchange. (d) The Exchange may refuse to grant Direct Access to any Person which a Clearing Member seeks to authorize if the Exchange determines that granting Direct Access to such Person is not consistent with the best interests of the Exchange. Any such refusal by the Exchange may be appealed by the Clearing Member and shall be considered by a panel of the Business Conduct Committee comprised of three members of the committee. Each panel shall determine the specific procedures to be applied, provided that the Clearing Member shall be afforded the opportunity to present such evidence as it deems relevant. Such a presentation shall be conducted informally with no transcript taken. (e) Clearing Members and other Users with Direct Access may connect to the ETS by using the front end application provided by the Exchange, by using an application provided by an independent software vendor (“ISV”) which has been approved and authorized by the Exchange, or by developing their own application program interface (“API”) which has been approved and authorized by the Exchange.
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