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FAQs on transaction reporting – Question II.2.4.2

The reporting of expired orders. In TRUM it seems like the event when an order expires should be reported (with Order status EXP – Expired).

For practical reasons we have some problems with reporting these at T+1. The expirations of orders take place in the night batch and usually around 4 in the morning (sometime before the next trading day opens). For practical reasons we must prepare the REMIT data to be reported before that time. So if we are to report these “as is” we would report expirations on T+2

It seems really unnecessary to report when an order expires and will lead to heavily increased volumes. All the information for expiration this is already in the previous events (Order duration).

For trades that expire on maturity date cancelations should not be sent, so it does not seem logical to have different reporting logic on expiration for trades and orders.

Since there is no gain in reporting expired orders my suggestion is that it should not be reported.


Answer:

There is no need to report the order report for Order status EXP (Expired) if this can be derived from Field (20) Order duration and expirationDateTime available in the schema. Field (20) Order duration has seven accepted values:

Order Duration  
DAY=Day No need to report Order status EXP
GTC=Good Till Cancelled No need to report Order status EXP
GTD=Good Till Date No need to report Order status EXP  if Expiration Date Time is be reported in the XML report
GTT=Good Till Time No need to report Order status EXP  if Expiration Date Time is be reported in the XML report
SES=Session No need to report Order status EXP
OTH=Other No need to report Order status EXP  if Expiration Date Time is be reported in the XML report

 

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