Common Execution Discrepancies

Owned by Noah Keats
Last updated: Sept 14, 2012Version comment

Execution discrepancies will occur time to time for a number of different reasons. The majority of conflicts are typically the result of:

  • Corporate actions (e.g. symbol change, split, merger/acquisition)
  • Missing data from your clearing firm or execution provider (e.g. away trades, option exercises).
  • Differences in ticker symbols

Below you will find examples and steps to fix both common and edge case discrepancy issues.  In these examples we assume that reconciliation is being performed against the clearing firm since this is a typical workflow.

After taking steps to resolve a discrepancy, you will need to rerun the reconciliation process for the discrepancy to disappear. We also advise you to re-run the reconciliation report before beginning work on resolving discrepancies.

Incorrect Price or Quantity

Below is an example of a price discrepancy.  PropReports is showing a price of "0.9989" whereas the clearing firm shows "99.989."  

ABC123
	XYZ
		Internal:
			S 4,300 @ 0.99989 JNL000367

		External:
			S 4,300 @ 99.989 -C088

In this scenario, you will need to find out the correct execution price in order to determine whether PropReports (internal) or the external source is at fault.  If the trade price is wrong in PropReports, you need to find the trade and then correct the price internally.  If the issue is with the external source, you will need to contact them to make sure their records reconcile with yours.

Missing Trades in PropReports 

If you see just a few missing trades, it may be because they were entered outside the DMA platform. For example, they may be away trades, orders called in to the trade desk, option exercises or assignments. Here's an example:

ABC123
    JRCC
        External:
            S 2,000 @ 2.65

These cases are most easily resolved by manually posting the missing trades.

If you see many unmatched trades on the external side there may have been an issue with the upload process.  Incomplete, corrupt or missing files from your DMA vendors will show up as external discrepancies when comparing against trades processed by your clearing firm.    Here's an example:

ABC123
    AMRN
        External:
            191 Executions...
            ==========
            B 27,500 @ 11.53623636 (TOTAL)

XYZ456
    BZH
        External:
            B 1,000 @ 2.40 A123456789
            S 1,000 @ 2.49 A123456789

    PHM
        External:
            34 Executions...
            ==========
            B 10,000 @ 11.624741 (TOTAL)
            S 10,000 @ 11.6651 (TOTAL)
...

Steps to follow:

  • Try to determine if the missing data can be attributed to a specific vendor.
  • The vendor's data may have been loaded after the reconciliation process was already run.  This can occur when a vendor delivers the data late.  If so, re-running reconciliation should reconcile the discrepancies. 
  • Check the upload log to make sure all files from that vendor were loaded and that the trade counts look right.  If a new account or group has begun trading, you may need to request for that data to be included in the files being sent to us.
  • If you believe data is missing, please contact your vendor as well as e-mail us at support@propreports.com.  

Missing Trades from the Clearing Firm

In a typical setup the DMA delivers your trading activity to the clearing firm for clearing via intra-day FIX drop copy or an end-of-day file.  If you see a large number of internal trades but nothing matching externally, it indicates that something may have gone wrong with that process.  Here's an example:

ABC123
    AMRN
        Internal:
            191 Executions...
            ==========
            B 27,500 @ 11.53623636 (TOTAL)

XYZ456
    BZH
        Internal:
            B 1,000 @ 2.40 A123456789
            S 1,000 @ 2.49 A123456789

    PHM
        Internal:
            34 Executions...
            ==========
            B 10,000 @ 11.624741 (TOTAL)
            S 10,000 @ 11.6651 (TOTAL)
... 

Steps to follow:

  • Confirm that we have received and uploaded a complete file from your clearing firm.   If a new account or group has begun trading, you may need to request for that data to be included in the files being sent to us.
  • Try to determine if the missing data can be attributed to a specific vendor.  The vendor may have failed to submit your activity for clearing in a timely manner.
  • If you believe data is missing, please contact your vendor, your clearing firm as well as e-mail us at support@propreports.com.  

Duplicate Trades

Occasionally you may notice duplicated trades externally or internally.  This can happen if, for example, the same trade file is uploaded twice. Below is a discrepancy report showing a duplicated trade at the clearing firm:

ABC123
	DDR-PJ
        Internal:
            B 100 @ 24.86 53493572-72
            B 100 @ 24.86 53500058-72
            B 69 @ 24.87 53499884-72
            B 100 @ 24.87 53493384-72
            B 100 @ 24.87 53493557-72
            ==========
            B 469 @ 24.8657356 (TOTAL)

        External:
            B 469 @ 24.865736 53500058
            B 469 @ 24.865736 53500058
            ==========
            B 938 @ 24.865736 (TOTAL)

        Difference:
            B 469 @ 24.8657362

If it looks like the clearing firm processed the same activity twice, please contact them directly.  If trades are duplicated in PropReports, please follow these steps:

  • Check the upload log to make sure the same file from the same vendor was not uploaded twice.  If this is the case, delete the duplicate upload.
  • If the DMA sent a file with duplicate activity, either request to have a corrected file generated or edit it.  Delete the old upload and upload the new file.
  • If there are relatively few trades, you can find and delete or cancel them via the Audit / Executions page.  

Busted or Canceled Trades 

If your clearing firm has canceled a trade that is still in PropReports, it will appear with the word "CXLD" next to the Order Id in the reconciliation report.  Below is an example of a canceled trade:

ABC123
    QQQ		
		External:
          		B 100 @ 24.865736 53500058 CXLD

To reconcile, find and cancel the corresponding trade in PropReports.  To find out why the trade was canceled you will need to contact your clearing firm. 

Price Rounding Errors

Average price reconciliation discrepancies occur when both symbols and the total quantity bought/sold match, but the average price for the buy and / or sell side does not match. Large discrepancies can be caused by incorrectly entered trades and should be individually reviewed.

Very small discrepancies can be caused by rounding differences between PropReports (which uses 8 decimal-point precision) and either the clearing firm's internal rounding or by the execution platform which submits the trades in an aggregated fashion. For example:

ABC123 (123)
    	QQQ
		Internal:
			26 Executions...
			==========
			B 18 @ 62.18888888 (TOTAL)
			S 18 @ 62.18361111 (TOTAL)

		External:
			B 18 @ 62.19 -2FTS
			S 18 @ 62.18388889 -2FTT

PropReports ignores any price discrepancy that differs by less than 0.00005 (a non configurable parameter), thus discrepancies such as the one above are considered material by an accounting standard. In this example, the clearing firm debits the account for $0.021 more on the buy and credits $0.005 more on the sell. At the end of the transaction the clearing account balance would be about $0.016 less than PropReports. 

Symbology Issues

Because various systems (e.g. clearing firms, DMA platforms, etc.) use different symbol naming standards, PropReports attempts to "normalize" ticker symbols when matching executions.  Discrepancies may occur during reconciliation when this normalization process fails. Below is an example of a symbol used by PropReports that does not match the symbol used by the client's clearing firm:  

ABC123 (123)
        BF.B
                External:
                        B 1 @ 93.80 110215482275
                        
        BF/B
                Internal:
                        B 1 @ 93.80 1000172

In the example above, you can see that PropReports is reporting an internal execution for security "BF/B", whereas the the client's clearing firm is showing an external execution for security "BF.B".  Because the correct symbol should be BF/B, you will have to correct the ticker symbol via the Audit / Symbols page.

Corporate Actions / Position Journals

Whenever corporate actions are processed in PropReports, journal trades are posted to adjust positions. However, not all clearing firms include a "journal trade" whenever such actions are processed. This will show up as a discrepancy:  

ABC123 (123)
	HJG
		Internal:
			S 276 @ 24.82 MAR000102 RENAME

	HJG/CL
		Internal:
			B 276 @ 24.82 MAR000102 RENAME

Check your positions and if they match you may wish to disregard the discrepancy. 

Missing Clearing Id

Another common discrepancy issue is an incorrect or missing clearing id for an account. Below is an example of a discrepancy caused by an account that is missing its clearing id:

ABC
    Internal:
        S 1,000 @ 29.70 c414ba24-ea-0003
ABC123
    ABC
        External:
            B 1,000 @ 29.70

To fix these types of discrepancies navigate to the Accounts / Overview page for the account doing the trade and make sure all account names are correctly set. If reconciling against the clearing firm then the clearing id and clearing firm must be correct. If reconciling against the DMA vendor then the Account Id and Source must match.

How To / Related Topics

Fill Intention or Side Codes
Fill Status
Manually Posting an Execution
Excluding Accounts From an Upload
Common Position Discrepancies