ITP Data Analytics: CTM® Metrics
The following table lists the metrics for the CTM® service, their definitions, and the reports on which they are available. In the table, Party refers to your organization; and Counterparty refers to your counterparty.
For the Datafeed Report, download Data Definitions and Characteristics to review the metric names, types, sizes, precisions, and definitions.
Click the icons to expand, collapse, and print the content on this page.
Determining the Market of Execution
ITP Data Analytics determines the market of execution using the following logic:
- Use the market in the CTM PlaceCode field specified by the broker who executed the trade.
- Use the market in the CTM PlaceNarrative field specified by the broker who executed the trade.
- If two out of three of the below are in the same location, the market is considered to be at that location:
- Broker's time zone
- Security Code
- Trade Currency
- Additional Considerations
- ITP Data Analytics considers when locations share a Trade Currency (such as EUR) when determining the market.
- When the Security Country is CN and the Trade Currency is HK, the market is HK.
- Where ITP Data Analytics cannot determine the market and the Security code is XS, the market is EU if either of the following is true:
- The Trade Currency is EUR
- The Broker's time zone is within Europe
If ITP Data Analytics cannot determine the market, it lists the market for the trade as XX and regards it as an Unknown Market.
Measuring and Referencing Time
Some metrics reference or measure time. All times are based on the 24-hour clock.
Metrics that measure time do so based on the local time zone of the BIC associated with your account. ITP Data Analytics only measures time beginning 7:00:00 Monday and ending 23:59:59 Friday in the local time zone. To create fairer comparisons between counterparties, time outside this period is not counted toward totals and averages measured by metrics.
Example: If an investment manager submits a block on Friday at 15:00, and the broker submits it on the following Monday at 7:30, the First Entry Comparison (FEC) for that block is 9:30, not 64:30.
Determining CSDR Timeliness
For metrics that refer to timeliness according to CSDR, ITP Data Analytics uses the definition beginning on page 49 of Final Report on CSDR RTS on settlement discipline, quoted below.
-
2. The allocation and written confirmation referred to in paragraph 1 shall reach the investment firm:
(a) on the business day within the time zone of the investment firm on which the transaction has taken place; or,
(b) at the latest by 12.00 CET of the business day following the business day on which the transaction has taken place:
(i) where there is a difference of more than two hours between the time zone of the investment firm and the time zone of the relevant professional client; or
(ii) where the orders have been executed after 16.00 CET of the business day in the time zone of the investment firm.
CHAPTER II
MEASURES TO PREVENT SETTLEMENT FAILS
Article 2
Measures concerning professional clients to limit the number of settlement fails
The investment firm shall confirm to the professional client receipt of the allocation and of the written confirmation within two hours of that receipt. Where the allocation and the written confirmation reaches the investment firm later than one hour before the investment firm’s close of business, the investment firm shall confirm receipt of the allocation and of the written confirmation within one hour after the start of business on the next business day.
| Metric | Name | Definition | Report | ||
|---|---|---|---|---|---|
| Time | Counterparty | Peer | |||
| AGREED ALLOCS | Agreed Allocations | Total number of allocations for all blocks that reached Match Agreed (MAGR) status, including those canceled after. | X | X | |
| AGREED TRADES | Agreed Trades | Number of blocks that reached Match Agreed (MAGR) status, including those canceled after. | X | X | |
| ALLOCS | Allocations | Total number of allocations for all blocks, regardless of match status. | X | ||
| ATS | Agreement to Settlement | Average amount of days between the MAGR date and the settlement date on a block. | X | ||
| CBP PTY | Canceled Before Pairing Party Blocks | Percentage of blocks that the Party canceled before it reached Matched (MACH) status. | X | X | X |
| CORR CPTY BLOCKS | Correction Counterparty Blocks | Average amount of time between initial pairing and final matching when the Counterparty corrects Mismatched (MISM) blocks. This metric only includes blocks that did not match at first, and are now at Match Agreed (MAGR) status. | X | X | X |
| CORR PTY BLOCKS | Correction Party Blocks | Average amount of time between initial pairing and final matching when the Party corrects Mismatched (MISM) blocks. This metric only includes blocks that did not match at first, and are now at Match Agreed (MAGR) status. | X | X | X |
| CSDR TIMELINESS | CSDR Timeliness | Number of blocks where both the broker and investment manager met CSDR timeliness requirements. | X | ||
| CSDR TIMELINESS BKR | CSDR Timeliness Broker | Number of blocks the broker submitted on time according to CSDR. | X | ||
| CSDR TIMELINESS IM | CSDR Timeliness Investment Manager | Number of blocks the investment manager affirmed on time according to CSDR. | X | ||
| CTFE PTY MKT | Close to First Entry Party Market | Average amount of time between when the Party first enters blocks, and the close of business (18:00) in the market of execution. This metric only includes trades that are at Match Agreed (MAGR) status and where the market of execution is known (not XX). | X | X | X |
| ETM FIRST ALLOC | Entry to Match First Allocation | Average amount of time between when the first allocation for a block was submitted by the Party or Counterparty, and when the last allocation for that block reached Matched (MACH) status. | X | ||
| ETP BLOCK | Entry to Pair Block | Average amount of time between when CTM received or generated a block, and when CTM first paired that block. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | X |
| EU PSET ALLOCS | EU PSET Allocations | Number of allocations with an EU PSET (Place of Settlement). | X | ||
| FEC | First Entry Comparison | Average amount of time between when the Party and Counterparty entered a block. The time is negative if the broker was first. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | X |
| FETA | First Entry to First Agreement | Average amount of time between when the Party or Counterparty first enters a block, and when that block reaches Match Agreed (MAGR) status. Formula: FETA = ETP BLOCK + MTA BLOCK+ PTM BLOCK. | X | X | X |
| IN FIRST BKR | In First Broker | Percentage of blocks in which the broker/dealer entered the block before the investment manager. This metric only includes trades that are at Match Agreed (MAGR) status.
IN FIRST BKR + IN FIRST IM does not equal 100 if there were instances where the broker/dealer and investment manager entered the trade within 15 minutes of each other. |
X | X | X |
| IN FIRST BKR IM LAG | In First Broker Investment Manager Lag | Average amount of time between when the broker/dealer entered a block, and when the investment manager entered that block. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| IN FIRST IM | In First Investment Manager | Percentage of blocks in which the investment manager entered the block before the broker/dealer. This metric only includes trades that are at Match Agreed (MAGR) status.
IN FIRST BKR + IN FIRST IM does not equal 100 if there were instances where the broker/dealer and investment manager entered the trade within 15 minutes of each other. |
X | X | X |
| IN FIRST IM BKR LAG | In First Investment Manager Broker Lag | Average amount of time between when the investment manager entered a block, and when the broker/dealer entered that block. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| MATCHED FT BLOCK | Matched First Time Blocks | Percentage of blocks that reached Match (MACH) status without cancellation or amendment. This metric only includes trades that are at Match Agreed (MAGR) status and did not previously match with another block. | X | ||
| MISM IMPACT PTY BLOCK | Mismatch Impact Party Block | Total amount of time blocks spent in Mismatched (MISM) status on the Party's clock. | X | ||
| MISM IMPACT PTY ALLOC | Mismatch Impact Party Allocation | Total amount of time allocations spent in Mismatched (MISM) status on the Party's clock. | X | ||
| MTA BLOCK | Match to Agreed Block | Average time from when CTM first matched the broker/dealer's and investment manager's blocks until those blocks reached Match Agreed (MAGR) status. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | X |
| N AMEND CPTY ALLOC | Number of Amend Counterparty Allocation | Number of allocations that the Counterparty amended. | X | ||
| N AMEND PTY ALLOC | Number of Amend Party Allocation | Number of allocations that the Party amended. | X | ||
| N FORCE MATCHED ALLOC | Number of Force Matched Allocation | Number of allocations that were force matched. | X | ||
| N MATCHED FT ALLOC | Number of Matched First Time Allocation | Number of allocations that matched the first time. | X | ||
| N MISMATCHED ALLOC | Number of Mismatched Allocation | Number of allocations that mismatched. | X | ||
| N REBOOK CPTY ALLOC | Number of Rebook Counterparty Allocation | Number of allocations that the Counterparty rebooked. | X | ||
| N REBOOK PTY ALLOC | Number of Rebook Party Allocation | Number of allocations that the Party rebooked. | X | ||
| N TOLM ALLOC | Number of Tolerance Matched Allocation | Number of allocations that were tolerance matched. | X | ||
| N TOUCH CPTY ALLOC | Number of Touch Counterparty Allocation | Number of allocations that the Counterparty touched. | X | ||
| N TOUCH PTY ALLOC | Number of Touch Party Allocation | Number of allocations that the Party touched. | X | ||
| OBSERVED CPTY ALLOC | Observed Changes Counterparty Allocation | Number of changes the Counterparty made to allocation level L2 fields. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| OBSERVED PTY ALLOC | Observed Changes Party Allocation | Number of changes the Party made to allocation level L2 fields. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| PTM BLOCK | Pair To Match Block | Average amount of time between when CTM first paired the broker/dealer and investment manager's blocks until those blocks reached Match (MACH) status. For trades that match the first time, this value is zero. For trades that pair but mismatch, the value is greater than 0. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| SCORE | Score | Your total score performance across all other peers depending on your role. | X | ||
| SDA CPTY | Same Day Agreement Counterparty | Percentage of blocks that reached Match Agreed (MAGR) status on the local trade date before midnight in the Counterparty's timezone. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | |
| SDA MKT | Same Day Agreement Market | Percentage of blocks submitted and agreed by the Party or Counterparty on the trade date before midnight in the market of execution. This metric only includes trades that are at Match Agreed (MAGR) status and where the market of execution is known (not XX). | X | X | X |
| SDA PTY | Same Day Agreement Party | Percentage of blocks that reached Match Agreed (MAGR) status on the local trade date before midnight in the Party's timezone. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | |
| SDE CPTY | Same Day Entry Counterparty | Percentage of blocks that the Counterparty submitted on the local trade date before midnight in the Counterparty's timezone. This metric only includes trades that are at Match Agreed (MAGR) status. | X | X | |
| SDE MKT CPTY | Same Day Entry Market Counterparty | Percentage of blocks that the Counterparty entered on the trade date before midnight in the market of execution. This metric only includes trades that are at Match Agreed (MAGR) status and where the market of execution is known (not XX). | X | X | |
| SDE MKT PTY | Same Day Entry Market Party | Percentage of blocks the Party entered on the trade date before midnight in the market of execution. This metric only includes trades that are at Match Agreed (MAGR) status and where the market of execution is known (not XX). | X | X | X |
| SDE PTY | Same Day Entry Party | Percentage of blocks the Party entered on the local trade date before midnight in the Party's timezone. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| TOLM FT BLOCK | Tolerance Matched First Time Blocks | Percentage of matched blocks that reached Matched (MACH) status with L2 fields whose values were different but that were within the investment manager's specified tolerances. This metric only includes trades that are at Match Agreed (MAGR) status. | X | ||
| TOUCH CPTY ALLOCS | Touch Counterparty Allocations | Percentage of allocations that the Counterparty touched. Each time that the Counterparty rebooks, amends, or force matches an allocation counts as one touch. For example, the Counterparty makes five amends to an allocation at five separate times, the allocation has five touches. However, if the Counterparty makes five amends to an allocation at the same time, the allocation has one touch. A touch rate over 100% is possible. Formula: (# allocations the Counterparty touched * 100) / # allocations. This metric includes all allocations, regardless of Match Agreed (MAGR) status. | X | X | X |
| TOUCH CPTY BLOCK | Touch Counterparty Block | Percentage of blocks that the Counterparty touched. Each time that the Counterparty rebooks, amends, or force matches a block counts as one touch. For example, the Counterparty makes five amends to a block at five separate times, the block has five touches. However, if the Counterparty makes five amends to a block at the same time, the allocation has one touch. A touch rate over 100% is possible. Formula: (# blocks the Counterparty touched * 100) / # blocks . This metric includes all blocks, regardless of Match Agreed (MAGR) status. | X | X | X |
| TOUCH OVERALL | Overall Touch Rate | Percentage of blocks that the Party or the Counterparty touched. Each time that the Party or the Counterparty rebooks, amends, or force matches a block counts as one touch. For example, if either the Party or Counterparty makes five amends to a block at five separate times, the block has five touches. However, if the Party or Counterparty makes five amends to a block at the same time, the block has one touch. A touch rate over 100% is possible. Formula: (# blocks touched * 100) / # blocks . This metric includes all trades, regardless of Match Agreed (MAGR) status. | X | X | X |
| TOUCH PTY ALLOCS | Touch Party Allocations | Percentage of allocations that the Party touched. Each time that the Party rebooks, amends, or force matches an allocation counts as one touch. For example, the Party makes five amends to an allocation at five separate times, the allocation has five touches. However, if the Party makes five amends to an allocation at the same time, the allocation has one touch. A touch rate over 100% is possible. Formula: (# allocations the Party touched * 100) / # allocations. This metric includes all allocations, regardless of Match Agreed (MAGR) status. | X | X | X |
| TOUCH PTY BLOCK | Touch Party Block | Percentage of blocks that the Party touched. Each time that the Party rebooks, amends, or force matches a block counts as one touch. For example, if the Party or Counterparty makes five amends to a block at five separate times, the block has five touches. However, if a party makes five amends to a block at the same time, the block has one touch. A touch rate over 100% is possible. Formula: (# blocks the Party touched * 100) / # blocks . This metric includes all blocks, regardless of Match Agreed (MAGR) status | X | X | X |
| TOUCH TOTAL PTY | Touch Total Party | Percentage of blocks the Party touched, including blocks canceled before pairing. Each time that the Party rebooks, amends, or force matches a block counts as one touch. | X | X | |
| VOLUME | Volume | Number of trades that CTM received at least once, including trades that the Party or Counterparty later canceled. | X | ||