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FAQs on transaction reporting – Question II.2.2.5

Since it is possible to enter orders that remain in the system for more than one day, we consider it to be likely that some orders which had been entered on 6 October 2015 or before are still valid on 7 October 2015. However, these orders will not show in the system again until they are modified, matched or cancelled.

It is not clear how to deal with such orders that have already been active at the reporting start date.

For sake of clarity it would be very useful to have a special chapter GoLive in TRUM. For example:

  • 5 October 2015 – order is inserted in the market (with status ACTIVE)
  • 6 October 2015 – order is modified
  • 7 October 2015 – order is matched

There will be no “BACK LOADING” of order data; only order lifecycle events that take place on 7 October 2015 or later will need to be reported.


Answer:

Orders that remain in the system on 7 of October 2015, for example they were entered on 6 October 2015 or before, and are still active on 7 October 2015, should be reported in one of the two following ways:

1.    New order (Action Type “N”) on 7 October 2015 either with the real timestamp, e.g. 2015-10-06T08:23:24 or with the time of opening the market, e.g. 2015-10-07T00:00:00 or 2015-10-07T09:00:00 in UTC format. Any subsequent modifications of those orders should be reported as modification (Action Type “M”) with the real timestamp of modification.

The values to be reported are those at the point of reporting (the current active values) and not the values that were originally entered. For example, if it was entered at 3 EUR, but then modified to 2 EUR, it should only be reported as 2 EUR because this is the value at the time of the loading day (7 October).

OR

2.    New (Action Type “N”), modified (Action Type “M”) or cancelled (“Action Type C”) with its lifecycles or related trades and real timestamps. An order that is active on 7 October 2015 will be reported according to its history.

For example, if the order is active on 7 October 2015 but before this date the order was modified 2 times and then partially matched, the report will cover the first submission of order (Action type “N” and transaction timestamp before 7 October 2015), its 2 modifications (Action type “M”), partial acceptance (trade report) and the rest that remains active in the system.

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