FAQs on transaction reporting – Question II.1.1.6

Quarterly multi-round ascending clock auction sponsored by the Country A NRA and organized by XXX Exchange. This auction brings together one instrument seller against multiple buyers. Although this trading system (one-to-many) does not seem to fit the Agency’s understanding of an organised market place, the guidance from the NRA is that the results of these auctions should be reported anyway, presumably because the subject of the auction are standard contracts also admitted to continuous trading in XXX Exchange.

These contracts are futures and should be reported as per article (3)(1)(a)(viii) of Commission Implementing Regulation (EU) No 1348/2014, using Table 1. The structure of this table supports the reporting of a list of contracts, transactions and orders, but does not natively support some properties of these auctions (initial/closing price per round, demand/supply surplus per round, exit prices defined by agents, etc.).

How should these types of auctions be reported in REMIT?

The reporting model for standard contracts should accept the characteristics of clock auctions. In particular, we refer:

  • the possibility of several rounds;
  • the definition of a round opening price and a round closing price for each round;
  • the definition of intermediate price points defined by bidders, between the round opening price and the round closing price.

Answer:

From the Agency’s point of view, the TRUM, available on the REMIT Portal, is already addressing this question on page 15. If the Auction is not an Organised Market Place (which has to be assessed by the person who runs the Auction), then the orders should not be reported. However, any trade concluded in such a platform has to be reported in Phase 2 (7 April 2016) as any other bilateral contract.

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FAQs on transaction reporting – Question II.1.1.7

We assume that it is always the exchange member who is considered to be the market participant and therefore reported as counterparty. This includes those exchange members that do not use their membership for prop trading, but to provide DMA to their customers.

In such a setup, what would be the status of such a customer?

Would he also be considered a market participant?

If this is the case, he would also have a reporting obligation. How would this be fulfilled?

Can we assume that this customer would not need to report transactions in the standard format (because this is what the exchange member already does)?

Does this mean that the customer would need to report non-standard transactions, with the exchange member being the other counterparty?

We assume that a customer, who is not an exchange member, but trading via DMA of an exchange member, is also considered a market participant.

Reporting of the exchange trade in the standard format will be done for the exchange member. The customer will need to report a second transaction in the non-standard format.


Answer:

From the Agency’s point of view, this question is already addressed in the TRUM and explained into detail in Annex III to the TRUM available on the REMIT Portal.

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FAQs on transaction reporting – Question II.2.1.3

Data Field (3)

If an OMP produces an ACER XML file, but instead of loading the data through an RRM, the ACER XML file is provided to the market participant to load into their RRM of choice – will the validation of the Field 3 (Trader ID) data be based upon the OMP Trader Id (3a) or the Participant Trader Id (3b)?

OR

If an OMP produces an ACER XML file, but instead of loading the data through an RRM, the ACER XML file is provided to the market participant to load into their ETRM system and then report the trade to their RRM of choice – will the validation of the Field 3 (Trader ID) data be based upon the OMP Trader Id (3a) or the Participant Trader Id (3b)?

“traderIdForOrganisedMarket” (Field No. 3a)
“traderIdForMarketParticipant” (Field No. 3b)

  • MP A trades on OMP 1.
  • OMP 1 uses RRM 1.
  • MP A opts out of OMP 1 reporting, and requests the ACER XL data to lodge with their RRM of choice (RRM 2).
  • OMP 1 generates a daily ACER XML file for MP A.
  • MP A takes the file and loads it to RRM 2.

In this instance, does the ACER check on Field 3 (Trader Id) look at the OMP value (3a) as the data was sourced from an OMP or the participant value (3b as the data was loaded via a participant?
Suggest that in this instance, either value be allowed for reporting.


Answer:

Because the trade is executed at the Organised Market Place, the market participant should report the trade/order report with the same information of the Organised Market Place and therefore “traderIdForOrganisedMarket” (Field No. 3a) should be reported.

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FAQs on transaction reporting – Question II.2.1.5

Data Field (4)

This question pertains to exchange contracts traded on a broker. These contracts are typically traded anonymously, so that neither party to the trade knows who the other party is. The question is what value should be supplied for TRUM field 4 for trades on such contracts. An example would be a XXX Germany Baseload contract traded on broker platform.

We believe the counterparty should be omitted. This would be consistent with the rule that exchange-traded contracts do not require a counterparty.


Answer:

If the trade takes place on an exchange with orders to trade placed on the broker’s screen or voice brokered, this trade should be reported as any other trade that takes place on exchange.

If traded on the broker’s screen, the orders should be reported as orders placed on the exchange’s contract. There is no expectation that the order report and the trade report are linked together as they were placed first and executed after on two different Organised Market Places.

When orders on futures traded on exchanges are placed on the broker platforms, e.g. Indication of Interest (IOI), Field (4) “ID of the of the market participant” should include the ID of the Exchange.

This can be reported in the form of the LEI, BIC, EIC, or ACER code. When only the Exchange’s MIC code is available to the reporting party, this can be reported (as a last resource) in the format XMIC0000.EU – where the 4 first digits represent the Exchange’s MIC code, followed by 5 zeros, followed by “.EU” to replicate an ACER code.

For the reporting of the trades and for the reporting of the orders, please see examples (2.17) and (3.21) respectively included in the Annex II to the TRUM.

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FAQs on transaction reporting – Question II.2.1.22

Data Field (28)

Data Field No (28) Contract trading hours in case of auction markets

1 case: Day ahead market: flow date 20150708

Contract Trading Start: 29/06/2015 08:00 local time

Contract Trading End: 07/07/2015 12:00 local time

Last Trading Date and time field 29: 07/07/2015 12:00 local time

Auction Result:  07/07/2015 13:00 local time

2 case: Intraday market: flow date 20150707

Contract Trading Start: 06/07/2015 17:30 local time

Contract Trading End: 07/07/2015 03:45 local time

Last Trading Date and time field 29: 07/07/2015 03:45 local time

Auction Result:  07/07/2015 04:00 local time

3 case:  intraday market: flow date 20150708

Contract Trading Start: 07/07/2015 12:55 local time

Contract Trading End: 07/07/2015 15:00 local time

Last Trading Date and time field 29: 07/07/2015 15:00 local time

Auction Result:  07/07/2015 15:30 local time

1 case: Day ahead market: flow date 20150708

We will report all orders, considered valid and submitted in the timeframe between  29/06/2015 08:00  and  07/07/2015 12:00, considering:

<contractTradingHours>

<startTime>00:00:01+02:00</startTime>

<endTime> 23:59:59+02:00</endTime>

<contractTradingHours>

Thus without any indication of the date, indicated only in field 29:

<lastTradingDateTime>2015-07-07T12:00:00+02:00</lastTradingDateTime>

2 case: Intraday market: flow date 20150707

We will report all orders, considered valid and submitted in the timeframe between  06/07/2015 17:30 and  07/07/2015 03:45 considering:

<contractTradingHours>

<startTime>00:00:01+02:00</startTime>

<endTime> 23:59:59+02:00</endTime>

<contractTradingHours>

<lastTradingDateTime>2015-07-07T03:45:00+02:00</lastTradingDateTime>

Otherwise we propose to consider in this case:

<contractTradingHours>

<startTime>17:30:00+02:00</startTime>

<endTime> 03:45:00+02:00</endTime>

<contractTradingHours>

<lastTradingDateTime>2015-07-07T03:45:00+02:00</lastTradingDateTime>

3 case:  intraday market: flow date 20150708

We will report all orders, considered valid and submitted in the timeframe between  07/07/2015 12:55 and  07/07/2015 15:00, considering:

<contractTradingHours>

<startTime>12:55:00+02:00</startTime>

<endTime>15:00:00+02:00</endTime>

<date>2015-07-07</date>

<contractTradingHours>

<lastTradingDateTime>2015-07-07T15:00:00+02:00</lastTradingDateTime>


Answer:

The correct way to report the <contractTradingHours></contractTradingHours> is:

Case 1 above:

<contractTradingHours>

<startTime>00:00:00+02:00</startTime>

<endTime> 23:59:59+02:00</endTime>  (or 24:00:00+02:00)

</contractTradingHours>

Case 2 above:

<contractTradingHours>

<startTime>17:30:00+02:00</startTime>

<endTime> 03:45:00+02:00</endTime>

</contractTradingHours>

Case 3 above:

<contractTradingHours>

<startTime>12:55:00+02:00</startTime>

<endTime>15:00:00+02:00</endTime>

<date>2015-07-07</date>

<contractTradingHours>

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FAQs on transaction reporting – Question II.2.2.2

Different but valid interpretations of delivery profiles

As an example –  an off peak trade I currently build as

<deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>00:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>08:00:00</loadDeliveryEndTime>

</deliveryProfile>

<deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>20:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>00:00:00</loadDeliveryEndTime>

</deliveryProfile>

<deliveryProfile>

<daysOfTheWeek>WN</daysOfTheWeek>

<loadDeliveryStartTime>00:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>00:00:00</loadDeliveryEndTime>

</deliveryProfile>

but it could equally, legally be described as this.

<deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>20:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>08:00:00</loadDeliveryEndTime>

</deliveryProfile>

<deliveryProfile>

<daysOfTheWeek>WN</daysOfTheWeek>

<loadDeliveryStartTime>00:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>00:00:00</loadDeliveryEndTime>

</deliveryProfile>

We would prefer our version as it is clearer, does it matter? They are both schema valid and correct to our mind

Same question for NBP gas. We currently generate this

<deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

<deliveryProfile>

<daysOfTheWeek>WN</daysOfTheWeek>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

but equally it could be this

<deliveryProfile>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

again, we prefer our version as being clear, again does it matter – will ACER accept both?

We would prefer AER to accept all variants of this , otherwise ACER will have to describe a “reference” implementation for everything , which takes time to do and then time for everyone to implement and time is something that we don’t have a lot of.


Answer:

With regard to the code:

1.    <deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>20:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>08:00:00</loadDeliveryEndTime>

</deliveryProfile>

2.    <deliveryProfile>

<daysOfTheWeek>WN</daysOfTheWeek>

<loadDeliveryStartTime>00:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>00:00:00</loadDeliveryEndTime>

</deliveryProfile>

In the first case (1) this would be mean that Mon 20:00 to 00:00 and Tue 00:00 to 08:00 and 20:00 to 00:00, etc. but that means it misses the period between 00:00 to 08:00 on Mon

With regard to the code:

<deliveryProfile>

<loadDeliveryStartTime>06:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>06:00:00</loadDeliveryEndTime>

</deliveryProfile>

This applies to every day delivery from 06:00 am to 06:00 am irrespective of the day.

While WD from 06:00 am to 06:00 am + WN from 06:00 am to 06:00 am may represent the same thing of all days from 06:00 am to 06:00 am, the use of the smallest possible set of information is the correct way to report such a transaction: e.g. all days 06:00 am to 06:00 am and not WD + WN.

The reporting of WD + WN profiles should be avoided when it is not needed.  For example: a yearly forward contract for the delivery of gas from 06:00 am to 06:00 am every day of the year can be represented with one delivery period for all days as seen above, WD + WN profiles or it can be repeated 365 days, one per each deliver day. Since the all-day from 06:00 am to 06:00 am profile is the simplest one, this should be used.

Reporting parties that aim at a successful transaction reporting should pay attention to the trading examples reported in Annex II of the TRUM and should not deviate from it unless previously discussed with the Agency.

In addition, for electricity delivery profiles that start at 23:00, e.g. a baseload contract delivery starts at 23:00 on Sunday and delivery ends at 23:00 on Friday, this should be reported as SUtoFR from  23:00 to 23:00

<deliveryProfile>

<daysOfTheWeek>SUtoFR</daysOfTheWeek>

<loadDeliveryStartTime>23:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>23:00:00</loadDeliveryEndTime>

</deliveryProfile>

The profile WD from 23:00 to 23:00 :

<deliveryProfile>

<daysOfTheWeek>WD</daysOfTheWeek>

<loadDeliveryStartTime>23:00:00</loadDeliveryStartTime>

<loadDeliveryEndTime>23:00:00</loadDeliveryEndTime>

</deliveryProfile>

would not represent the same thing and it should not be used.

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FAQs on transaction reporting – Question II.2.1.44

Data Field (52)

ACER Transaction Reporting User Manual – Reporting of Standard Supply Contracts – Field 52

How to correctly map to the ACER load type values ‘Shaped’ and ‘Other’ What is the difference between these two values?

We trade the following structures:

Overnights (Blocks 1+2)

Extended Peaks (Blocks 3+4+5+6)

Weekday Block 4

Would these load types be ‘Shaped’ or ‘Other’?

We think the above fall under ‘Other’


Answer:

If the price is the same for all the hours within the blocks, then BH for block hours should be used. If the price is different per each hour of the blocks, then it is a shaped product. In some cases it is possible to have a shaped product that has the same price for all the hours, but still a shaped product. Usually this is an OTC bilateral contract or voice brokered.

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FAQs on transaction reporting – Question II.2.1.23

Data Field (28)

The implementing acts define field 28 as “the trading hours of the contract”. Although we do open and close our electronic markets, this is not always done at fixed times, the times can change from day to day, and even outside of those times we will be available to broker trades if customers require.

Our proposal is to list our markets hours as 00:00 to 00:00 which we believe reflects the service that we offer.


Answer:

The TRUM indicates that “in case of continuous markets, exchanges or broker platforms shall report the trading hours in which their clients may place orders and trade in that market: e.g. 09:00Z to 17:00Z or 00:00Z to 24:00Z if no restrictions are imposed by the exchange.”

In the Agency’s view “the trading hours of the contract” should represent the hours within which the electronic orders are displayed in the screen, e.g. 09:00 to 17:00 if there are restrictions. If a voice brokered trade takes place outside the core trading hours 9:00 to 17:00 the contract should be reported with the same hours but flagged as “voice-brokered” in field 34.

When there are not any trading restrictions on a particular contract then 00:00Z to 24:00Z or 00:00Z to 00:00Z should be reported.

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FAQs on transaction reporting – Question II.2.2.3

Due to idiosyncrasies of the Gas market, on certain times every month there are contracts that are in effect duplicates of each other, from a delivery point of view.

For example, on Fri 24th July, both the “Balance of Month” and “Working days next week” contract quoted on screen will result in delivery of the same commodity – from 27-31st July inclusive.

These are shown as 2 different contracts on the broker screen so have 2 different order books and clients can place orders and trade in either contract.

We would like to check that reports of, for example, 2 orders on 2 different contract IDs would be accepted, even though the details of the two contracts and delivery profiles would in effect be the same.

We can see the test ARIS system accepts this, we just want assurance that you do not think that this violates any rules.

We can see why this may be undesirable as you would not want people making up different contract IDs all of the time, however in this instance the traders see 2 distinct order book on the screen and we feel that it is valid to report in this way, if the order books are separate.


Answer:

If there are two different contracts and these are shown as two different contracts on the broker screen, so they have two different order books and the traders see two distinct order books on the screen, these contract should be reported with different IDs.

The fact that on certain times every month there are contracts that are in effect duplicates of each other, from a delivery point of view, it does not mean that they are the same. They are two different contracts with the same delivery profiles (and they may trade at the same price, but traded in two different order books and they should be reported separately.

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FAQs on transaction reporting – Question II.2.1.24

Data Field (30)

The XXX trade matching system recognises two time stamps in the non-MTF trade execution process (which currently represents virtually 100% of screen trading in the physical energy markets).

The first is the time at which an order is aggressed and potentially matched. This time is recorded in the system as “time”. However, under the non-MTF trading workflow, the operator of the venue has to exercise discretion in respect of every transaction meaning that this is not the point of execution. Nevertheless, at this point in the workflow the order is removed from the trading screen and the time is printed to the market to show the initial match on a trade ticker.

The second time stamp (known as “execution time”) is the point of execution and which takes place when a broker for the trading venue matches the two orders and executes them in the system as a legally binding transaction.

Order initiated at 13:00:00

Aggressed at 13:02:00  – order removed from the market at this point and the market sees the potential trade in the ticker

Executed by a broker at 13:03:00.

The confirmation requested is that the second “time executed” time stamp is treated an internal administrative process and is not a reportable event.

From a market manipulation/market abuse perspective, the first time stamp – which indicates the moment at which an order has been potentially matched and shown to the market – is the more important.

It serves no useful purpose to publish the second “execution time” stamp and we cannot, in any event, see how that would be reported under the schema as there is no way to describe it. We would be sending a modify record with no fields modified.

Given the scope for misunderstanding and a disparate approach to time stamp reporting, we ask that ACER makes a clear statement about the time stamp which needs to be reported (i.e. the first initial match time).


Answer:

Please see Field 30 “Transaction timestamp“ in the TRUM: “The date and time of the contract execution or order submission, or their modification, cancellation or termination.” . This should be understood as the time at which two orders match.  In the above case we would expect to receive 13:02:00 in the timestamp field.

If reporting parties would also like to report <executionTime > to indicate that the legal execution time takes place a few second/minutes after the order have matched this can be done.

When <executionTime > is different than <transactionTime>, this can be reported under <executionTime></executionTime> code. For the example above:

<transactionTime>2015-06-11T13:02:00.000</transactionTime>

<executionTime>2015-06-11T13:03:00.000</executionTime>

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