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Delta1 provides for a combination instrument called an SSF Spread. An SSF spread is comprised of two product-contracts more commonly referred to as “legs,” where the quoted price of the spread is expressed as the price of the back leg minus the price of the front leg. When bids and offers in spread markets transact, two trade records are generated, one for each leg. The price of the font leg is assigned by Delta1 (at fair-market value) and the back leg is calculated by adding the font leg assigned price to the matched spread price. The resulting two legs are then sent to clearing as individual SSF trades each having a spread designation.

Overview:

Spread Action and Leg Sides

Below are the side characteristics for spread orders/trades:

Spread Action

Front Leg Effect

Back Leg Effect

BUY

SELL

BUY

SELL

BUY

SELL

OCC DDS Trade Capture Report

Spread instruments traded on Delta1 are cleared as two separate SSF transactions and linked using the ExchSpeclInstr field. The below fields are populated identically for both clear legs of a traded spread instrument:

OCC DDS Fields

Value

TrdTyp

0

MLegRptTyp

2



ExchSpeclInstr

Contains the Delta1 Trade Report ID for the spread trade.

This is used to tie the legs together to the match event in the spread instrument on Delta1. 




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