Convention of Calendar Spread Orders in BSE Interest Rate Derivatives Segment:-

A Buy spread order in BSE Interest Rate Derivatives segment means Sell in Near Month leg and Buy in Far Month leg.
A Sell spread order in BSE Interest Rate Derivatives segment means Buy in Near Month leg and Sell in Far Month leg.
The above convention is on par with the Indian market practices.


Illustration –
Buy spread order of 10 contracts in 10YGS883FEBMAR14 contract will mean -
Sell 10 contracts in 10YGS883FEB13FUT and Buy 10 contracts in 10YGS883MAR14FUT.

Sell spread order of 10 contracts 10YGS883FEBMAR14 contract will mean
Buy 10 contracts in 10YGS883FEB13FUT and Sell 10 contracts in 10YGS883MAR14FUT.

Matching Logic:-

Case 1 - An incoming spread order scans for the pending order in the spread order book for a potential match. If the match is possible, the orders will match based on price time priority.

Example i): Following orders are available in the order book –

• Pending Order in 10YGS883 JAN FEB 14 Spread order book: BUY Qty 100@ Rs.0.2500
• Incoming Order: SELL QTY 100 @ Rs.0.2500

As there are two match-able orders in the spread order book, a match will take place for Qty 100@
Rs.0.2500

Example ii): Following orders are available in the order book –

• Pending Order in 10YGS883 JAN FEB 14 Spread Order book: BUY Qty 100@ - Rs 0.50000
• Incoming Order: SELL QTY 100 @ - Rs 0.50000

As there are two match-able orders in the spread order book, a match will take place for Qty 100@
-Rs.0.5000.


In both the above cases, on execution, it shall result into two trades, one each in the near and far month futures contract constituting the spread contract.

Case 2 - Else, the order is further sent to the order books of the respective legs and other related spread order books corresponding to individual legs to find a potential match.

This is illustrated below -

A. An incoming spread order in a contract can match with the orders present in the individual order
book of the near & far month contract


In the above illustration, on execution, it shall result into two trades, one each in the near and far month futures contract constituting the spread contract.

Example i) –
Assume that there are no pending orders in spread contract order book 10YGS883 JAN FEB 14

• At the same time, there are outstanding orders available in the order book of individual leg contracts as follows –
  a) 10YGS883 JAN 14 Futures Contract: BUY Qty 100 @ Rs 100.0000
  b) 10YGS883 FEB 14 Futures Contract: SELL Qty 100 @ Rs 100.2500
  
• Incoming Order in 10YGS883 JAN FEB 14 Spread Contract: BUY Qty 100 @ -Rs 0.2500
  Here, the system will first try to scan through the order book of the spread contract. Since there are no matchable orders available, the system will look for a potential match in individual legs of the spread i.e. in order book of JAN 14 Futures and FEB 14 Futures . Since the difference in prices between individual leg buy and sell orders is also - Rs.0.2500, it will match with incoming spread order resulting into 2 trades, one each in 10YGS883 JAN 14 Futures Contract and 10YGS883 FEB 14 Futures Contract.
  

B. An incoming spread order in a contract can match partly with a different spread order in another Contract and partly with the orders present in the individual order book of the near & far month
contract.


In the above illustration, on execution, it shall result into 3 trades, one each in January 2014, February 2014 & March 2014 futures contracts.

Example –
Assume that there are no pending orders in spread contract order book 10YGS883 JAN FEB 14.

At the same time, there are outstanding orders available in the order book of individual leg contracts as follows –

• 10YGS883 JAN 14 Futures Contract: BUY Qty 100 @ Rs 100.5000
• 10YGS883 MAR 14 Futures Contract : SELL Qty 100@ Rs.100.0000
• 10YGS883 FEB MAR 14 Spread contract : BUY Qty 100 @ Rs 0.2500

Incoming Order in 10YGS883 JAN FEB 14 Spread Contract: BUY Qty 100 @ Rs.0.2500

Here, the system will first try to scan through the order book of the spread contract. Since there are no matchable orders available, the system will look for a potential match in order book of JAN 14 Futures, and order book of FEB MAR 14 spread. Also, since there is a matchable order in the order book of FEB MAR 14 spread, the system will now additionally look for a potential match in order book of MAR 14 futures.
Thus the incoming spread order will result into 3 trades, one each in 10YGS883 JAN 13 Futures Contract @ RS 100.5000, 10YGS883 FEB 14 Futures Contract @ Rs.100.2500 & USD MAR 14 Futures Contract @ Rs.100.0000.