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Basis Trades

Overview

Note: This section relates to wholesale trades when using versions prior to 7.17. For information on trading wholesale trades using version 7.17, refer to the section located here.

Basis Trades allow traders to enter into a transaction involving both a futures contract and a corresponding cash instrument.

Supported Products

The exchange allows the following products for Basis Trades:

Available Products for Block Trades

Market

Products

Lisbon

  • PSI 20 Index Future
  • Single Stock Futures

London

Financial Futures

  • Euroyen (TIBOR)
  • Euroswiss
  • Euro (EURIBOR)
  • Eurodollar
  • One Month EONIA
  • Three Month EONIA
  • Short Sterling
  • Euro Swapnote
  • US Dollar Swapnote
  • JGB
  • Short, Medium and Long Gilt

Index and Equities

  • FTSE 100 Index
  • FTSE 250 Index
  • TOPIX Index
  • Pan-European Equity Indices
  • Universal Stock Futures

Paris

Index and Equities

  • CAC 40 Index
  • FTSEEurofirst 80 Index
  • FTSEEurofirst 100 Index
  • FTSE ERPA/NAREIT Europe Index
  • FTSE ERPA/NAREIT Euro Zone Index
Warning

The list above serves as a general guideline to the products which the exchange supports for wholesale trades. However, the exchange may impose additional restrictions and/or change the list of available products.

Users should obtain and consult the most current information related to Wholesale trades directly from the exchange.

Considerations and Restrictions

Depending on the type of collateral used for the cash leg, the exchange may require specific information related to the trade. In addition to the information provided in the Wholesale Trades window, the exchange may require users to maintain and provide a record of these additional characteristics.

The price for the Basis trade must equal a value between the high and low price for the contract during the thirty (30) minutes before the Basis trade is submitted.

In addition, the exchange offers two types of hedge ratios that traders must take into consideration when entering Basis trades. For more information on hedge ratios, refer to the exchange website.

Please refer to the exchange documentation for complete information related to Basis trades.

Submitting a Basis Trade

When submitting a Basis trade, you must select the desired contract from the Market Grid. Once selected, X_TRADER automatically populates the Series, Month, and AMR fields with the appropriate data from the Market Grid.

You must populate the Trader field with the value of the ITM of the Order Session that will route the order.

Note

Older versions of X_TRADER may populate the Trader field with the user Trader ID. If present, you must replace this value with the correct ITM when entering a Basis trade.

You must populate the Price and Quantity fields to submit a Basis trade. You must also populate the Account field.

To complete the Basis trade, you must populate the following fields:

  • ISIN: Currently, TT Gateways require a value in the ISIN field. You may populate this with either the ISIN code (International Securities Identification Number) for the contract or simply enter 0 to continue without providing the ISIN.
  • Cash Prc: Currently, TT Gateways require a value in the Cash Prc field. You may populate this with either the cash price of the underlying contract or simply enter 0 to continue without providing an actual cash price.
  • Reference: You must populate this with the user-defined reference for the cash leg of the Basis. This field allows a maximum of 14 alpha-numeric characters.