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FAQs on transaction reporting – Question II.2.1.12

Data Field (15)

Reference to documents: TRUM, Annex II, standard contracts – order conditions PTR & SLO (Data Field No 15)

XXXX Exchange (organized marketplace) offers order type named „stoploss”, where price trigger may either be related to the same instrument or to a different instrument (trader’s choice at the time order is entered). How should such orders be reported, are we correct to assume that such orders should always be reported with “order condition” = PTR (Price Trigger)?

Example:

1. order of XXXX Exchange type “stoploss” is entered at XXXX Exchange, in instrument X, with price trigger related to the same instrument X;

2. order of XXXX Exchange type “stoploss” is entered at XXXX Exchange, in instrument X, with price trigger related to a different instrument Y.

Reading description related to order conditions (Data Field No 15) in TRUM p. 43-44/150, are we correct to assume that we should report orders of XXXX Exchange type “stoploss” in the following manner:

Data Field No 15 (Order condition) – should have value „PTR” regardless of the fact whether actual price condition is related to the same instrument or is related to a different instrument.


Answer:

Data Field No 15 (Order condition) aims at capturing the condition for the order to execute.

A Stop Loss order (SLO) is submitted to the market as a limit order or market order once a certain price condition of an instrument is met (including profit taking). The price trigger refers to the same tradable instrument.

Price Trigger condition (PTR) applies to an order which will not be available for execution unless a specific trigger price is reached, similar to a Stop Loss, but may be triggered across product pricing, i.e. the price trigger may be based on a different contract or index.

With regard to the question above, the Agency understands that:

1. order of XXXX Exchange type “stoploss” is entered at XXXX Exchange, in instrument X, with a price trigger related to the same instrument X, which should be reported as SLO (stop loss); and

2. order of XXXX Exchange type “stoploss” is entered at XXXX Exchange, in instrument X, with a price trigger related to a different instrument Y, which should be reported as PTR (price trigger).

In both cases the orders have to be reported when visible to the market. This means that in some circumstances these orders are not visible to the market and they are not reportable. Once the non-visible orders are triggered and visible to the market, these orders become reportable with all the information that triggered and made them active in the market.

Last update: 16/11/2015   RSS_Icon Subscribe to this Page’s RSS