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To trade the Small Exchange markets, individual traders will need to have a relationship with a Clearing Member either directly or through an intermediary, such as an Introducing Broker.

Organizations wanting to connect to the Exchange can do so through direct market access or an independent software vendor (ISV). All direct access Participants are required to certify with the Exchange.

The Small Exchange will observe the following holiday schedule. 2024 and 2025 holidays displayed are tentative until announced.

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The documents below describe the Small Exchange order management, market data and drop copy FIX API.  The API uses FIX protocol version 4.4. The documents are not intended to serve as a complete specification of the FIX protocol. It is assumed the reader is acquainted with the protocol. Please refer to the official FIX specifications at https://www.fixtrading.org/ website for additional details.

FIX Order Management and Drop Copy Specification

Market Data Specification

Market Data Schema

Packet Schema

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Small Exchange Admin and Risk Monitor

The Small Exchange Admin and Risk Monitor (“ARM”) is risk software utilized by the Exchange and Clearing Members. The ARM enables Clearing Members to set pre-trade risk controls, including Liquidity Pool limits, position exposure limits, and max Order quantity limits for the Trading Firms sponsored by the Clearing Member. The ARM allows users to view Orders, positions, trading activity, market messages, track specific Members and authorized traders, monitor pricing and volume, and manage Liquidity Pools. The ARM also gives SMFE the ability to pause or halt the market, if necessary.

Clearing Members only have access to the Trading Firms and Participants they guarantee. Small Exchange personnel have access to all risk controls and can enable and/or adjust controls as necessary. Risk controls are offered on a best effort basis.

Price Controls

Dynamic Price Bands

Price bands help prevent Orders with erroneous prices from entering the market. The bands validate limit price-based Orders, rejecting any Taker buy Orders above the upper band and Taker sell Orders below the lower band. These bands are dynamic and adjust based on the published Tradable Price.

Logic 

For Single Instruments: 

Upper Price Band = Reference Price + (Instrument Price Increment * Instrument Upper Price Band Offset)

Lower Price Band = Reference Price - (Instrument Price Increment * Instrument Lower Price Band Offset)
Price bands apply to all time in force qualifiers. For stop-limit Orders, the stop and limit prices must align with the reference price: for sell Orders, both prices must be less than the reference price; for buy Orders, both must be greater than the reference price. Band validation does not prevent bids below the market or offers above the market from being accepted on the Exchange. Price bands are not enforced during the pre-open or pre-open no-cancel states.

Price Protection

The Exchange adds a protection level to Market Orders and Stop Orders after they are triggered. The purpose of this is to protect these Orders from filling at bad prices that are far off from the market price at the time of the Order due to price slippage in an illiquid or volatile market. Protection levels are defined by the Exchange and may vary by market.

Trading Limits

Daily Limit

The daily limit is the maximum price range permitted for a Contract during a trading session. The daily limit helps the Small Exchange maintain stable markets by preventing extraordinary market volatility during periods of significant stress. This pre-Order check is performed on all Order types with the exception of good till canceled Orders. Buy Orders priced above the upper daily limit and sell Orders priced below the lower daily limit will be rejected, preventing the market from trading above or below this predetermined price.

The daily limit is based on the previous day’s settlement price. This limit can be found on each market’s specific Market Page, in the "Contract Specs" section. 

Intraday Limits

The purpose of an intraday limit is to provide the market a momentary pause during times of increased volatility. This market pause is intended to give participants time to respond to large, unexpected movements in a particular market on the Small Exchange. The Exchange employs two intraday limits that are based on the previous day’s settlement price. These limits can be found on each market’s specific Market Page, in the "Contract Specs" section. During a triggered intraday limit event, the market state for that product (front and back month) is switched to “paused” for three minutes and the following actions take place:

For the first minute, trading is paused and only Order cancellations are allowed.

During the second minute, the market is in a pre-open state.

In the final minute, the market is in a pre-open, no cancel state.

At the end of the third minute, the market enters an open state, with regular price-time priority matching in effect, and all supported orders are accepted. Upon reopening, the Exchange does not calculate or disseminate an opening print.

Maximum Quantity Order Limits

Clearing Members are required to set maximum Order quantity limits on each product for their associated Trading Firms. This pre-Order validation requires the Clearing Member to define the maximum Order quantity that will be accepted and any Order over this size will be rejected. Max quantity limits will default to zero and Orders will be rejected until this is updated to a positive value for each product.

Maker Limits

Clearing Members who allow clients to be Makers must set a maximum size pool for the Makers. When the Liquidity Pool reaches the maximum limit no additional funds can be added until the limit is adjusted, or liquidity Orders will reject.

Position Exposure Limits

Clearing Members must set position exposure limits within each market for their associated Trading Firms. The Matching Engine validates Orders against the position exposure limits and, if the validation fails, the Order will be rejected. If the Trading Firm has no exposure (zero) limit set for a certain market, all Orders received from that Trading Firm within that market will be rejected. When a Trading Firm is added, the limits default to zero and the Clearing Member must set max long and max short exposure limits to enable trading.

Position limits are calculated by netting the long and short fills then adding gross working Orders.

Long positions = long working quantity + day long fills - day short fills 

Short positions = short working quantity + day short fills - day long fills 

Credit Exposure Limits

The credit exposure limit is the permitted maximum exposure in USD across the trading day and this can be set by a Clearing Member on their Trading Firms as an additional way to manage risk. This limit is the overall exposure allowed per Trading Firm and is calculated using each product’s initial margin rate, multiplied by the number of filled and working contracts. Trades are netted by each instrument within each Trading Firm and working Orders are added on a gross basis. If a working Order is canceled, that value is returned to the overall exposure amount. Limits can be updated during the trading day and will reset prior to the start of each new trading day. Clearing Members will be notified as they approach specified thresholds (e.g., 50%, 80%, 90%, etc.). If the credit limit is met or exceeded, the Clearing Member or the Exchange can use the kill switch to reject new trades and/or cancel working Orders.

Safety Features

Kill Switch

The kill switch can be activated to either block new Orders or block new Orders and cancel working Orders. Once the kill switch has been activated, it will stay active until it is deactivated. Clearing Member admins will have access to the kill switch for their firm, as well as the Clearing Member’s associated Trading Firms. Clearing Member admins will also be able to grant other authorized persons access, as needed. Appropriate personnel within the Small Exchange will have access to all instances of the kill switch. The kill switch, when activated, will cancel and/or block Orders during Pre-Open, Open, and Paused market states. The kill switch will not cancel Orders during Pre-Open/no cancel and halted market states. Kill switch functionality is offered on a best effort basis.

Self-Match Prevention

Self-match prevention is an optional risk control for Participants. This functionality is intended to prevent the matching of Orders with common ownership. Participants choosing to utilize self-match prevention will send their Small Exchange generated self-match ID with all their Orders using FIX tag 2362. Orders received having an unknown self-match ID will be rejected. Two Orders having the same token are prevented from matching by canceling one or both Orders. The Participant will have the option to cancel the aggressor Order, cancel the resting Order, or cancel both Orders. This strategy will be sent in tag 8000. Self-match prevention will prevent self-matches for implied trades. Also, a Maker account and a Taker account with the same beneficial owner cannot match. Self-match prevention is offered on a best effort basis.

Cancel on Disconnect

Cancel on disconnect is an optional setting for each trading session. Participants will set this when they configure their FIX line. When enabled, the FIX gateway is monitored for disconnections or timeouts at intervals specified by the Participant when they log on to the FIX session. When an absence of a heartbeat is detected for the Participant specified time, all the working Orders for that session will be canceled, regardless of the Order’s time in force. It is the Participant’s responsibility to reenter all Orders that have been canceled by cancel on disconnect. If this functionality works correctly, the Participant will receive a cancel confirmation message for the canceled Orders once the FIX session is reconnected. Cancel on disconnect will cancel Orders during Pre-open, Open, and Paused market states. Cancel on disconnect will not cancel Orders during Pre-Open/No Cancel and Halted market states. When enabled, cancel on disconnect is offered on a best effort basis.

Technical Controls

Fix Message Throttle

The Small Exchange implements message throttling to assist with maintaining an orderly market. This control reduces negative impacts to the Exchange’s marketplace in the case of a malfunctioning trading system, among other things. The FIX message throttle is a configuration of the Small Exchange’s FIX gateway to limit the number of messages (New, Replace, or Cancel Orders) received from FIX sessions within a period of one (1) second. In the case a Participant exceeds any of the FIX session limits, subsequent messages are rejected until the rate falls below the threshold. FIX throttling services are offered on a best effort basis.

Fill Rate Limit

The fill rate limit is an optional post-trade risk control on the Trading Firm level that is set for Futures and Options on Futures products. The Clearing Member will set this limit for each of its associated Trading Firms. If the number of contracts filled in a market breaches a specified limit within a specified period, all Trading Firm working Orders will be canceled. The Clearing Member will specify the max fill contract quantity and a time interval per each instrument product. The time interval is a multiple of 100 milliseconds and has a max value of 10 seconds.

If the settings are specified after trades have been executed for the Trading Firm, the logic counts the gross number of filled contracts (buys and sells) for the sliding time interval. If the number is greater than the specified limit, the logic will mass cancel DAY and GTC working Orders for the Trading Firm, Futures and Options. Related Options and Futures multi-leg Orders are canceled as well. When enabled, the fill rate limit is offered on a best effort basis.