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Re: Execution references for calendar spreads
Tayloe Draughon / Calyon Financial <>
27 Jun 2008 10:19AM ETHi Greg;
One technique that is popular for those of us in Futures & Options is to have our listed spread orders come in as New Order Singles (35=D).
The Fills then are reported on multiple execution reports (35=8) as follows using your example of a ESM8-U8 calendar spread:
First Exec Rpt: Symbol = ESM8-U8, Multileg Report Type (442) = 3(multi-leg security), Fill price = SPREAD Fill price.
Second Exec Rpt: Symbol = ESM8, Multileg Report Type (442) = 2(Individual leg of a multi-leg security), Fill price = price of the M8 leg.
Third Exec Rpt: Symbol = ESU8, Multileg Report Type (442) = 2(Individual leg of a multi-leg security), Fill price = price of the U8 leg.
> Hi all,
>
> Here's an interesting one for those of you in the futures space. When
> you trade a calendar spread via 4.4, the execution report only gives you
> the ability to report back a unique ExecID at spread execution level,
> not leg level.
>
> That's fine for the mechanics of ensuring uniqueness on each execution
> message, but it does not allow for easy post-trade allocation of the
> individual leg trades (via FIX, file, etc) since you need to reference
> each trade for each leg, not each trade of the spread.
>
> For those of you unused to futures, you trade the *spread* between
> different maturities as a way of ensuring each leg is traded in tandem
> (for example "buy ESM8-U8") but for post-trade purposes each *leg*
> (sold ESM8 at X, bought ESU8 at Y) settles individually and back-office
> processes expect unique allocation instructions for each trade for each
> leg. They don't care that the execution occurred as part of a spread.
> To use ExecID means referencing *two* trades - the sell of ESM8 and the
> buy of ESU8.
>
> FIX 4.4 provides the best mechanism for trading calendar spreads
> compared to earlier versions that don't support Multileg message types,
> but it lacks a LegExecID tag that can be subsequently referenced for
> allocations.
>
> I'm tempted to use tag 672 LegIndividualAllocID as a placeholder for a
> unique reference per trade per leg that will be consistent against
> execution reports and what our back-office sees, but that is not really
> what it should be used for.
>
> I would be interested to hear how other parties have addressed
> this issue.
>
> Thanks,
>
> - Greg
Re: Execution references for calendar spreads
Tayloe Draughon / Calyon Financial 27 Jun 2008 10:19AM ET
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