As from January 1, 2020, Shanghai Futures Exchange (SHFE) and Shanghai International Energy Exchange (INE) will adjust their statistical standard for trading data to single-counted. An official from SHFE answered questions from market participants.

Q: Would you please introduce the background and significance of this change of the statistical standard for China’s futures market?

On the one hand, both single-sided and double-sided counting methods are in use at China’s futures market, the former in equity index futures and other financial futures, and the latter, more often, in commodity futures. This mixed usage has made it unnecessarily inconvenient for statistics and analysis. On the other hand, the single-counted method is an international norm.

Therefore, the CSRC has decided to standardize all statistics of the domestic futures industry to single-counted basis. It will help China’s futures market to converge with international practices and be more international and professional.

Q: When will this change come into effect?
It will come into effect on January 1, 2020.

Q: What are the main changes with this adjustment of statistical standard?

This adjustment mainly involves changes in two areas: relevant SHFE and INE rules as well as certain data fields used by IT systems. In terms of amending market rules, most changes pertain to provisions on trading volume and open interest. In terms of updating IT systems, most changes are related to the fields for trading volume, open interest, turnover, volume of exercised options, etc.

Q: What specific changes will be made to the rules of the exchanges?

SHFE will amend its Trading Rules and Risk Management Rules. In particular, under the Trading Rules, the definitions of trading volume, open interest, and turnover will be revised. Under the Risk Management Rules, specifically the section on position limit, the method for calculating open interest for a futures contract that hits the limited positions will be revised for copper and other products.

INE has amended its Trading Rules and Risk Management Rules. In particular, under the Trading Rules, the definitions of trading volume and open interest have been revised. Under the Risk Management Rules, specifically the section on position limit, the method for calculating open interest for futures contract that hits the limited positions has been revised for crude oil and other products.

Q: What specific changes will be made to the IT systems?

This adjustment will affect data in two types of systems: (1) Market data publicly released by trading systems (including Market Data Platform 1.0 and 2.0) and the internet market data system, in particular data fields for trading volume, turnover, and open interest. (2) Statistics displayed on websites and in member service systems, including those published through the SHFE member service system, SHFE website, INE member service system, and INE website. Data fields affected are those for exchange-level market data, such as trading volume, turnover, open interest, volume of exercised options etc.

Q: Can you explain how historical data will be handled?

Since the statistics sections on SHFE and INE websites are meant to be static pages, historical data before January 1, 2020 will continue to be presented on the single-sided counting basis. All data released on and from January 1, 2020 will be presented on the single-counted basis.

Starting from January 1, 2020, the member service systems of SHFE and INE will stop providing reports prepared on double-counted basis and will only present data calculated by the single-counted basis. This includes statistics retrieved from query of historical data.

Trading systems (including Market Data Platform 1.0 and 2.0) and the internet market data system only release current-day data and do not provide access to historical data.

Q: What are the follow-ups for the adjustment?

First, before officially switching to the single-counted basis, SHFE and INE will organize system drills and tests for members and data vendors. The detailed schedule will be announced later.

Second, SHFE and INE will use both online and offline channels to inform the public about the details and implications of this adjustment on an ongoing basis. These channels include the official sites of SHFE and INE, the investor education portal (http://edu.shfe.com.cn), and subsequent investor education events.

Q: What should investors be aware of following the adjustment to single-counted basis?

First, while viewing data on the websites of SHFE and INE, investors should pay particular attention to explanation concerning the adjustment of statistical standards. For example, data before January 1, 2020 will still be marked as double-counted figures, while those on and after that date will be marked as single-counted figures. Investors shall be aware of the consistence in statistical standard while using these figures for comparison.

Second, the switch from double-counted basis to single-counted basis only affects exchange-level statistics (each buy trade has a corresponding sell trade). Member-or investor-level statistics, in which the buy quantity does not necessarily match the sell quantity, will not be affected by this adjustment. For example, under the daily volume ranking published on the SHFE website, the “trading volume” for each member is the sum of its buy quantity and sell quantity.

For any questions, comments, or suggestions, please contact SHFE Market Service Center at 800-8203618 or msc@shfe.com.cn.