Netting is the process of consolidation of positions that occurs when two positions in the same instrument and on same account are in opposite direction and thus fully or partially reduces the total market exposure in the instrument. It is the process in which a buy position and sell position are matched to remove both or yield a remainder, if one is bigger than the other.
Saxo offers several netting modes and methods, not all of which are supported in each region.
The choice of netting mode affects how and when positions are netted as well as whether or not it is possible to relate orders directly to an individual position. As an application developer you need to make sure that your application will work correctly for both types of netting. Alternatively you must ensure that the clients who are using your application will only be using the netting mode supported by your application.
Detecting which netting mode is applied to a client
Information about the current netting profile can be retrieved by calling GET /clients/v1/... and inspecting the NewPositionNettingProfile property..
FIFO - End-of-day:
Netting is done at End of Day using FIFO. Netting of positions in opposite directions can be prevented by placing related orders to positions.
FIFO - Real-time:
Netting is done in real-time using FIFO. Netted positions are immediately moved from the "open positions" to the "closed positions" view within the trading platform. It is not possible to place related orders to positions.
Average Price Netting - Real-time:
Netting is done in real-time using the Weighted Average Price method, hence only one open position per instrument will be maintained. Netted positions are moved to the "closed positions" view.
Please check out the following pages for in-depth information about these different methodologies.
- FIFO - End-of-day Netting
- FIFO - Real-time
- Average Price Netting - Real-time (TBD)
Please also check out this sample on netting (with source).
General netting rules
In some cases, netting will not take place before the exchange has reached the end of trading day. Thus after-hours trading and time zones may add to the end of day netting time. If this is an issue, switch to Intraday netting.
In general, positions may be netted if they are of the same instrument and are on same account. But there are some nuances and exceptions:
- Positions will not be netted if there are active related orders, such as GTC orders. (Does not apply for Futures) Day orders are cancelled before netting.
- FxSpot & FxForwards may be netted if ValueDate are the same.
- Futures. Netting will occur on positions even if there are active related GTC orders.
- Options must have same ExpiryDate, StrikePrice and same Call/Put direction.
- Exotic options must have same type and same barrier values.
- Bonds. Specific instruments can be configured to be exempt from netting.
- Bonds. Drawn bonds will not be netted.