Compression Portfolio Trade File
The compression portfolio trade file is a CSV formatted file summarizing the non-zero traded quantities of each option comprising a compression portfolio in simple trade blotter form. The trade file contains one line per option that trades in the compression portfolio and options with zero traded quantity are not represented. The Compression Trade File Field Definition Table presents the field definition of the compression trade output file.
| Field | Description |
|---|---|
| class | SPX or SPXW. |
| expiry | Expiration date in YYYY-MM-DD format. |
| strike | Option strike price. |
| put_call | P or C. |
| trade_qty | Signed integer traded quantity in contracts where positive is buy and negative is sell. |
| trade_price | Unsigned floating point trade price. |
Below is an example CSV formatted output from a hypothetical compression using the TPH input from CSV Formatted Example CCS Input with Custom Risk Constraints. The trade file output in Example compression detail output file is the trade-level output corresponding to the detail level output presented in the next section.
class,expiry,strike,put_call,trade_qty,trade_price
SPXW,2021-12-31,3900.000,C,-20,214.06
SPXW,2021-12-31,3900.000,P,-25,114.06
SPXW,2021-12-31,4000.000,C,-50,161.10
SPXW,2021-12-31,4000.000,P,-50,161.10
SPX,2022-03-18,4000.000,C,-50,223.46
SPX,2022-03-18,4000.000,P,-50,223.46
SPX,2022-03-18,4100.000,C,-10,179.75
SPX,2022-03-18,4100.000,P,-10,279.75
Note on trade_qty vs. actual trade fills - The trade file contains one row per option that trades in the compression portfolio. The value of trade_qty is the total contracts that the TPH will trade in the associated option long or short. The traded quantity may be filled with a single crossing trade fill with a single contra TPH or may be allocated to multiple fills with multiple contra TPHs. Regardless, the total traded quantity across one or more fills will sum to the value represented in the trade file, and the price of all trades for the one or more fills will be the value of trade_price contained in the trade file. In other words, the number of rows in the trade file may not match the trade fill count cleared as a result of the compression portfolio.