Futures Entity Setup Processing Notes

Entities trading Futures need three specific pieces of data, which can be populated using Create/Edit Entity or Add/Change Entity.

• Lot Selection Method (27): multi-lot Future positions are often closed using Modified FIFO (MFIFO), which is a variation of FIFO that closes lowest cost lots first when relieving multiple open lots from a given date

  • If Futures are going to be comingled with other securities, you may have to set up a Mixed Cost Basis Rule to enforce MFIFO specifically for Futures, as described in Manage Mixed Cost Basis Rules

  • Regular FIFO only considers the Event Sequence (126) when relieving multiple open lots from a given date

  • Details about MFIFO and other lot relief methods are available in Understand Lot Selection Methods

• Margin Price Source (18041): this price source is used for VM processing and can be different than the price sources used for URGL

  • If an entity has multiple bases, this must be the same across all bases; when adding a secondary basis it will default to the same value as the primary basis

• Futures & Options with Margin Transaction Fees (3889): this only affects Futures with VM and allows the commission and fees to be either included or excluded in cost for gain/loss calculations

• Net Futures Positions (632)

  • Yes: long and short trades are netted to a single long position (all trades are considered long, with negative units if a position or trade is short)

    • This is allowed even if Tech Short Eligible (57) = No, which would typically prevent negative units

  • No: long and short trades create two separate position rows (trades and positions are considered long or short, always with positive units)

• Futures Clearing Broker (634): there can only be one Clearing Broker per futures trade

  • The trade panel will automatically default to this value, but it can be overridden if necessary

Some clients have a requirement to process the same Future with VM in certain funds and without VM in others. This can be accomplished by using a Variation Margin Override Rule. Refer to Override a Security's Variation Margin Setting for an Entity for details.