Trade Ticker Conventions

 >> Eris Exchange Trade Ticket Conventions

Eris Exchange has created a unique Ticker Symbology to identify and track previously traded Eris Interest Rate Swap Futures. To minimize the amount of instrument data that must be supported by systems that support Eris Exchange, the model creates instrument identifiers (i.e., ticker symbols) dynamically upon a trade occurring in that instrument, rather than pre-defining all possible tradable instruments in advance.

Trade flow for Eris Exchange on SwapBook platform:

• The Eris Exchange matching engine identifies a Buy order and a Sell order that result in a Matched Trade, and assigns a Ticker Symbol for that Matched Trade using the rules described below.
• The platform embeds the assigned ticker symbol in the Execution Report messages that the platform generates to the counterparties of the trade.
• The platform disseminates an Instrument Creation message to all platform users, including the assigned Ticker Symbol and the characteristics of the instrument (e.g., settlement date, tenor category, maturity date, coupon).
• Each day, Eris Exchange and CME Clearing assign a settlement price to each Ticker Symbol with open interest.
• When a counterparty to a CLOB transaction wants to unwind their initial position, they identify the instrument to trade using the Ticker Symbol.

Rules for Ticker Symbol creation:

1. The first new trade for a given maturity date will be issued (by Eris Exchange systems) a ticker symbol comprised of Clearing Code ‘Z(tenor category)0001’, concatenated with the Period representing the maturity date in YYYYMMDD format.  Tenor category will be:

ZA = 0 to 2 years tenor    

ZB = 2+ to 5 years tenor  

ZC = 5+ to 10 years tenor

ZD = 10+ years tenor       

Example: Let us assume that the trade is a 10-year swap initiated on 16-Dec-2010 with settlement date of 20-Dec-2010 and coupon of 0.710.  As the first trade that carries the maturity date 20-Dec-2020, it will be issued ticker symbol ZC000120201220. The C denotes that this is in the 5+ to 10 years tenor category.

2. New trades with identical settlement date, maturity date and coupon to a previous trade (ever) will be receive the same ticker symbol as the system previously issued for trades with those characteristics.

Example: All spot-starting, 10-year swap futures with coupon 0.710 initiated on 16-Dec-2010 will be issued ticker symbol ZC000120201220, as they have identical settlement date, maturity date and coupon as the previous trade.

3. New trades that fall on the same maturity date as a previous trade, but containing EITHER a unique coupon OR a unique settlement date will be issued the next incremental Clearing Code for a given Period.

Example: If the next 10-year swap future that traded on 16-Dec-2010 carried a coupon of 0.800, it would be issued ticker ZC000220201220. A subsequent 10-year swap that traded on 16-Dec-2010 with a different coupon, say 0.900, would be issued ticker ZC000320201220.

If you have any questions please contact the Eris Control Center by phone (888-587-2699, select option 1), or by email (eriscontrolcenter@erisfutures.com).

The chart below contains more detailed examples for illustration purposes:

Ticker Examples for Ticker Symbology Schema