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Deutsche Börse Group
Equity CCP
ECCP
Member Simulation Scripts and Schedules Phase I
21.05.01
Page 19 of 37
Text Style
Miscellaneous
Description
Italics
Indicates a component of the Xetra Front End (e.g., window names or fields).
Bold
Indicates a sub-/topic header or references header.
Unless explicitly mentioned, the given descriptions and function explanations are valid for all
platforms (Sun Solaris, IBM AIX and Microsoft Windows NT (Intel)).
4.2 Settlement Netting
Netting is offered by the Equity CCP in order to reduce the number of settlement instructions and can
be performed on price, order or account level. At the beginning of Phase I only aggregate netting
(accumulation of the buying and selling side without balancing) can be tested, whereas from June
20, 2001 onwards also balancing is offered for testing in the Equity CCP simulation environment.
All netting types are available on the “Proprietary”, “Agent”, “Designated Sponsor”, “Issuer” and
“Liquidity Provider” accounts. An order/quote partially executed on different trading days will result in
at least one netted position for each trading day, because netting is only applicable for the current
business day. Netting needs to be selected during order/quote entry. Modifications of the netting type
is only supported for orders without a partial execution. For orders with partial execution the order
type cannot be modified.
Fee calculation is based on the executed order and the resulting fees are included in the trade
confirmation.
4.2.1
Price Level Netting
In case of price level netting, each order/quote which is matched against several orders and quotes at
the same price within the same price determination is netted. For every price level netted transaction,
one new unique trade ID is generated per price level. If the price level netted order or quote is
executed against several orders or quotes at the same limit, one execution confirmation and one trade
confirmation with the accumulated volume is sent to the member. If the price level netted order or
quote is executed against several orders or quotes at different limits, one execution confirmation and
one trade confirmation with the accumulated volume is sent to the member for each limit. Also a
different trade ID is generated for each limit.
Price level netted trades are displayed dynamically in the Back Office Information window.
6
Xetra Business Date
each simulation day
Simulation hours
10:00 a.m. (Tuesday) - 4:00 p.m. (Thursday)
10:00 a.m. (Friday) - 4:00 p.m. (Monday)