Schedule Update

BATS Chi-X Europe: Upcoming Changes and Additions to Trading Functionality

December 19, 2012 13:47:15

Dear BATS Chi-X Europe Participants,

Details of upcoming changes and additions to BATS Chi-X Europe order and trade entry functionality are outlined below:

BATS Dark Self Cross (BDSX)
Effective Wednesday 2nd January 2013, BATS Chi-X Europe will decommission this order type [FIX tag 9303=BX or BOE RoutingInst=BX]. Any Participants still submitting BDSX orders will receive a rejection message from this date.

BATS Trade Capture Report (TCR)
Effective Wednesday 2nd January 2013, BATS Chi-X Europe will introduce a new TCR trade type. TCR trades can be used by Participants to report and bring "On-exchange" trades where the Participant has agreed a transaction away from the BATS Chi-X Europe markets, but the Participant would like to report the trade as a Negotiated Trade on either the BXE or CXE order books. TCR trades are subject to the BATS Chi-X Europe rules and will allow Participants to either use their existing post-trade arrangements, or alternatively suppress these trades from clearing and settlement on a trade by trade basis.

How TCR Trades work

* A Participant matches a trade off-exchange

* The Participant submits a TCR to BATS Chi-X Europe, either in real-time or as part of an EOD netted position

* The TCR is a single FIX or BOE message consisting of both the buy and sell instruction and can be entered between 0800 and 1640 (UK time)

* The trade is reported* on the CXE or BXE trade feed as a Negotiated Trade (NT) and is cleared through the Participant's chosen CCP, or suppressed from clearing at the Participant's request

* The CCP nets TCR trade executions together with other trades from BATS Chi-X Europe and from other venues for one net settlement

*Net TCR trades reported to BATS Chi-X Europe should be flagged as previously reported to avoid duplicate trade reporting.

Interbook Order Types
Further to the Lit Sweep and Dark Sweep order types introduced on Monday 12th November 2012, BATS Chi-X Europe will introduce an additional interbook order type, Sequential Lit Sweep, effective Friday 21st December 2012.

How Sequential Lit Sweep works

* Participants submit an order, using the Sequential Lit Sweep order type, via a FIX or BOE port to either the BXE or CXE order book

* Sequential Lit Sweep orders are sent to the lit book of entry, where they will execute up to their limit price (irrespective of the price on the other lit order book). Any un-executed portion of the order is then sent to the other lit order book where it will continue to execute up to the Participant's designated limit price.

* Any residual volume posts back on the book of entry, or can be cancelled back to the Participant by use of the IOC flag

Pricing

* Trading fees are based on the order book where each execution takes place. The Pricing Schedule is available at the following link: http://cdn.batstrading.com/resources/participant_resources/BATSEuro_Pricing.pdf

Clearing

* All trades are cleared and settled in line with the Trading Participant's existing post-trade arrangements. Trading Participants should note that (where appropriate*) the market of settlement will be the market (order book) of entry whilst the market of execution will be identified in the ContraBroker field (FIX tag 375). Trades resulting from the Sweep order types will be included in the Trading Participant's End of Day (EOD) trade data file for the order book of entry.

*Where participants choose to net across multiple market centres there is no market associated to the settlement.

Technical Implementation

* Participants can specify Sequential Lit Sweep orders on an order by order basis by using the following values in the RoutingInst field (FIX tag 9303):

Lit Sweep: 9303=X

Testing
* The new TCR and Sequential Lit Sweep order are available for testing in the BATS Chi-X Europe Certification environments with immediate effect
* Participants not currently using the TCR and Sweep orders are required to pass a certification test before enablement in Production. Please contact the
Trade Desk to schedule your formal certification test.

Related Documentation
* Interbook Order Types Flyer: http://cdn.batstrading.com/resources/participant_resources/BATSEuro_Interbook.pdf
* Pricing Schedule: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf

Further information on the above changes are available in the Participant Manual, Rules and technical specifications' links below:

Participant Manual http://cdn.batstrading.com/resources/participant_resources/BATS_Chi-X_Europe_Participant_Manual.pdf
Rule Book http://cdn.batstrading.com/resources/participant_resources/BATS_Chi-X_Europe_Rule_Book.pdf
Technical Specifications http://www.batstrading.co.uk/support/#menu-md-specs

Please contact the Trade Desk or your Account Manager if you have any questions.

All current and historical BATS Chi-X Europe notices, including symbol universe updates, are available online at www.batstrading.co.uk/alerts.

Trade Desk
BATS Chi-X Europe ... Making Markets Better
P: +44.207.012.8901
E: [email protected]
www.batstrading.co.uk
* BATS Trading Limited is authorised and regulated by the Financial Services Authority.
BATS Trading Limited is authorised and regulated by the Financial Services Authority. BATS Trading Limited is an indirect wholly-owned subsidiary of BATS Global Markets, Inc. and is a company registered in England and Wales with Company Number 6547680 and registered office at 10 Lower Thames Street, London EC3R 6AF. Confidentiality Notice: This email, including attachments, may include non-public, proprietary, confidential or legally privileged information. If you are not an intended recipient or an authorized agent of an intended recipient, you are hereby notified that any dissemination, distribution or copying of the information contained in or transmitted with this e-mail is unauthorized and strictly prohibited. If you have received this email in error, please notify the sender by replying to this message and permanently delete this e-mail, its attachments, and any copies of it immediately - you should not retain, copy or use this e-mail or any attachment for any purpose, nor disclose all or any part of the contents to any other person. Thank you.