Trades and positions-- particularly derivative trades-- have different types of dates associated with them that have different meanings.
In This Article
Contract Dates for Derivative (Futures) Products
Frequently Asked Questions about Dates
Trade Lifecycle Dates
These are dates that are assigned to transactions based on when the transaction was completed according to the exchange rules and business hours.
- An order is placed into the market. The Order Date and Time is assigned by the market at the precise time of order entry.
- If an order is executed (filled), the Execution Date and Time is assigned by the market at the precise time of the fill. This date and time is always after the order date and time.
- The executed trade is assigned an official Trade Date that is the agreed upon day the trade is made. The date is based on the clearing exchange rules about business hours of the product that trades. This date is usually the date of the execution date or one business day in the future, if the product is trading off hours.
- Trades that have financial proceeds have a settlement date that is always relative to the trade date, according to the clearing exchange rules about the product being traded. The settlement date can never be before the trade date.
Booking Date
The booking date is the reporting cycle day assigned to a financial transaction by a bookkeeping system. In other words, the date that the trade "hits" a brokerage statement or other reporting system. There are no specific rules about booking dates, but generally it is best practice for all systems for the booking date to be the same date as the trade date.
Booking dates are synonymous with close of business date, statement date, and reporting date.
Settlement and Event Dates
Derivative contracts may have one or more event dates that describe the specific calendar date that represents the beginning or ending of trading or of the delivery process. The specific rules and definitions are not always uniform and subject to the exchange rulebook of the product. The most common dates and definitions are:
- Last Trade Date. The last date that a contract may trade on an exchange. Most trade managers who do not intend to enter into delivery use this date as a deadline to either close out or roll over the position.
- First Notice Date. Many products become physically deliverable into the underlying commodity or instrument near the conclusion of the contract. The First Notice Date is the first date at which having an open position in the product can result in a delivery.
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Expiration Date. This is the date that a contract's validity ends and normally is after the last trade date. Options that expire normally go through exercise, assignment, or expiration based on the exchange rulebook
Derivative Contract Dates
Exchange Traded Derivatives including futures and stock options are contracts that normally have date attributes associated with them. A contract or expiry is a way to define a specific maturity of a product according to that product's rules.
Contract Date is not the same as expiration, settlement, or last trade date.
Whereas the expiration date, settlement date, last trade date, and first notice date are specific dates, the Contract Date is used as short hand to identify the maturity and this short hand is only defined on the product level.
For example, two products at the CME Group follow different short hand rules for the same contract.
JUNE 2030 contracts of:
- CME Henry Hub Natural Gas Futures terminates trading on May 29, 2030
- before the Contract Year/Month
- CME Three Month SOFR Futures terminates trading on Sep 17, 2030
- after the Contract Year
The rules about contract designation vary based on the product specifications determined by the clearing exchange.
- Most exchange traded futures have contracts defined as a forward month and year, such as JUNE 2030.
- Some futures and options have contracts defined as a day, month, and year, such as JULY 15 2030.
- Certain contracts, such as spot power trading, might define time into the contract, such as JULY 15 2030 4:00 PM.
Theorem Data Elements
| Data Element | Type | Required | Description |
| Execution Date | Date + Time | NO | Time the fill was made on the exchange. |
| Trade Date | Date | YES |
Official Trade Date Will default to execution date or today if not provided when creating the trade. |
| Book Date | Date | YES |
Close of Business Date Will default to trade date or today if not provided when creating the trade. |
| Settlement Date | Date | YES |
Date the transaction's proceeds are realized. Will default to trade date or today if not provided when creating the trade. |
| Last Trade Date | Date | NO | Event dates of a derivative contract. Read Only attributes of Theorem Product Database. |
| First Notice Date | Date | NO | |
| Expiration Date | Date | NO | |
| Contract Year | Number | NO | Parts of a derivative contract, based on the product's specifications. Read Only attributes of Theorem Product Database. |
| Contract Month | Number | NO | |
| Contract Day | Number | NO | |
| Contract Hour | Number | NO | |
| Contract | Text | NO | The relevant parts of a derivative contract based on the product's specifications in order of (when required) day + month code + two digit year |
Frequently Asked Questions about Dates
What dates are required when importing data to Theorem?
What is T=0 or T-1?
What is an "as of" trade?
The Trade Viewer has a date filter. What date is this?
Is it required to filter by a date in the Trade Viewer?
Why is the trade date after the book date?
Why is the trade date before the book date?
What dates are used when doing trade matches?
How do Time Zones work?
What dates are required when importing data to Theorem?
- The only required data is contract year, month, day, hour etc... when importing data from files into Theorem's trade repository.
- Only the relevant part of the contract is required, according to the product's specifications.
- Theorem's mapper accepts a wide variety of formats and it's intelligence engine does not require these to be in a specific order.
- Book Date and Trade Date are optional, but will be assigned default values when the data is imported based on other values in your data.
What is T=0, T-1, T+1, etc?
In the financial markets, "T" refers to the trade date and the plus or minus is relative to a business date in question.
- T=0 means trades and transactions for the business date in question.
- T-1 means trades or activity from the previous business date.
What is an "as of" trade?
A back dated trade; one that has a trade date that is before the book date. The term "as of" is used because many futures brokers place trade confirmations for trades booked in the past in a special section that might have a label similar to "these trades have been booked as of the date indicated".
The Trade Viewer has a date filter. What date is this?
Trade Date. Select a value in the trade viewer to choose all of the trades with the trade date in the value.
Is it required to filter by a date in the Trade Viewer?
No. If no filter is used, then all trades that have not been closed will appear in the Trade Viewer, subject to any other filters in your Trade Viewer view.
Why is the trade date after the book date?
This is rare, but possible in situations where a trade is executed on a market that is in a different time zone where it is booked. Most book dates are based on where the clearing broker has their accounting or back office system--New York, Chicago, or London whereas the trade dates are based on the specific market.
Why is the trade date before the book date?
This normally occurs because of middle or back office operational issues in the trade booking process that results in a trade "hitting" the account late.
What dates are used when doing trade matches?
- Trade Date
- Contract Year, Month, Day, Hour (when relevant for the product trading)
The book date is NOT used normally when doing trade matches.
How do Time Zones work?
For importing data:
That's a great question. We are glad you asked. Our technical experts are working on it.