Release Notes

BATS Europe launches Market On Close trading service - 2nd October

September 03, 2009 15:25:33

Dear BATS Europe Participants

BATS Europe announces an innovative Market On Close (MOC) service, including extended trading with Trading At Last (TAL), to be launched on Friday, the 2nd of October. The charge for all MOC and TAL executions is an extremely competitive 0.10 bps, significantly less than the charge imposed by primary exchanges for comparable services*.

*The service will launch initially on FTSE 100 stocks, to be followed shortly thereafter by the components of other major European Indices.

MOC Functionality

1. Call Phase - Market On Close (MOC) allows BATS Europe Participants to enter MOC orders throughout the trading day for execution at the closing price of the Primary Exchange. Please note that any Amends issued on orders during this phase result in a loss of Time Priority.

2. Cross Phase - Once the primary auction begins at 16:30, orders which were previously entered during the "Call" phase are now paired up in order of time priority, and locked for execution. Locked orders are executed based on the published official closing price from the Primary Exchange. Locked quantities with paired orders cannot be cancelled. Any new orders entered during the "Cross Phase" will also be paired and
locked in real time.

3. End of Primary Auction - When the auction on the Primary Exchange is complete and the Primary Exchange closing price is published, all paired and locked orders from the Call and Cross phases will be matched on the BATS Europe order book and executions will be sent.

4. Trading At Last (TAL) Phase - Participants are allowed the possibility of continuously matching any further orders at the published primary closing price.

5. End of Primary Auction + 10 Minutes - The TAL phase ends 10 minutes after the primary exchange auction and all MOC orders are cancelled. The actual end time of the TAL phase is determined by the publication of the official uncrossing price from the primary exchange and will vary on a per market and per symbol basis.

For more detailed information on the phases and matching logic please consult the technical specification at the end of this announcement.

UAT Certification

The new order type is currently available in BATS Europe UAT for testing and certification on market days from 08:00 - 16:30 UK time. All Participants will be required to formally certify MOC functionality with the BATS Europe Trade Desk, prior to being enabled for it on their Production FIX sessions.

For testing purposes, the UAT environment schedules an MOC auction followed by a Trading at Last phase once per hour using the following schedule:

hh:30 Closing Cross phase starts

hh:35 Closing price is injected, signaling an end to the Closing Cross phase and the start of Trading at Last phase

hh:45 Trading at Last phase ends (all MOC orders are expired and book is clean for next auction)

hh:46 Next auction is scheduled

Where hh is 08-16 i.e. closing auction starts 08:30, 09:30 ... 16:30.

Testing has been set up for the following symbols (official closing price is in brackets):

ARMl (127.50), GKNl (82.50), ULVRl (1508.00) and YELLl (22.25)

The formal BATS MOC certification script is available upon request. Please contact the Trade Desk (+44.207.012.8901, [email protected]) to assist with any testing and to schedule in your formal certification.

Market On Close is the latest innovative order type that BATS Europe is excited to offer its Participants. The complete specification can be found on our website: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Ma rketOnClose.pdf.

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

BATS Europe Introduces Innovative Real-Time Ports Dashboard

September 02, 2009 07:23:09

Dear BATS Europe Participants

BATS Europe is pleased to announce the launch of a web-based Real-Time Ports Dashboard. The innovative Real-Time Ports Dashboard allows authorised users access to detailed information about their firm's port utilisation from the Participants-only section of the BATS Europe website.

Also, individuals with Cancel Authority for their firm have the capability to cancel all open orders at the port or Participant level directly through the web interface. The direct cancel capability is particularly useful when time is of the essence.

Real-Time Port Statistics

Real-time information available for ports includes open orders, rejects and TCP retransmission counts at the port level. Also included are various connection details, default port attributes, graphs for various statistics and counts for rejects by reject type. Statistics may be viewed in intervals ranging from the last 5 minutes up to the entire current day.

Full details for the Real-Time Ports Dashboard can be found at http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Ports.pdf.

Available at www.batstrading.co.uk

The Real-Time Participant Dashboard is available through the Participants-only section of the BATS Europe website (http://www.batstrading.co.uk/) via the LOGIN link in the upper right-hand corner. To request new Participant Dashboard accounts, please contact the BATS Europe Trade Desk.

BATS Europe remains committed to Making Markets Better through the creation of innovative trading tools like the Real-Time Ports Dashboard.

Please contact the BATS Europe Trade Desk or your Account Manager with any questions. Thank you for your continued support of BATS Europe.

Update: BATS Europe Dark Pool

August 03, 2009 17:38:08

Dear BATS Europe Participants,

As a reminder, BATS Europe is launching its Dark Pool on 7 August 2009. The Dark Pool is a separate order book (from the existing Integrated Book) and allows matching of dark liquidity at the midpoint of the best bid and best offer on the primary market. Orders placed into the Dark Pool are not required to be Large in Scale (LIS). Passive orders in the Dark Pool will receive a rebate of 0.10bps of the notional value traded
and aggressive orders will be charged a fee of 0.25bps of the notional value traded.

Participants can use their existing FIX order entry handlers or request new ones to send orders to the Dark Pool. Orders destined for the Dark Pool must be midpoint peg orders (ExecInst (18) field set to "M"). The RoutingInst (9303) field must be set to one of the following:
* BD - Send to the Dark Pool
* BA - Send to the Integrated Book if LIS otherwise send to the Dark Pool
* PD - Send to the Dark Pool as post only
* PA - Send to the Integrated Book if LIS as post only otherwise send to the Dark Pool as post only

Minimum Acceptable Quantity (MAQ) is allowed for all dark orders. Incoming orders which set MAQ, using the MinQty FIX tag (110), may execute against multiple resting orders which aggregate to fulfil the MAQ. When an MAQ order is partially filled and the residual order size is lower than the MAQ, the MAQ will be reset to the residual order size.

Matches in the Dark Pool and hidden orders within the Integrated Book are represented as trades on BATS Europe's market data feeds. There will be no distinction to the "side" for these trades, where all hidden trades will be represented as a "Buy" side. Hidden trades will continue to be made available by Participants' DROP sessions.

The complete Dark Pool specification can be found in the BATS Europe FIX specification
. The new functionality is available for testing in the BATS Europe UAT environment.

For further information, please contact BATS Europe Trade Desk (+44.207.012.8901, [email protected]) or your Account Manager (+44.207.012.8906, [email protected]).

BATS Europe Update: Market On Close Order Type

July 24, 2009 16:59:04

Dear BATS Europe Participants;

As previously announced, BATS Europe plans to offer a Market On Close (MOC) product later this year.

Market On Close (MOC) allows BATS Europe Participants to enter orders throughout the trading day for execution at the closing price of the Primary Exchange, this is known as the "Call" phase. Once the primary auction begins at 16:30, the BATS Europe order book moves into the "Cross" phase where orders entered in the "Call" phase are paired up and locked for execution. Any new orders entered during the "Cross" phase will be paired and locked in real-time. When the auction on the Primary Exchange is completed, and the Primary Exchange closing price published, paired and locked orders from the Call and Cross phases will be matched and executions will be sent. Following this phase the order book moves into "Trading At Last" allowing Participants the possibility of matching
any further orders at the published closing price. For more detailed information on the phases and matching logic please consult the technical specification at the end of this announcement.

UAT Certification

The new order type will be made available in BATS Europe UAT as of Monday 27th July for testing and certification on market days from 08:00 - 16:30 GMT. All Participants will be required to formally certify MOC functionality with the Trade Desk prior to being enabled for Production FIX sessions.

For testing purposes, the UAT environment schedules an MOC auction once per hour using the following schedule:

hh:30 Closing cross phase starts
hh:35 Closing price is injected, signalling an end to the closing cross phase and the start of Trading at Last phase
hh:45 Trading at Last phase ends (all MOC orders are expired and book is clean for next auction)
hh:46 Next auction is scheduled

Where hh is 08-16 i.e. closing auction starts 08:30, 09:30 ... 16:30.

Testing has been set up for the following symbols (official closing price is in brackets):

ARMl (127.50), GKNl (82.50), ULVRl (1508.00) and YELLl (22.25)

Attached is a copy of the formal MOC certification script as a reference. Please contact the Trade Desk (+44.207.012.8901, [email protected] ) to assist with any testing and to schedule your formal certification.

Market On Close is the latest innovative order types that BATS Europe is excited to offer its Participants. The complete Specification can be found on our website:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Ma rketOnClose.pdf.

BATS Europe Dark Pool

July 16, 2009 14:01:28

Dear BATS Europe Participants,

BATS Europe is pleased to announce plans to launch its Dark Pool on 7 August 2009. The Dark Pool is a separate order book (from the existing Integrated Book) and allows matching of dark liquidity at the midpoint of the best bid and best offer on the primary market. Orders placed into the Dark Pool are not required to be Large in Scale (LIS). Passive orders in the Dark Pool will receive a rebate of 0.10bps of the notional value traded and aggressive orders will be charged a fee of 0.25bps of the notional value traded.

Participants can use their existing FIX order entry handlers or request new ones to send orders to the Dark Pool. Orders destined for the Dark Pool must be midpoint peg orders (ExecInst (18) field set to "M"). The RoutingInst (9303) field must be set to one of the following:
* BD - Send to the Dark Pool
* BA - Send to the Integrated Book if LIS otherwise send to the Dark Pool
* PD - Send to the Dark Pool as post only
* PA - Send to the Integrated Book if LIS as post only otherwise send to the Dark Pool as post only

Minimum Acceptable Quantity (MAQ) is allowed for all dark orders. Incoming orders which set MAQ, using the MinQty FIX tag (110), may execute against multiple resting orders which aggregate to fulfil the MAQ. When an MAQ order is partially filled and the residual order size is lower than the MAQ, the MAQ will be reset to the residual order size.

Quotes for Dark Pool orders are not represented on any market data feed. Matches in the Dark Pool are represented as trades on BATS Europe's market data feeds; there is no distinction between hidden orders executed on the Integrated Book and in the Dark Pool. Executions are also available by Participants' DROP sessions.

The complete Dark Pool specification can be found in the BATS Europe FIX specification
. The new functionality is available for testing in the BATS Europe UAT environment on Monday 20th of July.

For further information, please contact BATS Europe Trade Desk (+44.207.012.8901, [email protected]) or your Account Manager (+44.207.012.8906, [email protected]).

BATS Europe Notice: Introduces Market On Close Order Type

June 16, 2009 13:30:35

Dear BATS Europe Participants;

BATS Europe is pleased to announce plans to offer Market On Close (MOC) and Trading At Last order types to be released August 2009, pending FSA authorisation and Participant readiness.

The new order type enables BATS Europe participants to enter orders throughout the trading day which are executed at the official closing price of the primary exchange, once it is published. Following the publication of the primary exchange's closing price, participants can continue entering orders that are immediately executed at the official
closing price where liquidity is available.

Market On Close (MOC) is the latest innovative order type that BATS Europe is excited to offer its Participants. For the complete Market On Close specification please contact BATS Trade Desk (+44.207.012.8901, [email protected]) or your Account Manager (+44.207.012.8906, [email protected]).

The new order types will be available for testing in BATS UAT environment in July.

Wash Trading Notice

May 26, 2009 16:53:47

Dear Participants,

BATS Europe offers a wash trading prevention feature to Participants who wish to have self-matched trades prevented by the BATS Europe matching engine. Enabling this feature will prevent any trading on the BATS Europe order book with the same clearing id. To enable the wash trade prevention feature, contact the Trade Desk or your Account Manager.

In addition, BATS Europe would like to remind Participants that regulatory surveillance and monitoring is in place at all times for wash trading and other potentially abusive trading practices. Participants are reminded that compliance with applicable FSA rules and regulations rests with each Participant and that BATS Europe will refer potentially
abusive behavior to the FSA for further investigation.

For more information about this feature, please contact the BATS Europe Trade Desk at +44.207.012.8901 or Participant Services at +44.207.012.8902.