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Implied Matching Status is managed at the Asset (Product) level, per Asset, within a Security Group, and at the instrument level for a given instrument. Instruments for a given Asset may be split across multiple Security Groups, as illustrated in the examples below.

  • Implied Matching Status message is sent with two attributes: Asset and Security Group. Implied Matching Status must be applied only to the instruments in the Security Group and Asset specified in the Security Status (tag 35-MsgType=f) message; Implied Matching Status does not apply to other instruments with the same Asset mapped to different Security Group(s).
  • Implied matching status at the instrument level applies to a given instrument only.

Processing Overview

To support Implied Matching Status at the instrument level, the client system must manage Implied Matching Status for the Security Group/Asset/Symbol relationship. The following diagram shows how to manage implied matching status at the instrument level, the client system first must process the Security Definition message to obtain the product hierarchy of the instrument, then process Security Status messages to obtain market state, instrument state, and Implied Matching Status for the Security Group, Asset, and instrument.

ImpliedStatus

Messaging Examples

The following examples illustrate specific message processing scenarios for Implied Matching Status.

Group State Change - Open to Final Close, Implied Matching OFF

Security group EB and Asset EB.

SecurityGroup
Asset
Implied Status


EB


EB

BeforeAfter
ONOFF

When theSecurityGroup 'EB' state changes from Open to Final Close, Security Status messages are sent as follows:

  • Group=<EB>, State=<FinalClose>

35=f|60=20130213215156192678|75=20130213|1151=EB|326=4|327=0|1174=0

  • Product Code=<EB> in SecurityGroup=<EB>, State=<NoStateChange>, ImpliedMatching=<OFF>

35=f|60=20130213215156192678|75=20130213|6937=EB|1151=EB|326=103|327=0|1174=6

Group State Change - Pre-Opening to Open, Implied Matching ON

In this example, SecurityGroup GE comprises two Assets, GE and OSS.

SecurityGroup
Asset
Implied Status

 

GE
 


GE

BeforeAfter
OFFON
OSSOFFON

When GE SecurityGroup state changes from PreOpening to Open, Security Status messages are sent as follows:

  • SecurityGroup=<GE>, State=<Open>

35=f|60=2013021321515619267875=20130213|1151=GE|326=17|327=0|1174=0

  • Asset=<GE> in SecurityGroup=<GE>, State=<NoStateChange>, ImpliedMatching=<ON>

35=f|60=20130213215156192678|75=20130213|6937=GE|1151=GE|326=103|327=0|1174=5

  •  Asset=<OSS> in SecurityGroup=<GE>, State=<NoStateChange>, ImpliedMatching=<ON>

 35=f|60=20130213215156192678|75=20130213|6937=OSS|1151=GE|326=103|327=0|1174=5

Instrument Reserve due to Velocity Logic (VL) followed by Asset Implied Matching OFF

In this example SecurityGroup CM comprises three Assets CVF, GLI, and RE.

SecurityGroup
Asset
Implied Status
 

 

CM 


CVF

BeforeAfter
ONOFF
GLIONON
RE ON ON

CVFU4 instrument transitions into <Reserve> state due to VL, followed by Implied Matching Off message for the Asset CVF.

  • Instrument=<CVFU4>, State=<Reserve>

35=f|60=20130213215156192678|75=20130213|48=134173|326=21|327=2|1174=0

  • Asset=<CVF> in SecurityGroup=<CM>, State=<NoStateChange>, ImpliedMatching=<OFF>

35=f|60=20130213215156192678|75=20130213|6937=CVF|1151=CM|326=103|327=2|1174=6

  • Implied matching status for Assets GLI and RE in SecurityGroup CM is not changed (remains <ON>)

Implied Matching Status for Asset Belonging to Multiple SecurityGroups

In this example GCC manually turns OFF implied matching for the Asset <BZ> in SecurityGroup <IE>.

SecurityGroup
Asset
Implied Status

 

WD

 

CL

BeforeAfter
ONON
FBNBZONON
BD BZON ON
BD NBZ ONON
DEOQDONON
DEZGDONON
OPBZONON
OPMBONON
OPNBZONON
OPREBONON
IEBZONOFF
IECLONON
IEMBONON
IENBZONON
CLCLONON
CLHOONON
CLRBONON

When GCC manually turns OFF implied mtaching for the Asset <BZ> in SecurityGroup <IE>, a Security Status message is sent as follows:

  • Asset=<BZ> in SecurityGroup=<IE>, State=<NoStateChange>, ImpliedMatching=<OFF>

35=f|60=20130213215156192678|75=20130213|6937=BZ|1151=IE|326=103|327=1 (GCC)|1174=6 (OFF)

  • Implied matching status for instrument with Asset Code <BZ> in SecurityGroup <BD> and <OP> is not changed (remains <ON>).
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