Continuous Auction with Market Maker

Continuous auction with Market Maker

Deutsche Börse Cash Market offers a continuous auction with Market Maker trading model for trading structured products at the Frankfurt Stock Exchange:

  • Market Makers increase the attractiveness of structured products by committing to provide liquidity.
  • Investors benefit from continuous information about the price of structured products, and their fungibility.

Trading time: 9.00 a.m.–8.00 p.m.

Tradable instruments: Structured products
For each security there is exactly one Market Maker.


Continuous auction with Market Makers begins with the pre-call phase, which is followed by an optional call phase. Pricing then takes place.

In the pre-call and call phase, all market participants can place, change and delete orders. Furthermore, Market Makers can enter, change and delete quotes.


  • Pre-trading information:
    The order book is only partly open during the outcry phase: Aggregated information on the respective current order situation is published on an ongoing basis.
    When orders match such as to enable a transaction to be executed, the indicative auction price is shown. This is the price that would result for the auction if the price determination were to take place at this point in time.
    Moreover the executable volume for the respective auction price, on which side there is an and the volume of overhang are published. Where determination of an indicative price is not possible, the best buy or sell price for the order including the corresponding volumes is shown.
    Trading is anonymous, meaning the order originator is not shown.
  • Post-trading information:
    Following completion of the auction, the auction price, the volume executed in the auction and the time of price determination are immediately published.
    Where a transaction is executed via a central counterparty the originator of the transaction also remains anonymous in post-trading. For transactions not involving a central counterparty, the name of the originator is visible.

Pricing and order execution

  • Prioritisation of orders:
    In the auction, all orders are collected in the order book according to price/time priority.
  • Price determination:
    The auction price is determined in accordance with the principle of highest volume transacted. The auction price is the price at which the highest executable order volume and lowest overhang are evident.
  • Order execution:
    Owing to the sorting of orders by price/time priority, orders with a higher buy or a lower sell limit have priority for execution. Here market orders have priority over limit orders. Where several orders have the same price limit, the order with the highest time priority is executed first.
    The price/time priority rules ensure that a maximum of one limited or unlimited order is partially executed at the auction price.

The Market Maker’s duties

In the continuous auction with Market Maker model, it is the duty of the Market Maker to furnish the main liquidity for the security. His duties are: 

  • Continuous market information by inputting Standard Quotes during the entire trading period. In the Standard Quotes, the Market Maker takes the order book as well as the minimum quote volumes and maximum spreads agreed with Deutsche Börse AG into account.
  • Inputting a Matching Quote in the event of a potentially executable order book situation:
    There is a potentially executable order book situation if: (1) a Market Order or an order exists in a crossed order book with no available Market Maker quote; (2) the volume of the orders that can be executed at the Market Maker quote (including the volume of orders on the other side that can be executed) exceed the quote volume; or (3) the Stop Limit of a Stop Order has been reached by the Standard Quote. By means of the Matching Quote, the Market Maker defines the spread within which the trading system calculates the price in accordance with the principle of highest executable volume. This way, the Market Maker ensures that orders are only executed at market prices.
  • Provision of additional liquidity to bridge a lack of offer or demand for the execution of an order.

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