Capturing trades after they have been executed can be a stroll in the park, but every now and then there are sequences that make your head explode. The ones that caused havoc in my brain lately were the prompt sequences that are used on gas products in the European market. For any contracts that are not prompt, you can take your walk in the park and easily determine the start and end date based on the product name and the related definition of that product; M-2013-03 converts toa trade with a start date of 01-03-2013 and an end date of 31-03-2013. This same logic applies to quarter, seasons and year trades. No rocket science there. The prompt sequence is a bit more of a challenge. Where the month sequences are straightforward and have only 1 item defined per month, the gas prompt sequence has over 100 items defined in the gold mapping standard of Trayport. The liquidity of the first five items in this list is the highest,(WD, DA, BOW, W/END, WK/DY NW) – trades that have this particular sequence items of the gas prompt are most interesting for trade capture. The problem with the prompt items is that it requires the date on which the trade was executed on top of the product definition to determine the start and end date of the trade. There is even more programmatic logic required to determine the start and end dates, as there are holiday calendars to consider as well. First of all, the actual product needs to be evaluated; Platts has excellent documentation online that lists the definitions that are used for the different products in the market. The Platts methodology and specifications guide for European gas products is an excellent read to get up to speed on the gas products traded. As a rule of thumb, the following definitions can be used for the prompt items: WD – Within day – Delivered within the same day on which the trade was executed DA – Day ahead – Delivered next working day after the date on which the trade was executed BOW – Balance of Week – Delivery starts next working day until last working day of the week (usually friday) W/END – DElivery WK/DY NW – Working Days next week – Delivery starts first working day after sunday until last working day of the week (usually Monday to Friday) Next step .. where to implement the logic?
It’s interesting to see that Griffin Markets is getting closer and closer to going live with their first products. From what I’ve seen so far, it seems that there are going to be two products tradable on the new platform; NBP and TTF. I’m curious to see how big the dent is going to be that this platform is making in the Trayport universe. At first glance Griffin is taking the right path to market acceptance, at least for the IT departments: Griffin offers a full suite of APIs, including order routing, to allow participants to choose and customise their front end trading technology. Griffin intends, through its open API model, to encourage competition and development in the aggregation arena and is working with a number of independent software vendors (ISVs) to ensure they connect to Griffin’s market.