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  1. Exchange Volume Report

    The file contains exchange volume data for contracts traded and open interest on a yearly basis. Each file contains a record for each month of the given year. The file for the current year is updated daily and overwites the file created on the previous business day. The file is exported each morning with data as-of the
    Public DocumentationJul 06, 2020
  2. Pricing and Fee Schedules

    All fees relating to the below schedules are described on each firm's monthly invoice (PDF) as well as the Total Billing File and respective supplemental files delivered to each firm's dedicated SFTP account. See
    Public DocumentationApr 10, 2020
  3. Scan Markets

    The scan market utility uses the OneChicago public delayed Quote Scan to query for MPSecIDs matching the provided criteria. The resulting MPSecIDs are then added and subscribed to the designated Watchlist. Selecting image2019-8-6_12-34-45.png Pressing Ctrl + Shift + S. Wind
    Public DocumentationFeb 04, 2020
  4. Product Related Fees

    See the Fee Schedule to the Connectivity Service Agreement brief for a PDF version of this item. Firms are billed on the third business day of each month. Fees are debited on a monthly basis from a firms cle
    Public DocumentationFeb 21, 2020
  5. Trade Reporting Practice

    Parties can report bilaterally negotiated off-exchange Block and EFP Instrument trades to Delta1. Accepted trades are cleared at the OCC. OneChicago Market Surveillance reviews trade reporting activity to ensure that EFP and Block trades are entered at a fair and reasonable price.  Overview: Rules for Block Trade R
    Public DocumentationFeb 25, 2020
  6. Calendar Spreads Explained

    Delta1 provides for a combination instrument called an SSF Spread. An SSF spread is comprised of two product-contracts more commonly referred to as “legs,” where the quoted price of the spread is expressed as the price of the back leg minus the price of the front leg. When bids and offers in spread markets transact, tw
    Public DocumentationJan 21, 2020
  7. Extranet Service Providers

    (ESPs) have direct access to Delta1. ESPs can offer customers both Proprietary Real-time Market Data via multicast and Order Entry and Trade Reporting via unicast.  CenturyLink Pico Quantitative Trading, LLC ICE Data, LP
    Public DocumentationJan 15, 2020
  8. Clearing Services

    Overview: The Options Clearing Corporation OneChicago trades are cleared at the AA+ rated Options Clearing Corporation ("OCC"), which functions as a central counterparty ("CCP") to each trade participant. Firms that are approved to clear Single Stock Futures at OCC are qualified to trade for
    Public DocumentationAug 23, 2019
  9. Listing and Expiration Calendar

    Overview: T+2 Contracts Traditional Monthly Futures Contracts expire on the 3rd Friday of each month, where the expiration day is the last day available for trading. If the expiration day falls on an exchange (US) holiday, then the Friday expiration date will take place on the prior business day. The traditional m
    Public DocumentationSep 24, 2019
  10. Margin Requirements

    Overview: Initial and Maintenance  The basic margin requirement for security futures is 20% of the underlying value of the contract (initial and maintenance margin). This 20% minimum may be reduced for certain types of futures market positions, such as calendar and basket spreads, and for certain offsetting posit
    Public DocumentationAug 23, 2019