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Are the Trading Volume and Turnover of the Futures Leg of an EFP Transaction on Chinese Government Bond Futures Included into the Daily Total Trading
2019-09-02

In accordance with applicable business rules of CFFEX, the trading volume and turnover of the future leg of an EFP transaction on Chinese government bond futures shall be included into the daily total trading volume and turnover of the contract. However, CFFEX will, when releasing real time market data, also publish volume and change in positions of future contract due to EFP, which may generally be available on the platform of real-time information and data.