Electronic Trading Session Rules
1. Auction
1.1. Summary of Operational Procedures
If no trades are carried out during the pre-opening phase, the first transaction of the trading
phase will be automatically submitted to auction.
1.1.1. With respect to Price Quotations
All trades whose prices are outside the price interval defined by the auction tunnel will be
submitted to auction.
1.1.2. Cross Trades
a) Intentional Cross Trades:
 For contracts belonging to the higher liquidity groups, the registration of intentional cross
trades will be permitted provided that the price is equal to or better than the best bids and
asks in the order book at the time such registration is made.
 The registration of intentional cross trades involving instruments classed in lower liquidity
groups will be allowed, as long as:
 The price falls between the best ask and best bid (values not included) available in the
order book at the moment the cross order is entered;
 If there is only one tick between the best bid and best ask there will be an intentional cross
trade allowed at the price of the best bid or best ask; and
 It remains within the limits of the auction and rejection tunnels.
 If there is not at least one tick separating the best bid price from the best ask price, the
intentional cross trades command will be permitted with the price being equal to the best
bids or equal to the best asks.
b) Unintentional Cross Trades:
The registration of unintentional cross trades involving instruments classed in lower liquidity
groups will be allowed, as long as the cross order price remains within the limits of the auction
and rejection tunnels.
1.1.3. Options Trading and Volatility Transactions
a) For the options market, with the exception of options on Agricultural, Ibovespa, One-day
Interbank Deposit, and U.S Dollar futures contracts, trading will be non-continuous, that is, it will
occur through the auction mechanism. The duration of the auction will be at least 2 minutes.
b) The structured volatility transactions will be carried out in continuous time and be submitted
to auction when they are registered outside the established call schedules. The duration of the
auction will be at least 2 minutes.
1
1.1.4. Special Auction Situations
a) Auctions triggered near the closing of the trading session will be continued even when trading
hours are reached.
b) When the transaction involves over 20% of the open interest in the relevant contract, the
Exchange will submit the transaction to an auction of at least 1 minute in the case of liquid
groups and of at least 2 minutes in the case of illiquid groups.
c) The transactions executed within an interval of 15 seconds prior to the registration of the
corresponding bids and asks may be cancelled and submitted for auction, whose duration will
be at least 2 minutes, provided that the auction complaint is made within 3 minutes of the
registration of the transaction. The complaint can only be made by the brokerage house that
has a bid or ask registered for the best price or the market price at the time the transaction is
executed.
d) Trading for the following contracts will be exclusively non-continuous (that is, it will take place
by way of the auction mechanism): ID x US Dollar Spread Futures Contract, ID x U.S. Dollar
Swap, A-Bond Futures Contract, Global Bond Futures Contracts, U.S. T-Note Futures Contract,
Long-Term Interbank Deposits Futures Contract (Long ID), Brazilian Sovereign Credit Default
Swap Futures Contracts, ID x IGP-M Spread Futures Contract, ID x IPCA Spread Futures
Contract, FRA on the ID x IGP-M Spread, FRA on IGP-M, FRA on IPCA, General Market Price
Index (IGP-M) Futures Contract, Extended Consumer Price Index (IPCA) Futures Contract,
Forward Points on Ibovespa Futures, OZ1 Gold Forward Contract, and OZ1 Gold Futures
Contract. The duration of the auction will be at least 2 minutes.
e) The Operations Officer may submit any transaction for auction, at his/her discretion, if the
transaction is deemed not to have a normal lot size for the contract/instrument, or in order to
ensure the continuity of prices.
2. Price Fixing Rules
2.1. Price Formation Criteria
2.1.1. First Criterion
The price attributed to the auction will correspond to the price at which the largest quantity of
contracts is executed.
2.1.2. Second Criterion
If there is a tie in the first criterion (that is, there are two or more prices at which the same
quantity of contracts is traded), the price that generates the lesser imbalance in the purchase
and the price that generates the lesser imbalance in the sale will be selected. The theoretical
price is decided as the value, in the interval between these points, closest to the last transaction
or, in the absence of this, the closest to the settlement price, rounded off in accordance with the
contract’s tick size.
2
2.1.3. Third Criterion
If there is a tie in the 1st and 2nd criteria (two or more prices at which (i) the same quantity of
contracts is traded and two or more prices at which (ii) the same minimum imbalance at
opposite sides is generated), the price that is attributed in the auction is the same as or inbetween the prices that generated the tie in the 2nd criterion, closest to the price of the last
trade or, in the absence of this, the closest to the settlement price, rounded off in accordance
with the contract’s tick size.
2.2. Priority
The electronic trading system will adopt the following priority for the execution of transactions at
the opening of the auction: orders limited by price level (bid made at the highest price and ask
made at the lowest price have priority) and chronological order registration sequence.






2.3. Characteristics
The electronic trading system has the following price fixing features:
The lack of a pro-rata matching rule for orders with the same price;
Bids with prices higher than the theoretical price and asks with prices lower than the theoretical
price will be filled;
Bids and asks with prices equal to the theoretical price may be filled or partially filled depending
on the specific situation of an auction.
Order cancellation is permitted, provided that at the moment cancellation is requested the order
is not participating in theoretical price formation.
Order modification is permitted, decreasing the order quantity or worsening the order price,
provided that at the moment modification is requested the order is not participating in theoretical
price formation;
Order modification is allowed during the auction, by increasing the quantity or improving the
price, provided that, upon request of the alteration, the order in question is participating in the
formation of the theoretical price.
2.4. Duration and Extension




2.4.1. Automatic Auction Extension
Auctions in the electronic trading system will be extended automatically whenever any of the
following events occur:
Change to the theoretical price;
Change to the theoretical quantity;
Change to the executed quantity (registration of a new order that modifies the executed quantity
of a previously registered order); and
Change to the remaining quantity.
The duration of the auction for contracts with higher liquidity will be 1 minute, with an automatic
extension of 30 seconds in cases where any auction data (price, quantity, order’s executed
quantity) is modified in the last 15 seconds of its execution.
The duration of the auction for contracts with lower liquidity will be 2 minutes, with an automatic
extension of 1 minute in cases where any auction data (price, quantity, order’s executed
quantity) is modified in the last 30 seconds of its execution.
The electronic trading system will execute two automatic extensions subject to the times defined
above, and a third extension whose closing will be randomly processed.
3
2.4.2. Automatic Auction Extension - Commodities
Auctions of contracts classified as most liquid shall last 1 minute, with two automatic extensions
each lasting 30 seconds if any of the auction conditions (price, theoretical quantity, the quantity
of an order matched and the remaining quantity) change in the last 15 seconds.
Auctions of contracts classified as least liquid shall last 2 minutes, with three automatic
extensions each lasting 1 minute if any of the auction conditions (price, theoretical quantity and
the quantity of an order matched) change in the last 30 seconds.
After the second extension for the most liquid groups, and after the third extension for the least
liquid groups, one last extension will be allowed and the auction will then be randomly closed.
If an auction is extended after the end of regular trading hours and before the start of the closing
call, the start of the closing call will be postponed until the auction in progress is completed.
3. Pre-Opening Phase
3.1. Pre-Opening Phase
It refers to the time interval prior to the opening of the trading session, during which only the
registration of bids and asks will be accepted. The purpose of this phase is to ensure that the
opening of the trading session for the Exchange contracts is processed in a transparent manner
by using the same rules as those applicable to price fixing.
3.2. Auctions
Auctions held during the pre-opening phase are allowed one extension that will last 1 minute
and one randomly defined extension that will last up to 1 minute.
4