Liffe hit by Euribor rates derivatives surge

Surging trading volumes this year, specifically on short-term interest rate (Stir) futures and options products, caused processing capacity problems at the London Financial Futures and Options Exchange (Liffe), according to RiskNews’ sister publication, Trading Technology Week .

Paul MacGregor, director of technology partnerships at Euronext.liffe, said the first three months of 2004 saw a 30% rise in trading volumes in Stir futures and options products, causing a surge in order flow that lead to some temporary delays in response times during late March 2004. “We reacted quickly and brought forward planned hardware and software upgrades, which have returned Liffe Connect to its normal response times - 99.9% of all orders are processed in less than one second," he said.

Liffe has also recently taken steps to impose bandwidth restrictions on its members. From May 2004, members using automated price injection models and who exceed a message allocation from Liffe will be charged for exceeding that allocation, MacGregor said. The intention of this policy is to ensure that all models used on Liffe Connect are deployed in the most efficient and effective manner possible. He emphasised the move is not a revenue-generating exercise - the exchange hopes not to send any charges at all, he said.