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NYSE Liffe Gateway

Introduction to WholesaleTrades

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.

Wholesale Trades on the TT Gateway are entered via the X_TRADER®Wholesale Trade windows.

The sections that follow refer to the X_TRADER requirements for submitting wholesale trades. Prior to submitting wholesale trades, users should review the exchange requirements listed in the Liffe Trading Procedures document which is available from the exchange website.

Types of Wholesale Trades

X_TRADER allows the entry of the following types of Wholesale Trades:

  • Block Trades: high volume trades in any outright or strategy product.
  • Guaranteed Cross Trades: an order where the two sides are guaranteed to match with one another and not exist as a different order in the market. Guaranteed Cross orders validate automatically.
  • Basis Trades: strategies for long-term bond markets that incorporate a futures leg and an underlying (or cash) leg.
  • Against Actual: strategies for commodities markets that incorporate a futures leg and an underlying commodity leg.
  • Exchange for Swap : strategy where a position in the underlying is traded for a futures position in two separate transactions.
  • Prof Trades: Specifically for the Amsterdam market, Professional Trades are pre-negotiated trades between two parties that take place outside the central order book. Each trader enters one side of the Prof Trade and the details must correctly match to complete the transaction.
  • Asset Allocation Trades: allows the trader to enter one side (buy or sell) of a wholesale order. Alternatively, one trader can enter the entire Asset Allocation.
Note

The exchange no longer supports Market Maker Cross trades.

In addition, TT Gateways do not support Flex Option trades.

Enabling Audit Trail Messages

TT Gateways forward information related to wholesale trades to the Audit Trail as INFO messages. To view these messages, users must enable INFO messages by checking the Process and display INFO messages checkbox on the Audit Trail tab on the X_TRADER Properties window.

In addition, you may need to click the Exchanges button to open the exchange list and enable the check box next to NYSE_Liffe to display wholesale trade messages from the TT Gateway.

Time and Sales Window

TT Gateways display information related to wholesale trades in the Time and Sales window in X_TRADER. In Version 7.16 and higher, the product names for wholesale trades has been updated to maintain consistency across all TT Gateways.

The following table shows the updated OTC product names used to populate the Product column for the Time and Sales window:

Time and Sales OTC Abbreviations

Wholesale Trade Type

Abbreviation

Against Actual

AA

Asset Allocation

AL

Basis

BAS

Block

BLK

Exchange For Swap

EFS

Guaranteed Cross

GC

Prof Trades

PROF

Wholesale Strategies

You may submit wholesale strategies via the Wholesale Trades window. You must start by creating the strategy or simply drag and drop and existing strategy into the Market Grid. You can then create a wholesale trade from the strategy by right-clicking Wholesale Orders and then selecting the wholesale trade type.

In addition to the regular required fields, wholesale strategy trades require a Quantity and Price for each leg.

When adding these values, you must observe the following:

  • the future price must match the screen price and not the price format when the strategy was created
  • you must calculate the quantity based on the delta entered

For a hedged strategies where a leg is represented by a delta, you must multiply the Total Quantity by the Delta and divide by 100. This value equals the hedged leg quantity.

In the example above, the hedged strategy is set for 1000 lot @ 5. To complete this trade, you must populate the following values for the legs:Leg 1, Quantity = 1000, leg price =5Leg 2, Quantity = 1000, leg price=5Leg 3, Quantity = 580, leg price = 98.270 where:

(1000 X 58)/100 = 580

(Total Qty X Delta)/100 = Spread Qty