- What is TAS?
- What are the specifications for TAS transactions on Bitcoin and Micro Bitcoin futures?
- What is the difference between TAS and BTIC?
- What are the TAS on Bitcoin and Micro Bitcoin futures trading hours?
- What are the vendor codes?
- What is the TAS on Bitcoin and Micro Bitcoin futures quoting convention?
- What is the match algorithm for TAS?
- Is TAS on Bitcoin and Micro Bitcoin futures eligible for block trading?
- Will there be block liquidity providers for TAS on Bitcoin and Micro Bitcoin futures?
- Are TAS on Bitcoin and Micro Bitcoin futures available across all listed contracts?
- Is TAS on Bitcoin and Micro Bitcoin futures available on intra-commodity spreads (calendar spreads)?
Margin and fee details
- When will TAS on Bitcoin and Micro Bitcoin futures trades be included in the margin calculation?
- What are the fees for TAS on Bitcoin and Micro Bitcoin futures?
Additional information
- How do you distinguish a TAS execution from a futures outright execution?
- Is TAS volume added to the corresponding outright futures market volume on a real-time basis?
- When is the final price of Bitcoin and Micro Bitcoin futures from TAS transactions disseminated?
- How can I receive the resultant futures price from TAS on Bitcoin and Micro Bitcoin futures transactions?
General overview
1. What is TAS?
Trading at Settlement (TAS) functionality allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price of the underlying futures contract calculated at 4:00 p.m. Eastern Time (ET), for subsequent clearing into the existing futures contract. TAS enables clients to transact at or near the futures settlement price, making it particularly useful when replicating an index. TAS is subject to the requirements of Rule 524.A.
2. What are the specifications for TAS transactions on Bitcoin and Micro Bitcoin futures?
| TAS on Bitcoin futures | TAS on Micro Bitcoin futures | |
|---|---|---|
| CME PRODUCT CODES | Futures: BTC TAS: TBT |
Futures: MTB TAS: TBM |
| UNDERLYING CONTRACT SIZE | 5 bitcoin | 0.10 bitcoin |
| Trading hours |
CME Globex: CME ClearPort: |
|
| MINIMUM PRICE FLUCTUATION | Outright: $5.00 per bitcoin = $25.00 per contract Calendar Spread: $1.00 per bitcoin = $5.00 per contract TAS: $1 per bitcoin = $5.00 per contract. Zero or +/- 20 ticks. |
Outright: $5.00 per bitcoin = $0.50 per contract Calendar Spread: $1.00 per bitcoin = $0.10 per contract TAS: $1 per bitcoin = $5.00 per contract. Zero or +/- 20 ticks. |
| LISTED CONTRACTS | The three nearest expirations in the underlying futures | The nearest expiration in the underlying futures |
| TERMINATION OF TRADING | Futures: Trading terminates at 4:00 p.m. London time on the last Friday of the contract month if that day is a business day in either the U.K. or the U.S. If that day is not a business day in both the U.K. and the U.S, trading shall terminate on the preceding day that is a business day in either the U.K. or the U.S. TAS: For an expiring futures contract, TAS trading shall terminate at 4:00 P.M. ET on the business day immediately preceding the last trade date for such futures contract. For clarity, TAS transactions in expiring futures contracts may not be initiated on the last trade date on such expiring futures. |
|
| BLOCK MINIMUM | Futures: 5 contracts TAS: 5 contracts |
Futures: 10 contracts TAS: 10 contracts |
3. What is the difference between TAS and BTIC?
TAS transactions are at a spread, or basis, to the yet-to-be-determined daily settlement price of the underlying futures contract.
Basis Trade at Index Close (BTIC) transactions are at a spread, or basis, to the corresponding underlying reference rate.
4. What are the TAS on Bitcoin and Micro Bitcoin futures trading hours?
View TAS on Bitcoin and Micro Bitcoin futures trading hours in ET below:
|
GLOBEX HOURS |
Sunday - Friday 6:00 p.m. - 4:00 p.m. ET |
|
CLEARPORT HOURS |
Sunday 6:00 p.m. - Friday 6:45 p.m. ET with no reporting Monday - Thursday 6:45 p.m. – 7:00 p.m. ET. |
5. What are the vendor codes?
| PRODUCT NAME | CME GLOBEX | BLOOMBERG | CQG | REFINITIV |
|---|---|---|---|---|
| TAS on Bitcoin futures | TBT | TBTA | TBT | TKT |
| TAS on Micro Bitcoin futures | TBM | MBTA | TBM | BTV |
6. What is the TAS on Bitcoin and Micro Bitcoin futures quoting convention?
TAS prices are quoted in U.S. dollars per bitcoin.
The TAS trading mechanism allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price calculated at 4:00 p.m. ET.
TAS trades off a "base price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price.
For example, assume a market participant wants to execute TAS on Bitcoin futures (BTC), at a spread of +2. The participant would transact under its TAS symbol, TBT, at a price of +2. Were BTC later to settle at $70,000, the TBT trade would be replaced with a BTC contract at a price of $70,002.
A trade of -2 would result in an execution price of $69,998.
7. What is the match algorithm for TAS?
TAS markets match 100% FIFO.
8. Is TAS on Bitcoin and Micro Bitcoin futures eligible for block trading?
Yes, with the following minimum thresholds:
- Bitcoin futures: 5 contracts
- Micro Bitcoin futures: 10 contracts
9. Will there be block liquidity providers for TAS on Bitcoin and Micro Bitcoin futures?
10. Are TAS on Bitcoin and Micro Bitcoin futures available across all listed contracts?
TAS on Bitcoin futures is available across the nearest three listed expirations in the underlying futures. TAS on Micro Bitcoin futures is only available on the respective front month contract.
For an expiring futures contract, TAS trading shall terminate at 4:00 p.m. ET on the business day immediately preceding the Last Trade Date. For clarity, TAS transactions in expiring futures contracts may not be initiated on the Last Trade Date in such expiring futures.
TAS eligibility for the respective next month is added at 6:00 p.m. ET on the business day immediately preceding the Last Trade Date.
11. Is TAS on Bitcoin and Micro Bitcoin futures available on intra-commodity spreads (calendar spreads)?
TAS on Bitcoin futures is eligible for calendar spreads between the first three listed expirations.
TAS on Micro Bitcoin futures is only available on the respective front month futures contract. Spread functionality is not supported.
Margin and fee details
12. When will TAS on Bitcoin and Micro Bitcoin futures trades be included in the margin calculation?
TAS on Bitcoin and Micro Bitcoin futures trades executed by 4:00 p.m. ET will be included in that day’s clearing cycle. TAS on Bitcoin and Micro Bitcoin futures transactions consummated after 4:00 p.m. ET will be included in the next day’s clearing cycle, and margin will first be assessed in the intraday cycle on the following day.
13. What are the fees for TAS on Bitcoin and Micro Bitcoin futures?
Fees for TAS on Bitcoin and Micro Bitcoin futures transactions may be found on the CME Fee Schedule.
Additional information
14. How do you distinguish a TAS execution from a futures outright execution?
TAS transactions have distinct product codes which differ from the corresponding outright Bitcoin and Micro Bitcoin futures. This results in a separate line on the trader’s blotter after the execution that will enable the traders to track their TAS transactions through the day. Once the clearing cycle is complete, the TAS transactions will be consolidated with the corresponding underlying futures contract.
15. Is TAS volume added to the corresponding outright futures market volume on a real-time basis?
No, TAS volume is not added to the outright futures volume on a real-time basis. While the final traded futures price of TAS on Bitcoin and Micro Bitcoin futures transactions will be disseminated to the clearing firms after the cash close, the TAS position will be consolidated with the corresponding underlying futures after the clearing cycle is completed for the day.
16. When is the final price of Bitcoin and Micro Bitcoin futures from TAS transactions disseminated?
Approximately 15 minutes after the daily settlement price calculated at 4:00 p.m. ET, cleared trade data in the corresponding futures will be sent to your clearing firm with a trade price reflecting the settlement price plus (or minus) the differential price at which the TAS was traded. This price will be used when CME Group runs its end-of-day clearing cycle. At that point, the trade will be marked to market versus the daily settlement price in the corresponding futures contract.
17. How can I receive the resultant futures price from TAS on Bitcoin and Micro Bitcoin futures transactions?
You can receive the resultant futures price reflecting the TAS transaction either through your clearing firm or via CME Group’s Straight Through Processing (STP) solution if you are subscribed. Learn more about CME Group STP.
Contact GAM_CS@cmegroup.com to begin the STP onboarding process.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
