I. Introduction

II. Procedural Background

III. Overview

IV. Commodity Exchange Act and Commission Regulations

V. Governance

A. Structure and Ownership of CFFE

B. Board of Directors

C. Officers

D. Executive Committee

E. CFFE Standing Committees

F. NYCE Committees with Responsibility for CFFE Matters

G. Emergency Procedures

VI. Access to the Cantor System

A. Overview

B. CFFE Traders

1. CFFE Members

a. CFFE Full Members

b. CFFE Associate Members

c. CFFE Clearing Members

2. Screen Based Traders

3. Authorized Traders

C. Terminal Operators

1. Responsibilities

2. Restrictions

3. Liability for Abuses

4. Public Comments Regarding Terminal Operators

VII. Trade Execution

A. Overview

B. Regular Trade-Matching Algorithm

1. Principles of Trade-Matching

2. Minimum Bid and Offer Size

3. Operation of the Algorithm

a. Simple Posting of Bids and Offers

b. Bettering First Best Bids and Offers

c. Minimum Order Size and the First Best Bid or Offer

d. Resting v. Aggressive Orders

e. Aggressive Order Lifting a Portion of a Resting Offer

f. Aggressive Order Lifting a Portion of Multiple Resting Orders

g. Initiation of Exclusive Time Trading Period

h. Bids and Offers Joining During Exclusive Time Trading Period

4. Look-Back Feature

C. Market-Crossing Session Trade-Matching Algorithm

1. Overview

2. Minimum Bid and Offer Size

3. Operation of the Algorithm

D. Open and Competitive Nature of the Cantor System

E. Exchange of Futures for Physicals

VIII. Clearing and Settlement

IX. Compliance Program

A. Overview

B. Trade Practice Surveillance

1. Audit Trail

2. Review and Utilization of Timing Information

3. Trade Surveillance

a. Automated Surveillance

b. Physical Surveillance

C. Investigations

D. Disciplinary Procedures

E. Division Rule Enforcement Reviews of NYCE

X. System Security, Vulnerability, and Capacity

A. Review of the Cantor System by Office of Information Resources Management

B. System Overview

C. System Security and Data Integrity

D. System Reliability and Disaster Recovery

E. System Capacity

F. System Testing

G. Technical Conclusion

XI. Disclosure and Liability

XII. Summary of Comments

A. Overview

B. Favorable Comments

C. Unfavorable Comments

1. Comments Generally

2. AMEX and CBT Comments


b. CBT

i. Regulation 1.63 and the Cantor Group

ii. Open and Competitive Execution of Trades

iii. The Role of Terminal Operators

iv. Terminal Operator Registration

v. CFFE's Compliance Program

vi. The Commission's Review Process

XIII. Conclusion and Recommendations

Appendix A Regulations Applicable to Contract Markets and Clearing Organizations

Appendix B CFFE Relevant Entities