Rounding of the Volume Data on the Daily Confirmation Statement and Dealing Xtra

Rounding of the Volume data on the Daily Confirmation Statement and Dealing Xtra

Background

The Dealing Xtra Monthly Trade Summary reports are not based on the data from the billing system. The reports are derived from the DSS and are based upon the trading data there.

The problem comes when clients (or internal staff) try and use the Monthly Trade Summary reports to try and reconcile back to the actual invoice that is produced and presented as the volumes shown do not correspond.

This short note explains how the numbers are derived and how they can be reconciled and most importantly explained to any client (or internal user) who queries the accuracy of the data displayed to them.

Explanation

The data on the Monthly Trade Summary report is derived from actual trades undertaken on the host and the data passed back to the DSS. The system shows the volume of the trade in US$ terms where say “1” represents $1m. This is OK when the base currency is in US$ but when it is in another instrument e.g. EUR/JPY then the system converts the amount to a US$ value using the exchange rates that have been entered to the system for that month. (See Exchange rates under “Currency Information”).

As the volume is only shown in a one digit format the system rounds the numbers up or down. If the calculated value is up to “.50” of a $ then the system rounds it down; anything above “.50” will round up. This is best explained as an example:

A trade for eur/czk is shown on the Daily Confirmation Statement as 1 yet the conversion from eur to usd is 0.7583 and the true volume of the deal is 1.31873299 in US$ terms. The Daily Confirmation Statement rounds it down so every eur/czk trade is shown as 1 so when the full number is added up it “looses” 0.31873299 each time. When there are hundreds of such trades in a period this can substantially affect the total volume shown on the Daily Confirmation Statement.

Such rounding down can be compensated be some rounding up of certain instruments which makes the reconciliation difficult.

A detailed example:

This is just for one day at a bank so when the impact is assessed across all clients the variance can be huge!

Volume based on the DCS / Volume as shown on invoice / Real $ volume / Difference lost or gained /
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
3 / 2 / 2.63747857 / -0.362521
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
3 / 2 / 2.63747857 / -0.362521
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
5 / 4 / 5.274957141 / 0.2749571
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
3 / 2 / 2.63747857 / -0.362521
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
3 / 2 / 2.63747857 / -0.362521
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
1 / 1 / 1.318739285 / 0.3187393
2 / 1 / 1.957330202 / -0.04267
2 / 1 / 1.957330202 / -0.04267
2 / 3 / 2.115357495 / 0.1153575
2 / 3 / 2.115357495 / 0.1153575
51 / 46 / 6.6200

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