СHANGES IN VALIDATION RULES related to Table 1

Please be informed that 3 existing validation rules related to Table 1 have been modified in ACER PROD with effect as of 19 June 2021 in order to be in line with TRUM v.4.1 (https://documents.acer-remit.eu/remit-reporting-user-package/trum/).

The current validation rules remained and the modifications are additions to allow reporting Asian Options with “S” value, Market to Limit Orders (MTL) and Fixing index or reference price without dummy value in price fields.

The details and adjustments that might be necessary when reporting Table 1 are highlighted below.

Data Field No (44) Option style

 

• 2AODOEDR2x

Error code: R2ODOEDOPT

The rule has been adjusted to allow the reporting of Asian options (S), since in case of Asian options the delivery start date is prior to the option exercise date (condition which would trigger the validation rule without the newly introduced exception).

MP action:

Please start using the value ‘S’ (S=Asian Options) in Data Field No (44) Option style when reporting Asian options. Until now RRMs had to use ‘O’ when reporting Asian Options.

Data Field No (35) Price and Data Field No (57) Price/time interval quantity => Orders

 

• Rule 2BCDPR2

Error code: R2CDPRCMOSP

At the moment, the validation rule allows one exception when price does not have to be provided in any of the price fields (field 35 or field 57): when Order type=MAR (market order) AND Contract type=AU. The rule has been amended adding other two exceptions in which it is possible to have orders without a defined price:

a. MTL orders on Continuous (CO) markets –> OrderType=MTL AND Contract type=CO

b. When data field (25) Fixing index or reference price is populated.

MP action:

a. When using the value “MTL” (Market to Limit Order) in Data Field No (14) Order type do not to populate any dummy values (that had to be previously applied due to the VR formulation) in field (35) or field (57).

b. When using data field (25) Fixing index or reference price and do not populate field (35). Relevant for e.g. Trading at Settlement (TAS) order types.

For reference:

TRUM: Data Field No (25) Fixing index or reference price.This field identifies the name of the index used to fix the price of the traded contract as reported by the publisher or the reference price used to settle a derivative.

If a fixing index or a reference price is reported in field (25), then field (35) shall be left empty.

Data Field No (35) Price and Data Field No (57) Price/time interval quantity => Trades

 

• Rule 2BCDPTR2

Error code: R2CDPRCMTSP

In line with the modification of Rule 2BCDPR2 (for orders), this rule related to trades has been amended adding an exception when price does not have to be provided in any of the price fields (field 35 or field 57): when data field (25) Fixing index or reference price is populated.

MP action:

When using data field (25) Fixing index or reference price and do not populate field 35. Relevant for e.g. Trading at Settlement (TAS) trades.

Summary
Article Name
СHANGES IN VALIDATION RULES
Description
Please be informed that 3 existing validation rules related to Table 1 have been modified in ACER PROD with effect as of 19 June 2021 in order to be in line with TRUM v.4.1
Publisher Name
Webware Internet Solutions GmbH