Ex-post trading limits documentation

Introduction

This document describes the technical details related to the order-to-trade ratio (OTR) limit for the ex-post product.

OTR limit: A maximum order-to-trade ratio (OTR) of 200 per month.

Definition

The Order-to-Trade Ratio (OTR) defines a maximum number of submitted orders out of which at least one must result in a (partial) trade, mathematically:

$$\text{OTR} = \frac{\text{Number of unique orders (unique orderID)}}{\text{Number of unique trades (unique tradeID)}}$$

System registration

ETPA uses unique order and trade IDs to calculate the OTR. The OTR applies to all Ex-Post orders submitted to the orderbook, including automated/algorithmic strategies and any order type available for the product.

Whenever a participant places an order (including order modification), this generates a unique order ID. Orders that generate a unique order ID include active orders (ACT), expired orders (EXP), withdrawn orders (WIT), partially matched orders (PMA), and matched orders (MAC). For example, in the case of order modification (including through API), this implies that an existing order is withdrawn (WIT) and a new order is created (ACT), resulting in two unique order IDs.

Whenever a participant's order is (partially) matched, this generates a unique trade ID. Orders that generate a unique trade ID include partially matched orders (PMA) and matched orders (MAC). For example, in the case of partially matched orders, this will result in a single unique order ID and a single unique trade ID.

System registration	System code	Unique order ID count	Unique trade ID count	Explanation
New order entered	ACT	1		One new order ID is created when the order is submitted.
Order expires	EXP	1		The same order ID is recorded with status "expired"; no additional order ID is created.
Order withdrawn	WIT	1		The same order ID is recorded with status "withdrawn"; no additional order ID is created.
Fully matched order	MAC	1	1	A single order ID remains, but a new trade ID is generated for each partial execution.
Partially matched order	PMA	1	1 unique trade ID per partial fill	A single order ID remains, but a new trade ID is generated for each partial execution.

Self-monitoring

Participants can calculate their OTR using the Reporting API v2. This can be found in the API documentation here. We expect that Participants monitor their OTR (eg. weekly) to ensure they remain below the limit.