ICE Clear Europe Average Price Group User
Guide
Version 1.0
26 October 2011
This material may not be reproduced or redistributed in whole or in part without the express,
prior written consent of IntercontinentalExchange, Inc.
 Copyright IntercontinentalExchange, Inc. 2011. All Rights Reserved.
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1
INTRODUCTION
3
2
CREATING AP GROUP
3
3
SUBMITTING THE GROUP:
5
4
ALLOCATING THE GROUP IN ACT
6
5
REMOVING TRADES FROM AN IN PROGRESS GROUP:
7
6
ADDING TRADES TO AN IN PROGRESS GROUP
8
7
REOPENING A GROUP ONCE IT HAS BEEN SUBMITTED TO ACT
8
8
REOPENING A GROUP THAT HAS BEEN ALLOCATED - ‘A’ STATUS.
9
9
REOPENING A GROUP THAT HAS BEEN ALLOCATED AND CLAIMED
10
10
CREATING AN AP GROUP WITH TRADES THAT HAVE BEEN MARKED FOR GIVE
UP IN PTMS AND HAVE BEEN CLAIMED IN ACT
11
11
CORRECTING A GROUP THAT WAS ALLOCATED AND CLAIMED ON A PREVIOUS
BUSINESS DAY
11
12
CREATING AN AP GROUP ON PREVIOUSLY CLEARED TRADES IN THE D
ACCOUNT
15
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1
Introduction
Trades that are of the same Trade Type, Account Identifier,Trade Date, Commodity, Contract Period and
Side (buy or sell) can be grouped together via the Average Price functionality. Once grouped, PTMS will
calculate the average price to 7 decimal places and will also calculate the residual price per lot. PTMS
allows the average price to be overwritten via the API and GUI. AP groups can are created via the ‘Trade
review’ screen and managed via the ‘AP Group Review’ screen.
The purpose of this document is to illustrate the various scenarios that may arise when creating AP
groups.
2
Creating AP Group
2.1
In the Trade Review screen, use the filters to display the trades that need to be grouped into an
AP group:
2.2
Once the data has been filtered to display the trades for the AP group, the total volume can be
checked by selecting the ‘Trade Summary’ button:
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This will bring up the Trade Summary box:
Trade summary can be filtered by: Trading Member, Trader, Commodity, Contract Period,
Strike, Put/Call, Price, Buy and Sell. Select the aggregation parameter by selecting the tick
box in the header row of the trade summary screen
2.3
2.4
2.5
2.6
2.7
Select the trades by selecting the ctrl+shift combination
In the ‘Alloc Meth’ header row text box, enter ‘A’
In the ‘AP GRP ID’ header row text box, enter the name of the group
Select ‘Apply’ to update the selected rows.
Select ‘Save’
2.8
Reviewing the details of the group
The details of the group, including the rounded price and unit residual, are available in the AP Group
Review Screen’
The user should always use an override price even if the rounded price is equal to the override price they
intend to use. This is because the true average is the price at which the average group will be given up to
the take-up member at and subsequently cleared at in ECS.
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The user should use the PTMS generated price instead of the overwritten price only when the true
average price is equal to the overwritten price.
In the above figure, if the overwritten price is going to be 110.45, the user should overwrite the price to
110.45. If they choose to use the rounded price, the AP group will actually be allocated and cleared at a
price of 110.4455056.
3
Submitting the group:
3.1 At the average price:
Select the group and select ‘Submit’
3.2
At an overwritten price
In the Override field of the group enter the override price and select ‘Submit’
A confirmation message will be displayed if the overwritten price exceeds the minimum tick fluctuation
from the average price. Select ‘Submit’ on this message.
The group will be in a submitted state (S). In this state, no further additions can be made to the group in
PTMS.
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4
Allocating the group in ACT
Navigate to the allocate screen:
In the Allocation screen, filter on the AP group ID:
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To allocate the group, enter the Take-up Member’s details in the Take-up info box and select Submit:
The group will now appear in an allocated status (A). One claimed, by the Take-Up member, the group
will be updated to a claimed status (C)
5
Removing trades from an In Progress Group:
5.1
Perform steps 2.1.-2.8 (above)
5.2
Double click on the group or select the group and select the ‘Review details’ button to invoke
the AP group Detail box:
Select the trade/s to be removed from the group and select the ‘Remove from Group’ Button.
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6
Adding Trades to an In Progress Group
6.1
To add multiple trades:
•
6.2
6.3
7
In the ‘Alloc Meth’ header row text box, enter ‘A’
• In the ‘AP GRP ID’ header row text box, enter the name of the group
• Select ‘Apply’ to update the selected rows.
To update a single line update the ‘Alloc Meth’ field with ‘A’ and the group ID field
for that trade
Select ‘Save’
Reopening a group once it has been submitted to ACT
7.1
Navigate to the allocate screen:
7.2
In the Allocation screen, filter on the AP group ID:
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7.3 Select the ReOpen button and select Submit.
This will remove the group from ACT and update the status to ‘I’ in PTMS. In this status, the price can
be overwritten or trades can be added and removed from the group.
8
Reopening a group that has been allocated - ‘A’ status.
8.1
8.2
8.3
Navigate to the ACT Allocation screen.
Select the ‘Go’ link in the ‘Multi Alloc’ column
In the ‘Allocation Detail’ box, select the ‘Del’ option and ‘Submit’
8.4
8.5
The status of the trade is updated to UA
Select the ReOpen button and select Submit
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8.6
9
This will remove the group from ACT and update the status to ‘I’ in PTMS. In this status, the
price can be overwritten or trades can be added and removed from the group.
Reopening a group that has been allocated and claimed
9.1
9.2
In the Allocate screen in ACT, Select the ‘Go’ link in the ‘Multi Alloc’ column
In the ‘Allocation Detail’ box, select the ‘Req Rev’ option and ‘Submit’
9.3
9.4
The status of the trade is updated to RRV.
In the claim screen, the take up member must select the ‘Acc Rev’ and ‘Submit’
9.5
9.6
9.7
The status of the group is updated to CRV
Select the ReOpen button and select Submit.
This will remove the group from ACT, and update the status to ‘I’ in PTMS. In this status, the
price can be overwritten or trades can be added and removed from the group.
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10 Creating an AP group with trades that have been marked for give
up in PTMS and have been claimed in ACT
In this scenario the member has to get the trades back, claim into their position account and then submit
an error cross request to the exchange to create the consolidated trade.
10.1 Request a reversal on the give-up
10.2 Once the client accepts the reversal, the status is updated to CRV.
10.3 Select the ‘Go’ link in the ‘Multi Alloc’ column in ACT. This will populate the ‘Multiple Allocate
Detail’ box.
10.4 Select the ‘Alloc’ option and enter the total quantity of the trade, your mnemonic the Trading
Member’, Position account and Account and reference.
10.5 Select Submit to update the trade to ‘C’ claimed.
10.6 Submit an error cross request to the Exchange for the consolidated trades.
11 Correcting a Group That Was Allocated and Claimed On a
Previous Business Day
11.1 Creating the Reversal Request
In Act, navigate to the Giveup Reversals Screen and select the Create Giveup hyperlink:
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In the Give Up reversal Screen, filter on the AP Group ID:
Select the checkbox in the ‘Reverse’ Column and submit.
Once populated in the ‘Give Up Reversal Screen, select Submit. The group is now displayed in a RRV
status:
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Once the Opposite member accepts the reversal, the group will be updated to a CRV status in the
‘Allocation’ screen:
Once the group has been updated to a CRV status, perform a position transfer via the Transfer Review
screen to transfer the group at the correct price
Alternatively, an error cross request can be sent to the exchange to create the correct AP group.
12 Creating an AP Group on Previously Cleared Trades in the D
account
12.1 Creating the group from the D account
In the Previously Cleared screen in PTMS, Select the trades and mark them with a Alloc
Method of A and enter the Group ID
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In the AP Group Review screen, override the price and ‘Submit’ the group
Allocate the group in ACT
Once claimed, the status of the group will be updated to ‘C’ in ACT
12.2 Creating the Group from the Seg, House or Non Seg Account
In the Previously Cleared screen in PTMS, transfer the defaulted trades to the applicable
position account via the ‘Make Adj’ option
Once the trades have been transferred from the D account, perform a position transfer to the opposite
Member via the Transfer Review screen to create the AP group
Alternatively, an error cross request can be sent to the exchange to create the correct AP group.
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