Question 2.4.2
The reporting of expired orders. In TRUM it seems like the event when an order expires should be reported (with Order status EXP – Expired).
For practical reasons we have some problems with reporting these at T+1. The expirations of orders take place in the night batch and usually around 4 in the morning (sometime before the next trading day opens). For practical reasons we must prepare the REMIT data to be reported before that time. So if we are to report these “as is” we would report expirations on T+2
It seems really unnecessary to report when an order expires and will lead to heavily increased volumes. All the information for expiration this is already in the previous events (Order duration).
For trades that expire on maturity date cancelations should not be sent, so it does not seem logical to have different reporting logic on expiration for trades and orders.
Since there is no gain in reporting expired orders my suggestion is that it should not be reported.
Answer
There is no need to report the order report for Order status EXP (Expired) if this can be derived from Field (20) Order duration and expirationDateTime available in the schema. Field (20) Order duration has seven accepted values:
| Order Duration | |
|---|---|
| DAY=Day | No need to report Order status EXP |
| GTC=Good Till Cancelled | No need to report Order status EXP |
| GTD=Good Till Date | No need to report Order status EXP if Expiration Date Time is be reported in the XML report |
| GTT=Good Till Time | No need to report Order status EXP if Expiration Date Time is be reported in the XML report |
| SES=Session | No need to report Order status EXP |
| OTH=Other | No need to report Order status EXP if Expiration Date Time is be reported in the XML report |
For further information, please refer to Annex VII to the TRUM.