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FAQs on transaction reporting – Question II.2.1.11

Data Field (11)

How to apply “buy”, “sell”, or “Combined” (Data Field No (11) Buy/sell indicator, Standard Contracts Table) to an order with volume 0 that acts as null in a linear interpolation

At an exchange, buy or sell is indicated by the sign of the volume

(no sign = buy ,negative sign = sell)

If a buy and sell combination is submitted as a linear interpolation between price steps, including a 0 volume order, that 0 volume order acts as both, endpoint of the buy interpolation and start point of the sell interpolation.

For example:

(Volume 50;Price 35)    (Volume 0;Price 40)   (Volume -50;Price 45)

In that case, the volume that is bought depends on the auction price that is calculated. If the price is 35, 50 is bought. If the price is 40, 0 is bought. If the price is between 35 and 40, the buy volume is linearly interpolated.

The same applies for the sell side. The sell volume is interpolated between 40 and 45, if the price is in that range.

So in that example, three orders are submitted by the trader. One is clearly a buy order and one is clearly a sell order. Should the order in the middle be reported to the Agency with buy/sell indicator = C (Buy and Sell)?


Answer:

Please see linear and/or step order examples available in Annex II to the TRUM.

Last update: 08/09/2015   RSS_Icon Subscribe to this Page’s RSS