Question 1.1.36

Question 1.1.36

The OMPs seek clarification on how to report Trade At Settlement (“TAS”) orders and TAS transactions.

TAS is an order type that allows a trader to enter an order to buy or sell an eligible futures contract during the course of the trading day at a price equal to the settlement price for that contract, or at a differential price range up to five ticks (+/- minimum price fluctuations) above or below the settlement price. The key difference from a normal order is that the TAS order price is defined by the next settlement price +/-, i.e. the agreed difference with the settlement price.

As a practical example:

  • A TTF with order type TAS will be entered in the order book with a price of EUR 0.015 at 9:30.
  • The price of this order is updated up to EUR 0.020 at 9:40.
  • The order is lifted at 9:45.
  • At 17:15, the settlement price (EUR 7.23) is calculated and as result of that settlement price the trade price is defined as EUR 7.25.


With regard to Trade At Settlement (TAS) orders and trades, ACER understands that the price of an order represents a differential price range above or below the settlement price. In this respect, when using the REMITTable1_v3 schema:

  • Field (25) Fixing index or reference price shall indicate the reference to the settlement price
  • Field (35) Price shall be left empty
  • Field (36) Index value shall represent the price difference compared to the settlement price in the order report and the trade report
  • Field (37) Price currency shall indicate the currency of the settlement price

In addition, based on stakeholder consultations ACER understands that there are no TAS orders for option contracts. Also, as TAS orders can result in future or forward contracts, Data Field (23) is to be populated with ‘FU’ or ‘FW’ respectively.