10 Things You Never Wanted To Know About The Eurex 13 Clearing Feed

Here’s a handy list of quirks and gotchas you won’t find in the documentation for the Eurex 13 trade confirmation stream ():

(1) When a trade is posted on a G1/G2 account (automated give-up), the trade confirmation message (000) will come through on the clearing feed as an adjustment (trnHistAdj=R).

(2) When a trade is split and then given up, the clearing feed will reverse the original trade, then send a split message right before the give-up confirmation message. This split message (006) will use the cust and the gutRefCust of the original trade, not the free text fields you might have set on your give-up allocation.

(3) On the trade confirm stream, stmSeqNo cannot be relied on to send messages in the right order. With splits, you can often see things like the following:
1. 000 (trade confirmation)
2. 006N (trade adjustment)
3. 006R (trade reversal)

Logically, 3. should arrive before 2 (and usually does, to be fair).

(4) If you see the string ‘STOR’ in the cust field, it means the trade is busted.

(5) If you trade on OTOB and EEX, who use Eurex for clearing, you can identify and split these trades out by looking at the exchange fi… – no wait, I’m lying. These trades look exactly the same as Eurex trades, and the only way you can distinguish them is by looking at the products. They didn’t bother to change the names.

(6) When a trade is split and a portion of it is given up, the cust specified by your middle-office matching and clearing system is handled differently for the allocation relating to the give up.

You will see the following on the trade confirm stream:

The cust specified on allocations 3, 4 and 5 will be as allocated in the middle-office. However, the cust on 6 will as the the original trade 1. The cust specified by the middle-office will be held on the give up 7. Clear?

(7) When a trade is to be wholly give up, the conversation is different than if just a portion of the trade was to be give up.

You will see the following on the trade confirm stream:

Note that there is no 006N preceeding the give up in this scenario, unlike when the give up appears as part of a trade with more than one allocation. Don’t get caught out!

(8) Some contracts can be quoted in GBX (British pence). The price and price multipliers will give a pence value. Make sure you divide by 100 to get the equivalent GBP.

(9) OTC trades do not contain an order number. Intead, this is all zeros. Make sure your correlation ids can cater for duplicated trnIdNos across different OTC orders.

(10) When you’re reading the clearing feed for top day clearing, be aware that it can include historical trade activity.

In summary, it all makes sense if you stare at it for long enough.