How it works

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Trades are events

Each source is loaded into its own private event list, one event per trade, with the trade time as the event time. The Trade Capture extension has loaders for common sources, including Aligne, ABN, EEX, ETPA, Eurex and ICE.

The sources do not need to use the same field names or values. Each rule says which ETRM fields to compare with which fields of the external record. The examples in this guide use these event lists:

Event list	Source	Fields used
ETRM_TRADES	ETRM (master)	product, buy_sell, absolute (contract), price, lots, venue, broker, clearer
ICE_ENDEX_TRADES	ICE Endex trade file	instrument, side, absolute, price, lots
MAREX_CONFIRMS	Marex broker confirmations	commodity, direction, absolute, price, volume
ABN_CLEARING	ABN AMRO Clearing statement	exchange_code, bs, absolute, price, quantity

A reconciliation runs for one day: it reads the events of that day from the master and from every matcher.

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Models, matchers and rules

A reconciliation model names the master event list and the matchers to compare it with. Each matcher has:

Part	What it does	Example
Event	The event list holding the source's records	ICE_ENDEX_TRADES
Pre-rules	Prepare the data before matching, usually by choosing which ETRM trades belong to this source	Only compare ETRM trades with venue=ICE Endex
Rules	Each compares one or more ETRM fields with fields of the external record, using a rule function	price and price must be equal
Post-rules	Run after matching, for trades that do not compare one to one	An ETRM quarter against three monthly exchange legs

Models are kept as private master data objects of type DATA_RECONCILIATION_SPEC.

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Rule functions

Function	Type	Required	Matches when
exact_match	Rule	Yes	The values are equal, field by field in the order selected
abs_number	Rule	Yes	The absolute values are equal, so a sell booked as -10 lots matches 10 lots
string_map	Rule	No	A saved mapping says the two values mean the same thing, such as TTF Gas Futures in the ETRM and TFM on ICE Endex, or B and Buy
filter_master_data	Pre-rule		Keeps only the ETRM trades matching the value, such as venue=ICE Endex, or book=GAS_FUT,GAS_OTC for either of two books
filter_matcher_data	Pre-rule		The same filter on the external records
strip	Post-rule		An ETRM quarter or year contract matches the monthly legs reported by the exchange, using the absolute field
stripDates	Post-rule		An ETRM trade's delivery period (eventstart to eventend) covers the external trades' delivery periods. With a value such as lots=quantity, the external quantities must also add up to the ETRM quantity

Use exact_match and abs_number for the terms of the trade that must agree: contract, price and quantity. Use string_map where the sources name the same thing differently: product names and buy/sell codes.

Your own rule functions

You can add rule functions of your own in a private JavaScript script, and list the script under Custom Scripts on the model. The script registers each function:

registerReconciliationFunction({
	name: "price_within_tolerance",
	category: "rule",          // "rule", "pre" or "post"
	required: true,
	function: function(rule, meta, master, matcher) {
		// master and matcher hold the values of the fields selected on the rule
		return Math.abs(master[0] - matcher[0]) <= 0.005;
	}
});

The function then appears in the list of functions when you edit a rule.

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Results

For each source, every ETRM trade gets one of these results:

Result	Meaning
Matched	Every rule found the same single external record. The trade is confirmed.
Partial	The required rules (exact_match, abs_number) found candidates, but the rules do not all agree on one external record, or a string_map rule found no mapping. The trade needs a look.
Unmatched	At least one required rule found nothing: the trade is missing from the source, or its contract, price or quantity disagree with every record.

And the source's own records can be:

Result	Meaning
Unmatched Matchers	External records that are not a match or a candidate for any ETRM trade: trades the exchange, broker or bank has that your ETRM does not.

The result of a day is saved as the model's report for that date, which is what the dashboard shows.