MEFF Overview

The Mercado Español de Futuros Financieros, or MEFF, was launched November 1989 and is the official Spanish exchange for financial futures and options. The exchange is a subsidiary of Bolsas y Mercados Españoles (BME Group), which is comprised of the Madrid, Barcelona, Bilbao and Valencia stock exchanges, MF Mercados Financieros, Iberclear and BME Consulting.

MEFF’s primary activity is trading, clearing, and settling of futures and options contracts on equity index IBEX 35 contracts. MEFF acts as both the market and the clearing house for derivative products in Spain. The integration of exchange and clearing house facilitates risk management in real time and simplifies the mark-to-market and settlement-at-expiry procedures.

MEFF Exchange API

TT® supports the following:

  • Prices: HF MEFFGate (FIX 5.0)
  • Orders: HF MEFFGate (FIX 5.0)

Exchange Interface

A separate HF MEFFGate interface is provided by the exchange for public prices (M5.0) and private orders data (T5.0). TT® connects to the exchange interfaces via FIX 5.0 SP 2.

FIX API mapping for connection, account, and user fields in Setup is based on FIX 5.0 SP 2.

Matching and Clearing

MEFF operates its matching engine as part of the MEFF S/MART platform's Central Systems, which is maintained in two separate locations (Madrid and Barcelona) for disaster recovery purposes.

Futures and options contracts are registered on Equity Index, Stocks and National Government Bond contracts. The Clearing House receives trades directly from the MEFF Derivatives Trading Platform, and monitors risk and margin of each Clearing Member.

Matching Algorithms

MEFF matches orders based on a price-time priority matching algorithm. This algorithm applies to all the contracts traded on MEFF.

Exchange Restrictions

When configuring access to MEFF, confirm the following with exchange:

  • User Transaction Limit

    MEFF configures a per-second order limit on all users. Currently, the exchange sets the maximum limit equal to 300 orders per second on each FIX order session.

    Warning: To ensure proper order handling, you must request that MEFF sets the order limit to the highest possible value.

  • Price Filter and Volume Filter

    The Price Filter determines the maximum range between possible bid/ask prices and the last traded price. The Volume Filter determines the maximum order size allowable for the member. Failure to establish these filters can result in suspension in trading at the exchange. For guidance on determining and establishing the Price and Volume Filters, contact the exchange at:

Available Products

You can trade the following MEFF products on TT:

  • IBEX-35 mini- and standard-size Equity Index Futures and Options
  • Spanish and European Single Stock Futures

Note: The exchange may change its listed products at any time. For currently listed products, contact MEFF.

Contract names include the instrument expiration date and settlement convention. For example, an IBEX MINI® (FIEM) contract is listed as: FIEM 02NOV18-Cash, where “Cash” indicates that the contract is financially, as opposed to physically, settled.

In the TT system, American and European options contracts are displayed with either an “A” (American) or “E” (European) in the options contract name to distinguish between the two options styles. European options may be exercised only at the expiry date of the option, while American options may be exercised at any time before the expiry date.

Supported Exchange Functionality

The following MEFF exchange functionality is supported by TT:

  • All MEFF listed derivative products except the Bono 10 bonds.
  • Auction Price Orders
  • RFQ for Wholesale Orders

Unsupported Exchange Functionality

The following MEFF exchange functionality is not supported by TT:

  • Quoting/Mass Quoting
  • “Privileged” trader (on behalf of) functionality
  • Multi-login traders
  • Mass cancellation
  • Give Ups
  • Delta Protection, Kill Button, and Management of Filters and Permissions
  • Password reset via the exchange API (users must call the exchange)
  • Connectivity to MEFFPower segment
  • Asset Classes
  • Equities
  • Bonds
  • Eurex products traded via EuroMEFF
  • Spanish 10 year National Bond (Bono)
  • Market Maker Orders

Trading Hours

Trading hours are provided per product group at All times listed are in Central European Time (UTC+1).

Market States

The following table describes the exchange market states supported by the MEFF and displayed in the S column of the Market Grid:

Market State Description

Order Entry: During the Auction (Pre-Open) state, orders can be added, modified, and canceled. No matching occurs during the Auction state.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the MEFF sends as the Indicative Open Price, and a Theoretical Opening Quantity (TOQ) that TT sends as the Indicative Open Quantity.

State Changes: Occurs at the start of the trading day.


Order Entry: Orders can be added, modified, or canceled. Matching occurs.

Market Data: All filled orders update Last Traded Price and Last Traded Quantity. In addition, only prices in the Open state affect the High/Low prices for the trading day. Resting Market and Limit orders are matched at the price calculated by the exchange when the market moves from Auction to Open.

State Changes: Occurs after Auction.


Order Entry: No orders can be added, modified, or canceled. No matching occurs.

Market Data: No market data is provided until Pre-Open of the next trading session.

State Changes: Occurs at the end of the Trading session.


Order Entry: Orders can be canceled, but can not added or modified. No matching occurs.

Market Data: No market data is provided until open trading resumes.

State Changes: Occurs whenever open trading is interrupted. May occur for a contract prior to Auction.


Order Entry: Indicates an expired contract. No order actions are allowed and no matching occurs.

Market Data: No market data is provided for the expired contract.

State Changes: May occur as a transition from any other Market State, and is triggered by the expiry date and time on the contract definition sent by the exchange. Most often, Expired occurs immediately after Closed.

Unknown State Changes: The exchange’s market state cannot be determined by the MEFF. The contract may be in any of the above states except Expired.

MEFF Self-Execution Service

TT supports the exchange's self-execution serivce by configuring a self-match prevention (SMP) ID per user. Refer to Configuring user access to MEFF for more details.

Connectivity Options

The TT® platform provides connectivity to the exchange, so you do not have to contact the exchange regarding connectivity options. Refer to TT Access for more details about your connectivity options for connecting to TT.