An instrument is defined as the logical container for one or many product-contract combinations. Each instrument carries a property and is actionable for the purposes of order entry and trade reporting. An instrument is referenced by a numeric identifier in Delta1, this identifier is referred to as a marketplace security id or MPSecID. Block and EFP transactions utilizing security futures are reportable to the Delta1 trade reporting engine as off-exchange, bilaterally negotiated transactions. All matched trades or reported transactions that occur on Delta1 are cleared as a security future with the appropriate designation (spread, EFP, block, or outright).
Overview:
Resources:
What are Products and Contracts?
A product refers to a security future issue with defining characteristics and a contract refers to the expiration instance of that product. Products have codes used in exchange reports, audit trails, clearing house files, and back office systems.
All Delta1 trades clear as a product-contract, where product-contract is the combination of a product and an available contract.
Only product-contracts are settled
Open interest can only be carried in a product-contract
Below are some examples of product and contract configurations (note that a single product can have multiple contracts):
Product Clearing Code
Characteristics
Security
Contracts
IGZ1D
T+2 settlement
No Dividend Risk issue
Contracts expire on the 3rd Friday of the month
IGZ Equity
October 18, 2019
November 15, 2019
December 20, 2019
March 20, 2020
IGZ1J
T+2 settlement
No Dividend Risk issue
Contracts expire on the 2nd Friday of the month
IGZ Equity
October 11, 2019
November 8, 2019
IGZ1M
T+1 settlement
No Dividend Risk issue
Contracts expire on the 1st Monday of the month
IGZ Equity
October 4, 2019
Types of Instruments
Available for trading in the Central Limit Order Book
Instrument
Description
Clearing Effect
SSF
Outright single stock future
1 x Outright single stock future
Calendar Spread
Combination of two single stock futures product-contracts priced as the difference between the back leg and the front leg.
2 x Outright single stock futures
Available for reporting to the Trade Reporting Engine
Instrument
Description
Clearing Effect
Block
Outright single stock future
1 x Outright single stock future with a block indicator
EFP
Exchange future for physical, combination trade priced as the differential between an SSF and its underlying security
1 x Outright security future with an EFP indicator
Block Calendar Spread
Combination of two single stock futures product-contracts priced as the difference between the back leg and the front leg.
2 x Outright single stock futures with a block indicator