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Match Criteria for Outright Trades
The following fields are used for matching of single-sided outright trades.
| Field | XPath | Description | Applicable to Security Type | |
|---|---|---|---|---|
| Contract Attributes | ||||
Exchange | TrdCaptRpt/Instrmt/@Exch | The Exchange where the contract trades. | All | |
Security Type | TrdCaptRpt/Instrmt/@SecTyp | The Security Type Supported Values: FUT – Future OPT – Option FWD- Forward | All | |
Product ID | TrdCaptRpt/Instrmt/@ID | The Product ID assigned by Clearing | All | |
Maturity | TrdCaptRpt/Instrmt/@MMY | The Contract Period Code. OTC FX Forwards – this field must contain the contract’s Fixing Date. | All | |
Put or Call | TrdCaptRpt/Instrmt/@PutCall | Put or Call for the Option Supported Values: 0 – Put 1 – Call | OPT | |
Strike Price | TrdCaptRpt/Instrmt/@StrkPx | The Strike price of the Options Contract | OPT | |
| Underlying Contract Attributes | ||||
Underlying Exchange | TrdCaptRpt/Undly/@Exch | The Exchange of the Underlying Product. | OPT | |
Underlying Security Type | TrdCaptRpt/Undly/@SecTyp | The Security Type of the Underlying. Supported Values: FUT – Future FWD - Forward MLEG – Spread/Combo | OPT | |
Underlying Product ID | TrdCaptRpt/Undly/@ID | The Product ID of the Underlying | OPT | |
Underlying Maturity | TrdCaptRpt/ Undly/@MMY | The contract period code of the underlying product. | OPT | |
| Party Attributes | ||||
Trading Firm /Broker and corresponding trader ids | /TrdCaptyRpt/RptSide/Pty/ @R /TrdCaptyRpt/RptSide/Pty/ @ID | Supported Values: 7 - Trading Firm 30 – Broker 36 – Trader ID 62 – Broker User ID | All | |
Opposite Trading Firm and corresponding trader IDs | /TrdCaptyRpt/RptSide/Pty/ @R /TrdCaptyRpt/RptSide/Pty/ @ID | Supported Values: 17 – Opposite Trading Firm 37 – Opposite Trader ID | All | |
| Other Trade Attributes | ||||
Buy Sell Code | /TrdCaptRpt/RptSide/@Side | Supported Values: 1 – Buy 2 – Sell | All | |
Trade Type | /TrdCaptRpt/RptSide/@TrdTyp | The Trade Type | All | |
Notional Amount/ Trade Qty | /TrdCaptRpt/@LastQty |
| All | |
/TrdCaptRpt/@LastPx | The Trade Price | All | ||
Price Type | /TrdCaptRpt/@PxTyp | Supported Values: 1 – Percentage 2 - Unit | ||
Original Trade Date | /TrdCaptRpt/@OrigTrdDt | The Original Trade Date. Typically specified if the trade date is less than the trade date. | All | |
Trade Sub Type | /TrdCaptRpt/@TrdSubTyp | Supported Values: 36 – Aged Deal 40 – Traded at settlement | All | |
Other Rules and Validation for Outright Matching
- The Src attribute in the Instrument block is required on all trade submissions even though it is not a match criterion.
- The Underlying (Undly) block must be specified for all Options contracts.
- Party Role matching rules
- Opposite Trading firm (Party Role 17) is always required. This is matched against the Trading firm or Broker Firm on the opposite trade.
- An Opposite Trader ID (Party role 37) is required on single side trade submissions. This is matched against a Party Role 36 (specified for the Trading firm or Asset Manager Firm) or against Party Role 62 (specified for the Broker firm).
- Quantity matching rules
- The Quantity type (QtyTyp) is required even though it is not a match criterion.
- Quantities can be specified in contracts or units as specified in the Quantity type by both sides. The quantities are converted to contract terms before matching.
- An alternate Time Unit (TmUnit) is supported optionally for certain products. The quantity is standardized to the default time unit before the match.
- OTC FX transactions can match only if the notional quantities are entered in the same currency terms (base or settlement).
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If Original Trade Date (OrigTrdDt) is specified, the Trade Sub type (TrdSubTyp=36) must be specified. Original Trade Dates must be equal for two sides to match.
Match Criteria for Spread Trades
The following fields are used for matching of single-sided Spread trades.
| Field | XPath | Description | Security Type |
|---|---|---|---|
| Contract Attributes | |||
Exchange | TrdCaptRpt/Instrmt/@Exch | The Exchange where the contract trades. | MLEG |
Security Type | TrdCaptRpt/Instrmt/@SecTyp | The Security Type Supported Values: MLEG – Spread/Combo | MLEG |
| Leg Contract Attributes | |||
Leg Exchange | TrdCaptRpt/TrdLeg/Leg/@Exch | The Exchange for the leg contract | MLEG |
Leg Security Type | TrdCaptRpt/TrdLeg/Leg/ @SecTyp | The Security Type of the Underlying. Supported Values: FUT – Future FWD- Forward OPT – Option | MLEG |
Product ID | TrdCaptRpt/TrdLeg/Leg/@ID | Leg Product Id | MLEG |
Leg Maturity | TrdCaptRpt/Instrmt/TrdLeg /Leg/@MMY | The Contract Period Code. OTC FX Forwards – this field must contain the contract’s Fixing Date. | MLEG |
Leg Put or Call | TrdCaptRpt/Instrmt/TrdLeg /Leg/@PutCall | Put or Call for the Option Supported Values: 0 – Put 1 – Call | MLEG (with Option leg) |
Leg Strike Price | TrdCaptRpt/Instrmt/TrdLeg /Leg/@Strk | The Strike Price for the leg | MLEG (with Option leg) |
Leg Buy Sell Code | TrdCaptRpt/Instrmt/TrdLeg /Leg/@Side | Supported Values: 1 – Buy 2 - Sell | MLEG |
Leg Price Type | /TrdCaptRpt/TrdLeg/@PxTyp | If leg prices are specified, then the price type has to be specified for OTC FX Options Supported Values: 1 = Percentage 2 = Per unit (standard convention) | MLEG (with OTC FX Option leg) |
Leg Price | /TrdCaptRpt/TrdLeg/@LastPx | The Leg Price | MLEG |
Leg Quantity | /TrdCaptRpt/TrdLeg/@LastQty | The trade Quantity associated with the leg | MLEG |
| Leg Underlying Contract Attributes | |||
Underlying Exchange | TrdCaptRpt/TrdLeg/Undlys/Undly/@Exch | The Exchange of the Underlying Product | MLEG (with Option leg) |
Leg Underlying Security Type | TrdCaptRpt/TrdLeg/Undlys/ Undly/@SecTyp | The Security Type of the leg Underlying. Supported Values: FUT – Future FWD- Forward | MLEG (with Option leg) |
Leg Underlying Product ID | TrdCaptRpt/ TrdLeg/Undlys/Undly/@ID | The Product ID of the leg Underlying | MLEG (with Option leg) |
Leg Underlying Maturity | TrdCaptRpt/ TrdLeg/Undlys/Undly/@MMY | The contract period code of the leg underlying product. | MLEG (with Option leg) |
| Party Attributes | |||
Trading Firm /Broker and corresponding trader ids | /TrdCaptyRpt/RptSide/Pty/ @R /TrdCaptyRpt/RptSide/Pty/ @ID | Supported Values: 7 - Trading Firm 30 – Broker 36 – Trader ID 62 – Broker User Id | MLEG |
Opposite Trading Firm and corresponding trader ids | /TrdCaptyRpt/RptSide/Pty/ @R /TrdCaptyRpt/RptSide/Pty/ @ID | Supported Values: 17 – Opposite Trading Firm 37 – Opposite Trader ID | MLEG |
| Other Trade Attributes | |||
Buy Sell Code | /TrdCaptRpt/RptSide/@Side | Supported Values: 1 – Buy 2 - Sell | MLEG |
Trade Type | /TrdCaptRpt /@TrdTyp | The Trade Type | MLEG |
Trade Price | /TrdCaptRpt/@LastPx | The Differential Price | MLEG |
Original Trade Date | /TrdCaptRpt/@OrigTrdDt | The Original Trade Date. Typically specified if the trade date is less than the trade date. | MLEG |
Trade Sub Type | /TrdCaptRpt/@TrdSubTyp | Supported Values: 36 – Aged Deal 40– Traded at settlement | |
Other Rules and Validation for Spread Matching
- Party Role matching rules
- Opposite Trading firm (Party Role 17) is always required. This is matched against the Trading firm or Broker Firm on the opposite trade.
- An Opposite Trader ID (Party role 37) is required for single side trade submissions. This is matched against a Party Role 36 (specified for the Trading firm or Asset Manager Firm) or against Party Role 62 (specified for the Broker firm).
- Quantity matching rules
- Quantities must be specified at the leg level. Any quantity specified at the spread level is ignored.
- The Quantity type (QtyTyp) is required even though it is not a match criterion.
- Leg quantities can be specified in contracts or units as specified in the Quantity type by both sides. The quantities are converted to contract terms before matching.
- An alternate Time Unit (TmUnit) is supported optionally for certain products. The quantity is standardized to the default time unit before the match.
- OTC FX transactions can match only if the notional quantities are entered in the same currency terms (base or settlement).
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- The buy sell code for the legs must match e.g. both the submitters must submit the same buy sell code for the leg contract.
- The differential price if specified must be equal.
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| Info |
|---|
| Note: The submitters can either provide leg prices or Diff Price. This is for illustration purposes only. |
Submitter | Spread Buy Sell Code | Leg 1 | Leg 2 | Diff Px |
|---|---|---|---|---|
Buyer | Buy | Buy CL-K11 | Sell CL- M11 | 2.00 |
Seller | Sell | Buy CL-K11 | Sell CL- M11 | 2.00 |
If each submitter submits the same buy sell code
- The buy sell code specified at the leg level by each submitter must be on the opposite side or reversed.
- The differential price if specified must be equal.
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