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FAQs on transaction reporting – Question II.2.2.10

A common workflow in our broking system is the aggregation of a number of similar deals into one “big ticket” – particularly prevalent where the deals are going to have a manual process applied to them anyhow such as sleeve deals or spread deals.

The clarification requested is how to report these deals

Party A and B trade 4 times today the NCG/TTF spread for June – so Party A initiated 4 orders at of 30 MW, at 0.225 and party B aggressed them.

The result is 4 x NGC/TTF Jun spreads at .225. These trades are not reportable as they are spread trades – however when the spreads are broken individually into an NCG leg and a TTF leg, they would reference the relevant orders – so 8 resulting trades in all (16 reportable sides).

2 trades would reference each order – the initiated side for the NCG and the initiated side for the TTF leg. The aggressed side would be a “click to trade” report.

Order 1 NCG/TTF 30MW

Order 2 NCG/TTF 30MW

Order 3 NCG/TTF 30MW

Order 4 NCG/TTF 30MW

Trade 1 (initiate side) NCG leg (30MW) – Order 1

Trade 1a (aggress side) NCG leg (30MW) – Click trade

Trade 1b (initiate side) TTF leg (30MW) – Order 1

Trade 1c (aggress side) TTF leg (30MW) – Click trade

Trade 2 (initiate side) NCG leg (30MW) – Order 2

Trade 2a (aggress side) NCG leg (30MW) – Click trade

Trade 2b (initiate side) TTF leg (30MW) – Order 2

Trade 2c (aggress side) TTF leg (30MW) – Click trade

Trade 3 (initiate side) NCG leg (30MW) – Order 3

Trade 3a (aggress side) NCG leg (30MW) – Click trade

Trade 3b (initiate side) TTF leg (30MW) – Order 3

Trade 3c (aggress side) TTF leg (30MW) – Click trade

Trade 4 (initiate side) NCG leg (30MW) – Order 4

Trade 4a (aggress side) NCG leg (30MW) – Click trade

Trade 4b (initiate side) TTF leg (30MW) – Order 4

Trade 4c (aggress side) TTF leg (30MW) – Click trade

However, the market convention here is to break the spreads not as four individual trades, but as a single trade of 120 MW. The question is how to report this.

Our view is that when a number of trades are bagged up into a single trade, that the reporting should be as below:

The single pair of 120MW trades (1 NCG and 1 TTF trade) would each reference the orders concerned

  • Order 1 NCG/TTF 30MW
  • Order 2 NCG/TTF 30MW
  • Order 3 NCG/TTF 30MW
  • Order 4 NCG/TTF 30MW
  • Trade 1 (initiate side) NCG leg (120MW) – Order 1, Order 2, Order 3, Order 4
  • Trade 1a (aggress side) NCG leg (120MW) – Click trade
  • Trade 1b (initiate side) TTF leg (120MW) – Order 1, Order 2, Order 3, Order 4
  • Trade 1c (aggress side) TTF leg (120MW) – Click trade

This way ACER will be able to see the relationship between the orders and resulting deals. Otherwise, ACER will get 3 matched orders with no resulting deal records at all, and 1 order with a deal record that does not match the order.


Answer:

Each order must match another order irrespective if the latter is a click and trade order/trade or not.

The correct way to report the above transitions is:

(initiator side) (aggressor side)
Orders

1.    Order 1 NCG/TTF 30MW

2.    Order 2 NCG/TTF 30MW

3.    Order 3 NCG/TTF 30MW

4.    Order 4 NCG/TTF 30MW

 

 

Orders

Because these are Click and Trade orders, they are reported with the trade reports under Click and trade section of the Schema

(nothing prevents the broker to create orders and report them under the order report section of the schema)

Trades

1.    NCG leg (120MW) – UTI 123NCG

linked to Order 1 – linked to UTI 123TTF

2.    TTF leg (120MW) – UTI 123TTF

linked to Order 1 – linked to UTI 123NCG

…….

3.    NCG leg (120MW) – UTI 345NCG

linked to Order 2  – linked to UTI 345TTF

4.    TTF leg (120MW) – UTI 345TTF

linked to Order 2 – linked to UTI 345NCG

…….

5.    NCG leg (120MW) – UTI 678NCG

linked to Order 3  – linked to UTI 678TTF

6.    TTF leg (120MW) – UTI 678TTF

linked to Order 3 – linked to UTI 678NCG

…….

7.    NCG leg (120MW) – UTI 901NCG

linked to Order 4  – linked to UTI 901TTF

8.    TTF leg (120MW) – UTI 901TTF

linked to Order 4 – linked to UTI 901NCG

 

Trades

1.    NCG leg (120MW) – UTI 123NCG

Click and trade – linked to UTI 123TTF

2.    TTF leg (120MW) – UTI 123TTF

Click and trade – linked to UTI 123NCG

…….

3.    NCG leg (120MW) – UTI 345NCG

Click and trade – linked to UTI 345TTF

4.    TTF leg (120MW) – UTI 345TTF

Click and trade – linked to UTI 345NCG

…….

5.    NCG leg (120MW) – UTI 678NCG

Click and trade – linked to UTI 678TTF

6.    TTF leg (120MW) – UTI 678TTF

Click and trade – linked to UTI 678NCG

…….

7.    NCG leg (120MW) – UTI 901NCG

Click and trade – linked to UTI 901TTF

8.    TTF leg (120MW) – UTI 901TTF

Click and trade – linked to UTI 901NCG

 

In our view, nothing prevents that the brokers or exchanges (those that do not store the aggressor order and treat this action as a click and trade) to create orders in their systems and report them under the order report section of the schema. When a trader aggresses an order on the screen and he accepts the initiator order price, he places a limit order. The fact that this order is not stored in the broker’s or exchange’s platform as an order does not means that it is not an order.

Please see example (3.19) in Annex II to the TRUM.

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