Matching Single-Sided Trades

This page describes the fields that will be used to match single-sided trades. These fields are the same across all asset classes. Any match criteria that is specific to an asset class is mentioned for the asset class.

1 Match Criteria for Outright Trades
2 Match Criteria for Spread Trades

Match Criteria for Outright Trades

The following fields are used for matching of single-sided outright trades.

Field	XPath	Description	Applicable to Security Type

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).

OTC FX Options prices on each side must be expressed in the same price method (PIPs price vs. Percentage price) in order to match.
The negotiated price must be submitted. All the prices and amounts that were negotiated on must be specified by both sides for a match to occur. All other trades are matched on trade price.

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

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).

OTC FX Options prices on each side must be expressed in the same price method (PIPs price vs. Percentage price) in order to match.
All trades are matched on trade price.
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.

Price Matching Rules

Either the differential price or the leg prices must be submitted because it is used for matching. If both the leg prices and differential price are specified, the differential price is ignored and only the leg prices is used for matching purposes.
If a differential price is specified on the side (instead of leg prices), then both sides must specify the same differential price. Both price and sign must match (positive diffs can only match with positive diffs, negative diffs can only match with negative diffs).

4. If Original Trade date (OrigTrdDt) is specified on the trade, the Trade Sub type (TrdSubTyp 36 = Aged deal) must be specified.

5. Rules for specifying sides on spread trades for match

Both the submitters can specify the same buy sell code or the opposite buy sell code at the spread level.

If the buy sell code specified at the spread level are specified differently by each submitter

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.

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

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.