NYSE Liffe Gateway Documentation
- NYSE Liffe Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- PFX Support
- Price Server Files
- Tick Tables, Point Values, and Product Tables
- Support for Market Depth
- Calculating Volume at Price
- Configuring Product Subscriptions ( Exchange Data Publisher (XDP) Only)
- Support for Open, Close and Settlement Prices
- Understanding the Price Feed Optiq
- Configuring the Price Server Connection Optiq
- Price Server Files Optiq
Configuring The Order Server
- Understanding Order Management
- Clearing Environment Impact
- Order and Fill Server Files
- Configuring Order and Fill Server Connections
- Configuring Order Sessions
- Supported Order Types
- Example Case Studies: Order Session Configuration
- Example: Configuring Order Sessions
- Configuring Account Code Mapping
- Configuring Give Up Orders
- Support for Stop Orders
- Configuration Parameters
- NYSE Liffe Gateway Codes
- Wholesale Trades
- Disaster Recovery
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.
The exchange allows the following products for Basis Trades:
Index and Equities
Index and Equities
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.
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.