Release Notes

BATS Europe Network Connectivity - Pricing

December 13, 2010 14:51:35

Dear BATS Europe Participants,

Following our previous Trade Desk notification announcing 10 Gigabits per second (10G) network connectivity, BATS Europe would like to confirm pricing commencing 1st January 2011.

* For 10G, there will be a one-time £5,000 installation charge per physical port (network interface).

* There will be no monthly charge for a firm's first four physical ports into BATS Europe, this can be any combination of 10G, 1G or 100M ports.

* Firms with five or more physical ports will be charged £500 per incremental physical port per month, this applies for any speed of port.

Summary table: Per Physical Port

Installation

1G and below

Free

10G

£5,000

Monthly Charge

Ports 1-4 (any speed)

No monthly charge

Ports 5 or more (any speed)

£500 per port / per month

BATS Europe 2011 pricing is detailed on the BATS Europe pricing flyer available for download here: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing_Effective.pdf

Please read the Connectivity Manual for full details of supported interface specifications. Participants continue to pay all other connectivity charges including cross connects.

The above charges apply to all entities connecting to BATS Europe, including extranets, service bureau's and sponsored participants.

Please contact your Account Manager , Trade Desk or NOCeurope at BATS Europe if you have any further questions.

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

Thank you for trading on BATS Europe.

Trade Desk, BATS Europe

BATS ... 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 Europe Network Connectivity - Pricing

December 13, 2010 14:50:48

Dear BATS Europe Participants,

Following our previous Trade Desk notification announcing 10 Gigabits per second (10G) network connectivity, BATS Europe would like to confirm pricing commencing 1st January 2011.

* For 10G, there will be a one-time £5,000 installation charge per physical port (network interface).

* There will be no monthly charge for a firm's first four physical ports into BATS Europe, this can be any combination of 10G, 1G or 100M ports.

* Firms with five or more physical ports will be charged £500 per incremental physical port per month, this applies for any speed of port.

Summary table: Per Physical Port

Installation

1G and below

Free

10G

£5,000

Monthly Charge

Ports 1-4 (any speed)

No monthly charge

Ports 5 or more (any speed)

£500 per port / per month

BATS Europe 2011 pricing is detailed on the BATS Europe pricing flyer available for download here: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing_Effective.pdf

Please read the Connectivity Manual for full details of supported interface specifications. Participants continue to pay all other connectivity charges including cross connects.

The above charges apply to all entities connecting to BATS Europe, including extranets, service bureau's and sponsored participants.

Please contact your Account Manager , Trade Desk or NOCeurope at BATS Europe if you have any further questions.

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

Thank you for trading on BATS Europe.

Trade Desk, BATS Europe

BATS ... 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 Europe Network Connectivity - Pricing

December 13, 2010 14:50:48

Dear BATS Europe Participants,

Following our previous Trade Desk notification announcing 10 Gigabits per second (10G) network connectivity, BATS Europe would like to confirm pricing commencing 1st January 2011.

* For 10G, there will be a one-time £5,000 installation charge per physical port (network interface).

* There will be no monthly charge for a firm's first four physical ports into BATS Europe, this can be any combination of 10G, 1G or 100M ports.

* Firms with five or more physical ports will be charged £500 per incremental physical port per month, this applies for any speed of port.

Summary table: Per Physical Port

Installation

1G and below

Free

10G

£5,000

Monthly Charge

Ports 1-4 (any speed)

No monthly charge

Ports 5 or more (any speed)

£500 per port / per month

BATS Europe 2011 pricing is detailed on the BATS Europe pricing flyer available for download here: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing_Effective.pdf

Please read the Connectivity Manual for full details of supported interface specifications. Participants continue to pay all other connectivity charges including cross connects.

The above charges apply to all entities connecting to BATS Europe, including extranets, service bureau's and sponsored participants.

Please contact your Account Manager , Trade Desk or NOCeurope at BATS Europe if you have any further questions.

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

Thank you for trading on BATS Europe.

Trade Desk, BATS Europe

BATS ... 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 Europe Update to Trade Data File

November 30, 2010 11:56:22

Dear BATS Europe Participants

Effective Tuesday 7th December 2010, BATS Europe will apply the following change to the Participant human-readable Trade Data file available for download via the Participant web portal.

* Addition of the "Route Strategy" column. This new column will indicate the Smart Order Routing strategy that was used to execute the trade. This will appear as the last column in the trade data file.

Testing is available immediately via the Certification environment Participant web portal at: certification.batstrading.co.uk/account/trade_data/

For more information about this change or accessing this file, please contact the BATS Europe Trade Desk

BATS Europe Updates to Symbol Reference Data File

November 26, 2010 09:31:02

Dear BATS Europe Participants,

Effective Friday 10th December 2010, BATS Europe will make the following changes to the Symbol Reference Data CSV file available at: http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv.

* Amendment of the bloomberg_primary column (Column M) for Swiss and Spanish instruments - This column indicates the Bloomberg ticker for the instrument on its primary listing exchange. For Swiss and Spanish instruments, the exchange code suffix of the Bloomberg ticker will change from the consolidated exchange code to the primary line exchange code. Specifically, for Swiss instruments the exchange code will change from SW to SE, and for Spanish instruments the exchange code will change from SM to SQ.

* Addition of an asset_class column - This column will indicate whether the instrument is an ETF, Depositary Receipt or some other type of instrument. This additional column will be appended to the end of the CSV file.

It is recommended that anyone utilising the BATS Europe Symbol Reference Data file should confirm proper processing of the additional column prior to the final release on Friday 10th December 2010.

Testing is available immediately by means of the BATS Europe UAT reference data file available at: http://www.batstrading.co.uk/resources/symbollist/BATSTicks-CERT.csv.

Documentation

New Reference Data Spec:
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_Reference_Data-v1.5.pdf

UAT Reference Data file:
http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-CERT.csv

Production Reference Data file:
http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv

Please find attached the updated Reference Data Specification effective Friday 10th December 2010.

BATS Europe Introduces Parallel 2D Smart Order Routing Strategy

November 22, 2010 08:30:06

Dear BATS Europe Participants,

BATS Europe is pleased to announce the release of the new Parallel 2D routing strategy, effective Monday 22nd November, 2010. This new Parallel smart order routing strategy is an addition to the existing suite of BATS Europe Parallel routing products.

BATS Europe's Parallel routing strategies aim to help firms achieve best execution by aggressively routing to multiple pan-European market centres simultaneously, where the best price is available on multiple displayed market centres.

Parallel 2D - Fastest Execution

This strategy will simultaneously route to all price levels at all European displayed market centres up to the limit price. Enough size will be routed to each displayed market centre to fulfill the displayed quotes until the order size is exhausted up to the limit price. If the entire order cannot be fulfilled with the displayed quotes, the
remaining quantity will be split among the market centres using a BATS Europe over-allocation method.

IOC orders using any Parallel routing strategy will cancel after routing out to displayed market centres. Day orders will rest on the BATS Europe Integrated order book at their specified limit price after routing out to displayed market centres.

The default behaviour of the BATS Europe Smart Order Router (SOR) is to route away to Liquidity Partners (LPs) as well as to External Lit venues in order to provide Participants access to pan-European pools of hidden liquidity, in addition to displayed market centres.

Participants may choose to opt out of routing to LPs.

For more information on the Parallel strategies, please refer to the attached Smart Order Routing flyer.

Specifying a Routing Strategy

A character has been added to the 3rd position of FIX Tag 9303 (RoutingInst) to allow Participants to specify their preferred routing strategy:

3rd Character Routing Strategy

C CYCLE

D (default) Parallel-D

2 Parallel-2D

For more detail, please refer to the BATS Europe FIX specification .

Please note that BATS Europe offers Participants the option of having their FIX port(s) defaulted to exhibit a specified Parallel behaviour.

The new strategies are available in the BATS Europe Certification Environment effective immediately.

Pricing

Like CYCLE, Parallel routing is offered at the extremely low rate of 0.5bps* usage charge for routing to displayed market centres (Lit Venues), and 0.3bps* usage charge for routing to non-displayed market centres (LPs).

*For UK securities, the usage charge is 0.28bps for both Lit Venues and Liquidity Partners. For further detail on Pricing, please refer to the BATS Europe Pricing Schedule .

Usage

The BATS Europe SOR is only available to clients who are Participants of BATS Europe and who are classified as Eligible Counterparties. Participants who have not already signed the Client Order Routing Addendum and completed the SOR certification, will be required to do so.

Parallel routing is the latest enhancement to the BATS Europe SOR. Parallel complements BATS Europe's existing offering for accessing LPs and displayed market centres via the CYCLE and RECYCLE strategies. BATS Europe is committed to delivering advanced smart order routing solutions to participants in conjunction with our world-class matching engine. We welcome your feedback on this new routing strategy and any future strategies you would like to see from BATS Europe.

Please contact the Trade Desk or your Account Manager with any questions, to schedule your formal certification, or to complete the required Client Order Routing Addendum.

BATS Europe offers 10G network connectivity

November 19, 2010 09:06:46

Dear BATS Europe Participants,

BATS Europe is pleased to announce the availability of 10 Gigabits per second (10G) connectivity access to the BATS Europe MTF. This service is offered in addition to existing connectivity options which continue to be available. 10G ports will be available to all participants on an optional basis regardless of whether they are co-located or have a circuit into BATS Europe. 10G ports will also be available to extranet network providers.

Service availability

* BATS Europe Certification environment is available for 10G immediately.

* Participants will be able to test their Production 10G connectivity as of Wednesday 1st December, 2010. Connectivity will be limited to the secondary gig multicast PITCH feed (Gig B) and a single FIX port. During this period the primary multicast PITCH feed (Gig A) will remain the fastest market data feed and is only available via the existing 1G infrastructure.

* Production 10G access will go live Tuesday 4th January, 2011.

10G access into BATS Europe will be a chargeable optional service available to all participants. Pricing will be published in due course on the BATS Europe website.

Customers wishing to upgrade to 10G should contact their Account Manager or the BATS Europe NOC for further information.

BATS Europe Extends BATS+ SOR Order Type to Euronext and Deutsche Boerse Markets

November 01, 2010 08:03:09

Dear BATS Europe Participants

BATS Europe is pleased to announce the extension of the BATS+ Primary order type to include the NYSE Euronext markets (Paris, Amsterdam, Brussels & Lisbon) and the Deutsche Borse market, effective today Monday 1st November 2010.

Overview

The BATS+ Primary order type is available via the BATS Europe Smart Order Router (SOR). It is designed to give participants an alternative way to route orders destined for the Primary Exchange. Participants who flag orders for BATS+ Primary will access the BATS Europe Dark Pool and Integrated Book up to and including the limit price before aggressively routing to the relevant Primary Market. After routing, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC).

Pricing

Any quantity executed on NYSE Euronext or Deutsche Borse markets will be charged 0.50bps in line with the BATS Europe Parallel and Cycle routing Strategies. Any quantity executed on the BATS Europe markets will be charged or rebated in line with the standard BATS Europe price list linked below.

Details

Orders marked with RoutingInst(9303) = PP will be eligible for routing to the relevant Primary Market after accessing the BATS Europe Dark Pool and Integrated book.

BATS Europe also offers participants, upon request to the Trade Desk, the option of defaulting their FIX port(s) to the required RoutingInst (9303) behaviour.

The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants who have not already signed a Client Order Routing Addendum and completed the SOR certification, will be required to do so.

Please contact the Trade Desk or your Account Manager with questions regarding BATS+ (or other SOR products), to schedule your formal certification, or to complete the required Client Order Routing Addendum.

Documentation

* Pricing Flyer:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf

* Market Guide:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketGuide.pdf

* FIX spec:
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

BATS Europe Announces New Default Routing Strategy Effective October 1st, 2010

September 27, 2010 11:25:10

BATS Europe Announces New Default Routing Strategy Effective October 1st, 2010

BATS Europe is pleased to announce that effective Friday October 1st, 2010, the Parallel-D routing strategy will replace CYCLE as the default Routing Strategy for BATS Europe SOR orders.

Why the change?
Since Parallel-D was first introduced on September 7th, 2010, BATS Europe has observed that Parallel-D orders on average have realised significantly higher fill rates and created less market impact resulting in an improved routing experience for BATS Europe Participants using Parallel-D. See the BATS Europe website for full details on Parallel-D.

What does this mean to me?
For Participants who do not specify a parameter in the 3rd character position of tag 9303 (RoutingInst), that position will be changing from a default of C (CYCLE) to D (Parallel-D) effective October 1st, 2010. BATS Europe Participants who desire to continue to use CYCLE for their routing needs can specify FIX Tag 9303=RNC, 9303=RLC or 9303=RCC per the FESE Table 2 dynamic tick-table.

The complete Symbol Reference Data File and Tick Reference Data File can be found on our website at http://www.batstrading.co.uk/support/.

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

BATS Europe will launch Depository Receipt trading this Friday 24th September

September 22, 2010 16:39:39

Dear BATS Europe Participants

BATS Europe can confirm that it has now received regulatory approval for the trading of Depositary Receipts (DRs) and as such trading in DRs will launch on the BATS Europe Integrated Book and Dark Book effective this Friday 24th September.

Pricing

BATS Europe is also pleased to offer a pricing special for these new products until the end of 2010. Participants will receive a rebate of 0.28 basis points for adding DR liquidity to the BATS Europe Integrated Book and will be charged 0.28 basis points for removing DR liquidity. The DR pricing special extends also to the BATS Europe Smart Order Routing service with DR orders routed to the London Stock Exchange
International Order Book (IOB) being charged 0.28 basis points. Furthermore, the BATS Europe Dark Pool service will be extended to include DR instruments at the standard competitive rate of 0.15 basis points.

Trading Hours

BATS Europe will operate continuous trading order books in DRs during standard BATS Europe market hours, 08:00 and 16:30 (London time). Smart Order Routing to the London Stock Exchange International Order Book (IOB) will be available only during IOB continuous trading hours, 08:15 and 15:30 (London Time).

Clearing

DRs traded on BATS Europe will clear through EMCF and will be netted for settlement at Euroclear Bank. Participants are required to have an updated Statement of Authority (SoA) in place with EMCF. An "IDR" tick box for BATS Europe has been added to the SoA documentation currently on the EMCF website. Please contact your GCM or EMCF in order to update your SoA documentation.

Instrument list & Reference Data

The list of DRs will initially consist of 50 instruments as detailed in the table below.

UMTF code,Description,ISIN,Market,Currency,Primary Listing Bloomberg Code,TickSize

UMTF code,Description,ISIN,Market,Currency,Primary Listing Bloomberg Code,TickSize
GAZl Gazprom Neft JSC US36829G1076 XLON USD GAZ LI Equity fese2
SGGDl Surgutneftegas OJSC US8688612048 XLON USD SGGD LI Equity fese2
SVSTl Severstal OAO US8181503025 XLON USD SVST LI Equity fese2
NLMKl Novolipetsk Steel OJSC US67011E2046 XLON USD NLMK LI Equity fese2
EVRl Evraz Group SA US30050A2024 XLON USD EVR LI Equity fese2
HYDRl Federal Hydrogenerating Co US4662941057 XLON USD HYDR LI Equity fese2
SSAl Sistema JSFC US48122U2042 XLON USD SSA LI Equity fese2
ATADl Tatneft US6708312052 XLON USD ATAD LI Equity fese2
LKODl Lukoil OAO US6778621044 XLON USD LKOD LI Equity fese2
OGZDl Gazprom OAO US3682872078 XLON USD OGZD LI Equity fese2
MNODl MMC Norilsk Nickel US46626D1081 XLON USD MNOD LI Equity fese2
NVTKl NovaTek OAO US6698881090 XLON USD NVTK LI Equity fese2
VTBRl VTB Bank OJSC US46630Q2021 XLON USD VTBR LI Equity fese2
MMKl Magnitogorsk Iron & Steel Works US5591892048 XLON USD MMK LI Equity fese2
ROSNl Rosneft Oil Co US67812M2070 XLON USD ROSN LI Equity fese2
URKAl Uralkali US91688E2063 XLON USD URKA LI Equity fese2
SMSNl Samsung Electronics Co Ltd US7960508882 XLON USD SMSN LI Equity fese2
OTLDl Orascom Telecom Holding SAE US68554W2052 XLON USD OTLD LI Equity fese2
ORSDl Orascom Construction Industries US68554N1063 XLON USD ORSD LI Equity fese2
TMKSl TMK OAO US87260R2013 XLON USD TMKS LI Equity fese2
FIVEl X5 Retail Group NV US98387E2054 XLON USD FIVE LI Equity fese2
RIGDl Reliance Industries Ltd US7594701077 XLON USD RIGD LI Equity fese2
MGNTl Magnit OJSC US55953Q2021 XLON USD MGNT LI Equity fese2
PLZLl Polyus Gold Co US6781291074 XLON USD PLZL LI Equity fese2
SBIDl State Bank of India US8565522039 XLON USD SBID LI Equity fese2
KMGl KazMunaiGas Exploration Production US48666V2043 XLON USD KMG LI Equity fese2
CMSTl Comstar United Telesystems OJSC US47972P2083 XLON USD CMST LI Equity fese2
PIKl PIK Group US69338N2062 XLON USD PIK LI Equity fese2
HSBKl Halyk Savings Bank of Kazakhstan JSC US46627J3023 XLON USD HSBK LI Equity fese2
PHSTl Pharmstandard US7171402065 XLON USD PHST LI Equity fese2
CBKDl Commercial International Bank Egypt SAE US2017122050 XLON USD CBKD LI Equity fese2
GLTRl Globaltrans Investment PLC US37949E2046 XLON USD GLTR LI Equity fese2
LSRGl LSR Group US50218G2066 XLON USD LSRG LI Equity fese2
LTODl Larsen & Toubro Ltd USY5217N1183 XLON USD LTOD LI Equity fese2
HHPDl Hon Hai Precision Industry Co Ltd US4380902019 XLON USD HHPD LI Equity fese2
EDCLl Eurasia Drilling Co Ltd US29843U2024 XLON USD EDCL LI Equity fese2
INTEl Integra Group Holdings US45822B2051 XLON USD INTE LI Equity fese2
NCSPl Novorossiysk Commercial Sea Port PJSC US67011U2087 XLON USD NCSP LI Equity fese2
SLEDl Solidere US5223862005 XLON USD SLED LI Equity fese2
PMTLl Polymetal OOO US7317892021 XLON USD PMTL LI Equity fese2
BLBDl BLOM Bank SAL US0936881095 XLON USD BLBD LI Equity fese2
EFGDl Egyptian Financial Group-Hermes Holding US2684254020 XLON USD EFGD LI Equity fese2
RKMDl Rostelecom OJSC US7785291078 XLON USD RKMD LI Equity fese2
ZKMl Zhaikmunai LP US98952U2042 XLON USD ZKM LI Equity fese2
BQADl Banque Audi sal- Audi Saradar Group US0667053021 XLON USD BQAD LI Equity fese2
KKBl Kazkommertsbank US48666E6086 XLON USD KKB LI Equity fese2
VICOl Vimetco NV US92718P2039 XLON USD VICO LI Equity fese2
BGEOl Bank of Georgia JSC US0622692046 XLON USD BGEO LI Equity fese2
AFIDl AFI Development PLC US00106J2006 XLON USD AFID LI Equity fese2
GRTBl Guaranty Trust Bank PLC US40124Q2084 XLON USD GRTB LI Equity fese2

The updated instrument universe is available for testing in the BATS Europe Certification Environment effective immediately.

All DRs on BATS Europe will utilise the Symbol Reference Data File and Tick Reference Data File can be found on our website at http://www.batstrading.co.uk/support/.

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

BATS Pan European Market Share Display Adds Dark Pool Data

September 08, 2010 07:49:09

Dear BATS Europe Participants

BATS Europe is pleased to announce the addition of major dark pool execution venues to its existing widely referenced FREE pan European market share display.

The view can be accessed via this link Pan-European Market Share Display

The online market share display now includes near real-time notional value and volume summaries for dark order books operated by BATS Europe, Instinet BlockMatch, Chi-X, Liquidnet, Nomura NX, ITG Posit, Smartpool and Turquoise. The market share display also includes major European lit order books, and has been further enhanced to include Burgundy and Equiduct market share information.

The display provides near real-time (delayed by 15 minutes, refreshed every minute) notional value and volume summaries for BATS Europe, as well as other major European exchanges and MTFs. The display more specifically provides a range of key features for monitoring liquidity both intraday and historically. This includes:

* Near real-time European Equities Trading liquidity monitor by index, market and venue for both Lit and Dark Order Books

* Existing day or 5 day average view available using options above table

* Historical download links provided for trend monitoring

* Graphs are available when a Trading Venue or Index name is clicked

* Options for toggling displayed data between Value and % Share as well as viewing data with or without the primary Exchange opening and closing auctions

The market share display is computed by monitoring major European stock exchanges, MTF and other trading venue market data feeds, and summarising order book executions from each market centre.

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

BATS Europe Introduces Parallel Smart Order Routing Strategies

September 07, 2010 13:36:39

Dear BATS Europe Participants

BATS Europe is excited to announce the release of two new Parallel routing strategies. BATS Europe's Parallel routing strategies aim to help firms achieve best execution by aggressively routing to multiple pan-European venues simultaneously, where the best price is available on multiple venues.

Parallel-D (Depth) - Best Price (effective immediately)

This strategy will simultaneously route to all European market centres with a quote at each price level up to the limit price. Each price level will be exhausted at all market centres before moving onto the next price level. Where required, the BATS Europe Smart Order Router (SOR) will make multiple passes at a price level. If the order size is larger than the sum of displayed quotes at a price level then the remaining quantity will be split among the market centres using a BATS Europe over-allocation method.

Parallel-2D - Fastest Execution (coming soon)

This strategy will simultaneously route to all price levels at all European market centres up to the limit price. This strategy will route enough size to each market centre to fulfill the displayed quotes until the order size is exhausted up to the limit price. If the entire order cannot be fulfilled with the displayed quotes, the remaining quantity will be split among the market centres using a BATS Europe over-allocation method.

Standard Parallel Routing Behaviour

IOC orders using any of the new parallel routing strategies will cancel after routing out to away European venues. Day orders will rest on the BATS Europe Integrated order book at their specified limit price after routing out to away European market centres.

The default behaviour of the BATS Europe SOR is to route away to Liquidity Partners (LPs) as well as to External Lit venues in order to provide Participants access to pan-European pools of hidden liquidity, in addition to displayed European market centres.

Participants may opt out of routing to LPs.

For more information on the Parallel strategies, please refer to the attached Smart Order Routing flyer.

Specifying a Routing Strategy

A character has been added to the 3rd position of FIX Tag 9303 (RoutingInst) to allow Participants to specify their preferred routing strategy.

3rd Character Routing Strategy

C (default) CYCLE

D Parallel-D

2 Parallel-2D

For more detail, please refer to the BATS Europe FIX specification .

Please note that BATS Europe offers participants the option of having their FIX port(s) defaulted to exhibit a specified Parallel behaviour.

The new strategies are available in the BATS Europe Certification Environment effective immediately.

Pricing

Like CYCLE & RECYCLE, Parallel will be offered at the extremely low rate of 0.5bps* usage charge for routing to displayed market centres (Lit Venues), and 0.3bps* usage charge for routing to non-displayed market centres (LPs).

*For UK securities, the usage charge is 0.28bps for both Lit Venues and Liquidity Partners. For further detail on Pricing, please refer to the BATS Europe Pricing Schedule .

Usage

The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification.

Parallel is the latest enhancement to the BATS Europe SOR. Parallel complements BATS Europe's existing offering for accessing LPs and displayed market centres via the CYCLE and RECYCLE strategies. BATS Europe is committed to delivering advanced smart order routing solutions to participants in conjunction with our world-class matching engine. We welcome your feedback on this new routing strategy and any future strategies you would like to see from BATS Europe.

Please contact the Trade Desk or your Account Manager with any further questions, to schedule your formal certification, or to complete the required Client Order Routing Addendum.

BATS Europe Modifies Handling of Iceberg Orders on PITCH market data feed

August 12, 2010 13:07:12

Dear Participant,

Summary

In response to customer feedback, effective Friday August 20th, 2010, BATS Europe will modify the representation of iceberg orders in the PITCH market data feed. This change follows BATS Europe's obfuscation of OrderIDs, with participant ability to opt-out, for all trade messages generated from non-displayed liquidity on the BATS Europe MTF which took effect June 18th, 2010.

This change to better protect iceberg orders includes the following:

1. Separation of the displayed and non-displayed portions of an execution against an iceberg order into two (2) executions.

2. One execution will represent the displayed size and carry the OrderID. The second execution will represent the hidden size executed and will have an obfuscated OrderID so that the displayed and hidden executions cannot be linked.

3. The execution against the hidden portion of the order will be reported after displayed, non-displayed, and peg executions at the same price matching the priority of the orders according to the BATS Europe Participant Manual.

4. When the displayed portion of the iceberg order is refreshed, the order will be assigned a new OrderID on the PITCH feed.

Technical Details

PITCH 2.0 (Multicast)

ExecuteAtPriceAndSize ( 0x24 ) will no longer be used to report executions where the executed size is not equal to the displayed decrement size. Instead the trade against an iceberg order will be reported as an Execution ( 0x23 ) of the displayed portion, followed by other displayed, non-displayed, and peg executions if applicable,
followed by a Trade (0x2A or 0x2B) with an obfuscated OrderID, followed by an Add Order (0x21 or 0x22) with a new OrderID when the remainder is nonzero.

PITCH 1.0 (TCP)

A combination of Cancel ( X or x) + Trade ( P or p ) + Add ( A or a ) will no longer be used to report executions where the executed size is not equal to the displayed decrement size. Instead the trade against an iceberg order will be reported as an Execution ( E or e ) of the displayed portion, followed by other displayed, non-displayed, and peg executions if applicable, followed by a Trade ( P or p ) with an
obfuscated OrderID, followed by an Add Order ( A or a ) with a new OrderID when the remainder is nonzero.

As no new fields, message types, or use cases are being introduced in either protocol, no change is required of PITCH feed recipients.

Testing

Testing will be available in the BATS Europe certification environment effective Wednesday August 18th, 2010.

Documentation

http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

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

BATS Europe OrderID Obfuscation Update

June 15, 2010 12:00:58

Dear BATS Europe Participants

Summary

Following participant demand, effective Friday, June 18th, 2010, BATS Europe will obfuscate (i.e. apply a unique new Order ID to) all trade messages generated from non-displayed liquidity on the BATS Europe Integrated book, including executions from hidden orders. As part of this change, OrderIDs from trade messages generated from the Dark Pool will be obfuscated in the same manner.

By default, OrderIDs on trade messages will be obfuscated in the data feed. Participants who do not wish for their orders to be subject to this change may opt-out, via request to the Trade Desk.

Update

For this initial release, BATS Europe will not change the handling of iceberg orders in order to allow more time to fully analyze and implement an optimal solution.

We anticipate a follow up release to address the handling of OrderIDs related to iceberg orders later this summer. Thus, the change to the PITCH feed for June 18, 2010, will NOT include different message types or sequencing specifically related to iceberg orders as was previously announced.

Testing

Testing is available in the BATS Europe certification environment effective immediately.

Documentation

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketGuide.pdf

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

BATS Europe Offers Obfuscated Order ID Option on Equities PITCH Feeds

June 09, 2010 13:01:08

Dear BATS Europe Participants,

Following participant demand, effective Friday 18th June 2010, BATS Europe will obfuscate the OrderID for all trade messages generated from non-displayed liquidity in the BATS Europe Integrated book, including executions from both hidden and reserve orders. As part of this change, OrderIDs from trade messages generated from the Dark Pool will be obfuscated in the same manner.

By default, these OrderIDs will be obfuscated in the data feed.

Participants who do not wish for their orders to be subject to this change may opt-out, via request to the Trade Desk.

Technical Overview

PITCH 2.0 ( Multicast )

ExecuteAtPriceAndSize ( 0x24 ) will no longer be used to report executions where the executed size is not equal to the displayed decrement size.

Instead the execution will be reported as a Trade ( 0x2A, 0x2B or 0x30 ) followed by a Modify ( 0x27 or 0x28 ) when the remainder is nonzero or Delete ( 0x29 ) when the remainder is zero.

PITCH 1.0 ( TCP )

A combination of Cancel ( X ) + Trade ( P or p ) + Add ( A or a ) will no longer be used to report executions where the executed price is not equal to the displayed price or where the executed size is not equal to the displayed decrement size. The final add is not present when there is no remainder.

Instead the execution will be reported as Trade ( P or p ) + Cancel ( X or x ) + Add ( A or a ). The final add is not present when there is no remainder.

For both protocols, the OrderID of the Trade event will be unique for that trade event (unless the order entry firm has opted out of hidden OrderID obfuscation).

Also for both protocols, because of the ordering change, it is possible for an execution of a fully or partially displayed order where the executed price is not equal to the displayed price or where the executed size is not equal to the displayed decrement size and where the order entry firm has opted out of OrderID obfuscation for the OrderID of a Trade to match the OrderID of an order on book. While this should not break a compliant feed handler, it is a situation that would not have
happened before. Implementations should be checked

Testing

Testing is available in the BATS Europe UAT environment effective Thursday 10th June 2010.

Documentation

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

*
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf

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

BATS Europe Self-Match Clearing Suppression

June 04, 2010 07:30:51

Dear BATS Europe Participants

BATS Europe announces the launch of its Self-Match Clearing Suppression facility, available from today Friday 4th June 2010.

Overview

BATS Europe has introduced the facility to suppress the reporting to the Central Counterparty (CCP) of self-matched trades that are executed on the BATS Europe Integrated Book or Dark Pool. With Self-Match Clearing Suppression, a participant matching against itself has the option to request the suppression of the clearing instruction sent to the relevant CCP. At this stage, Self-Match Clearing Suppression is available for all markets with the exception of the UK and Ireland.

BATS Europe has also made available a new order type with immediate effect called BATS Dark Self Cross (BDSX). With BDSX, a participant can enter a non-displayed order that will only match against another order from the same participant. As with all orders in the Dark Pool, BDSX orders will only cross at the reference price (the midpoint of the PBBO). Self-Match Clearing Suppression functionality can be used with
BDSX.

Details

Self-Match Clearing Suppression
When Self-Match Clearing Suppression has been applied, via a request to the Trade Desk, no clearing instruction will be sent to the CCP for trades that match at the Firm, ClearingID, and at the CCP Account (House or Client) level. Self-Match Clearing Suppression is available on an opt-in basis for specific Listing Markets in the BATS Europe Integrated Book and Dark Pool. Trade reports will continue to be published in the market data feed.

BDSX (BATS Dark Self Cross)
BDSX orders are non-displayed orders and are only available in the BATS Europe Dark Pool. BDSX orders do not need to be Large In Scale (LIS) and will only interact with other BDSX orders which have been tagged in the same manner using CrossFlag (7740) and from the same participant. BDSX orders will only match at the reference price (the midpoint of the PBBO) and BDSX executions are represented as trades on BATS Europe's market data feeds in the same manner as other trades in the BATS Europe Dark Pool. BDSX orders must be midpoint peg orders, have RoutingInst (9303) = BX, and have CrossFlag (7740) set to either F (cross only at the Participant level) or M (cross only at the Trading Firm level).

Testing

All the above functionality is available for testing in the BATS Europe UAT environment effective immediately.

Documentation

* Pricing Flyer:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf

* FIX spec:
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

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

BATS Europe Introduces BATS+ SOR Order Type

June 01, 2010 07:33:19

Dear BATS Europe Participants

BATS Europe is excited to announce the release of the BATS+ Primary order type which is available via the BATS Europe Smart Order Router (SOR) effective today Tuesday 1st June 2010.

Overview

The BATS+ Primary order type is designed to access the BATS Europe Dark Pool and Integrated Book up to and including the limit price before aggressively routing to the relevant Primary Market. After routing, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC). BATS+ Primary will initially be made available for BATS+ LSE (UK listed securities only).

Details

Orders marked with RoutingInst(9303) = PP, will be eligible for routing to the relevant Primary Market after accessing the BATS Europe Dark Pool and Integrated book.

BATS+ LSE orders will first access the BATS Europe Dark Pool at the midpoint of the PBBO at a low 0.15 bps usage charge, before accessing the BATS Europe Integrated Book up to and including the limit price at a low 0.28 bps remove rate. The BATS Europe SOR will then aggressively route to the LSE up to and including the limit price with a low routing fee of 0.28 bps for UK listed securities. Any remainder after routing
will post on the BATS Europe Integrated Book unless the order is marked IOC.

In line with the above BATS+ LSE pricing, BATS Europe will also reduce to 0.28 bps the fee to trade all externally routed UK-listed securities via the existing BATS Europe CYCLE and RECYCLE routing strategies.

BATS Europe offers participants, via request to the Trade Desk, the option of defaulting their FIX port(s) to exhibit the required RoutingInst (9303) behaviour.

The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification.

Testing

The new order types will be available for testing in the BATS Europe UAT environment effective immediately.

Documentation

* Pricing Flyer:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf

* SOR Product spec:
http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_SOR.pdf

* FIX spec:
http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

Please contact the Trade Desk or your Account Manager with questions regarding BATS+ (or other SOR products), to schedule your formal certification, or to complete the required Client Order Routing Addendum.

UPDATE: BATS Europe Dark Pool Order ID Update

May 24, 2010 08:19:20

Dear BATS Europe Participants

BATS Europe can confirm that changes made to obscure Order IDs was implemented successfully for trading today on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds. For further details see notice below from Thursday 20th May.

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

---------------------------------------------------------------------------------------

Dear BATS Europe Participants

Following participant demand, effective Monday 24th May 2010, BATS Europe will obscure the Order ID on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds.

Technical Overview
The Trade Message for both TCP and Multicast PITCH feeds provides information about the execution of Hidden Liquidity within the Dark Pool. Dark Pool Trade Messages are not associated with any corresponding Quote Message and as a result do not alter the book but are necessary to calculate execution based data. As of Monday 24th May 2010, Dark Pool Trade Message Order IDs will no longer be exposed but instead be obscured with zeros.

Sample TCP PITCH Trade Message.
Current Format:
S28809783P111WC5A030E5B000119NOVOBc0004616500000DC9800008

New Format:
S28809783P000000000000B000119NOVOBc0004616500000DC9800008

Testing
Testing is available in the BATS Europe UAT environment effective Friday 21st May 2010.

Documentation

  • http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf

  • BATS Europe Dark Pool Order ID Update

    May 20, 2010 17:25:48

    Dear BATS Europe Participants

    Following participant demand, effective Monday 24th May 2010, BATS Europe will obscure the Order ID on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds.

    Technical Overview
    The Trade Message for both TCP and Multicast PITCH feeds provides information about the execution of Hidden Liquidity within the Dark Pool. Dark Pool Trade Messages are not associated with any corresponding Quote Message and as a result do not alter the book but are necessary to calculate execution based data. As of Monday 24th May 2010, Dark Pool Trade Message Order IDs will no longer be exposed but instead be obscured with zeros.

    Sample TCP PITCH Trade Message.
    Current Format:
    S28809783P111WC5A030E5B000119NOVOBc0004616500000DC9800008

    New Format:
    S28809783P000000000000B000119NOVOBc0004616500000DC9800008

    Testing
    Testing is available in the BATS Europe UAT environment effective Friday 21st May 2010.

    Documentation
    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf

    BATS Europe Update to Symbol Reference Data File

    May 19, 2010 15:58:34

    Dear BATS Europe Participants,

    In an effort to improve upon our Symbol Reference Data, BATS Europe will be adding the following columns to the Symbol Reference Data CSV file from Wednesday 2nd June 2010.

    * Live Date - The date the instrument went live or will go live on BATS Europe in YYYY-MM-DD format.

    * Bloomberg Primary - The Bloomberg ticker for this instrument on the primary listing exchange.

    * Bloomberg BATS - The Bloomberg ticker for this instrument on BATS Europe (" EB" Bloomberg exchange code).

    * MiFID Share - Either "t" or "f". If "t" then this instrument is a share admitted to trading on EU Regulated Markets under MiFID.

    The additional columns will be appended to the end of the CSV file with no changes being made to existing columns. It is recommended that anyone utilizing the BATS Europe Symbol Reference Data file should confirm proper processing of the additional columns prior to the final release on Wednesday 2nd June 2010.

    Testing will be available from Thursday 20th May 2010 by means of the BATS Europe UAT reference data.

    Documentation
    * Reference Data Spec: http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_Reference_Data-1.4.pdf

    * Production Reference Data: http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv

    * UAT Reference Data: http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-CERT.csv.

    Please find attached the updated Reference Data Specification effective Wednesday 2nd June 2010.

    BATS Europe Final Reminder - Spec Update: Increase Max Order Qty

    May 17, 2010 11:34:37

    Dear BATS Europe Participants

    As a reminder, effective Friday 28th May 2010, BATS Europe will increase
    the maximum allowed order size to 99,999,999 shares from 999,999 shares.
    Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIX
    Drop services should confirm their software applications are prepared to
    process messages with the increased order size.

    Technical Overview

    FIX / FIX Drop

    * These services will be the least impacted but Participants
    should ensure they are able send and receive size related tags such as
    FIX tags 38 (OrderQty) and 151 (LeavesQty).

    * All Participants must contact the BATS Europe Trade Desk to
    enable large order sizes on their FIX order entry sessions. A default
    max order size of 100,000 shares is applied to all FIX sessions that
    have not been increased per Participant request.

    PITCH / FAST PITCH

    * Long Form messages, as currently identified in the PITCH
    specification
    es\BATS_Europe_PITCH_Specification.pdf> , will be received down the
    feeds for any messages where the order size is greater than 999,999. All
    messages with less than 1,000,000 shares will continue to utilize the
    standard messages.

    * Long Form messages allow for an order size of 9,999,999,999
    shares but will only be populated with a maximum of 99,999,999 shares.
    Any of the remaining offsets will be front padded with zeros (0) up to
    the order quantity.

    * Long Form messages also allow for large prices of 19 digits
    (12.7) but will NOT be utilized and will always reflect the current max
    size of 10 digits (6.4) and the remaining offsets, left and right of the
    decimal, will be padded accordingly with zeros (0).

    Multicast PITCH

    * No impact to MC PITCH messages as Long Format messages for
    large sizes have been utilized in the feed since its inception.

    Drop

    * Participants using Standard Drop feeds will be required to
    increase the size value of offset 105 from 6 characters to 8 characters.
    All fields following will be shifted by two spaces accordingly.

    Testing

    The increased order size is currently available for testing in the BATS
    Europe Certification environment. Please contact the BATS Europe Trade
    Desk to enable large order sizes on UAT FIX order entry sessions.

    Documentation

    *
    http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe
    _FIX_Specification.pdf

    *
    http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe
    _PITCH_Specification.pdf

    *
    http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe
    _FAST_PITCH_Specification.pdf

    *
    http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe
    _DROP_Specification.pdf

    BATS Europe Reminder - Spec Update: Increase Max Order Qty

    April 29, 2010 17:24:05

    Dear BATS Europe Participants

    As a reminder, effective Friday 28th May 2010, BATS Europe will increase the maximum allowed order size to 99,999,999 shares from 999,999 shares. Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIX Drop services should confirm their software applications are prepared to process messages with the increased order size.

    Technical Overview

    FIX / FIX Drop

    * These services will be the least impacted but Participants should ensure they are able send and receive size related tags such as FIX tags 38 (OrderQty) and 151 (LeavesQty).

    * All Participants must contact the BATS Europe Trade Desk to enable large order sizes on their FIX order entry sessions. A default max order size of 100,000 shares is applied to all FIX sessions that have not been increased per Participant request.

    PITCH / FAST PITCH

    * Long Form messages, as currently identified in the PITCH specification
    , will be received down the feeds for any messages where the order size is greater than 999,999. All messages with less than 1,000,000 shares will continue to utilize the standard messages.

    * Long Form messages allow for an order size of 9,999,999,999 shares but will only be populated with a maximum of 99,999,999 shares. Any of the remaining offsets will be front padded with zeros (0) up to the order quantity.

    * Long Form messages also allow for large prices of 19 digits (12.7) but will NOT be utilized and will always reflect the current max size of 10 digits (6.4) and the remaining offsets, left and right of the decimal, will be padded accordingly with zeros (0).

    Multicast PITCH

    * No impact to MC PITCH messages as Long Format messages for large sizes have been utilized in the feed since its inception.

    Drop

    * Participants using Standard Drop feeds will be required to increase the size value of offset 105 from 6 characters to 8 characters. All fields following will be shifted by two spaces accordingly.

    Testing

    The increased order size is currently available for testing in the BATS Europe Certification environment.

    Documentation

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf

    BATS Europe UAT Environment Update: Multicast PITCH

    April 26, 2010 16:52:41

    Dear BATS Europe Participants,

    Effective Monday 3rd May 2010 BATS Europe will update the Multicast PITCH feeds in our Certification Environment by adding an additional 10 Units. This will change the Certification Multicast PITCH feeds to match the Production Multicast PITCH feeds more closely. In preparation for this update we will be shutting down the Certification system as of 13:00 London Time for Friday 30th April 2010.

    No changes will be made to the BATS Europe Production Multicast PITCH feeds as a result of this change.

    All BATS Europe participants with Certification Multicast PITCH ports should take note of the following:

    * The existing two IP Ports (31001, 31002) WILL NOT be available from the effective date of 3rd May 2010 with no further data being received. An additional 12 Multicast PITCH ports utilizing IP Port ranges from 32001 - 32012 will be issued.

    * Existing Spin Ports (18998, 18999) for Units 1 & 2 WILL continue to be utilized. An additional 10 Spin ports utilizing IP Port ranges from 18985 - 18995 will be issued for Units 3 - 12 to be used in conjunction with the existing two Spin IP Ports (18998, 18999).

    * NO changes will be made to participant's Gap request ports.

    Current Certification setup

    Certification setup effective Monday 3rd May 2010

    The BATS Europe Multicast PITCH Specification with updated Certification multicast addresses and ports can be found at http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe
    _MC_PITCH_Specification_effective.pdf

    Contact the BATS Trade Desk or your account manager with any questions about the Multicast PITCH feed or the changes being made to the Certification environment.

    BATS Europe Reminder: Updating Trading At Last Order Type

    April 14, 2010 09:59:01

    Dear BATS Europe Participants

    As a reminder to all BATS Europe Participant's, from Friday 16th April 2010, BATS Europe will expand its afterhours trading services to include constituents of the CAC 40 and DAX indices, in addition to the current FTSE 100 constituents, for both Trading At Last (TAL) and Market On Close (MOC) services. BATS Europe has also minimised development work required to access the afterhours TAL service by allowing participants to use regular Market and Limit order types along with the existing Market on Close and Limit On Close order types.

    The MOC and TAL service continue to be offered free of charge to all BATS Europe Participants, allowing participants to drastically reduce the cost of transacting closing business when compared against other market venues.

    Technical Overview

    * All Market on Close, Limit On Close, Market and Limit orders submitted to BATS Europe after the Official Closing Price has been disseminated by the Listing Market (~16:35), will be available for execution at the Official Closing Price.

    * If a participant specifies a limit price better than the Official Closing Price, their order will be rejected.

    * All executions will occur at the Official Closing Price.

    * Participants may indicate whether an order is hidden or displayed by using Tag 9479 (DisplayIndicator) of I (Invisible) or X (Displayed). By default, all orders submitted during the TAL phase will be displayed.

    UAT Testing

    The extended markets and order types, for both TAL and MOC services, are currently available for testing purposes in the BATS Europe Certification environment.

    The Certification environment schedules an MOC Cross phase every 15 minutes per the following schedule:

    hh:00/15/30/45 MOC Cross phase starts
    hh:05/20/35/50 Closing Price is simulated, signalling an the end to MOC Cross phase and the start of Trading at Last phase
    hh:10/25/40/55 Trading at Last phase ends, all orders are expired and the book is cleared for next MOC Cross

    Where hh is 08-18 (i.e. an MOC Cross starts every 15 minutes).

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

    ARMl (230.00), GKNl (120.00), ULVRl (2000.00), YELLl (40.00), RMSp (104.00) and MRKd (60.00)

    Documentation

    * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketOnClose.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_AHT.pdf

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

    BATS Europe Spec Update: Increase Max Order Qty

    April 08, 2010 14:47:40

    Effective Friday 28th May 2010, BATS Europe will increase the maximum allowed order size to 99,999,999 shares from 999,999 shares. Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIX Drop services should confirm their software applications are prepared to process messages with the increased order size.

    Technical Overview
    FIX / FIX Drop
    * These services will be the least impacted but Participants should ensure they are able send and receive size related tags such as FIX tags 38 (OrderQty) and 151 (LeavesQty) for example.

    PITCH / FAST PITCH
    * Long Form messages, as currently identified in the PITCH specification
    http:/www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf , will be received down the feeds for any messages where the order size is greater than 999,999. All messages with less than 1,000,000 shares will continue to utilize the standard messages.
    * Long Form messages allow for an order size of 9,999,999,999 shares but will only be populated with a maximum of 99,999,999 shares. Any of the remaining offsets will be front padded with zeros (0) up to the order quantity.
    * Long Form messages also allow for large prices of 19 digits (12.7) but will NOT be utilized and will always reflect the current max size of 10 digits (6.4) and the remaining offsets, left and right of the decimal, will be padded accordingly with zeros (0).

    Multicast PITCH
    * No impact to MC PITCH messages as Long Format messages for large sizes have been utilized in the feed since its inception.

    Drop
    * Participants using Standard Drop feeds will be required to increase the size value of offset 105 from 6 characters to 8 characters. All fields following will be shifted by two spaces accordingly.

    Testing
    The increased order size will be available for testing in the BATS Europe Certification environment from Monday 19th April 2010.

    Documentation
    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf
    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf
    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf
    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf

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

    BATS Europe Update: Trading At Last Order Type

    March 26, 2010 16:14:01

    Dear BATS Europe Participants

    From Friday 16th April 2010, BATS Europe will expand its afterhours trading services to include constituents of the CAC 40 and DAX indices, in addition to the current FTSE 100 constituents, for both Trading At Last (TAL) and Market On Close (MOC) services. BATS Europe has also minimised development work required to access the afterhours TAL service by allowing participants to use regular Market and Limit order types along with the existing Market on Close and Limit On Close order types.

    The MOC and TAL service continue to be offered free of charge to all BATS Europe Participants, allowing participants to drastically reduce the cost of transacting closing business when compared against other market venues.

    Technical Overview

    * All Market on Close, Limit On Close, Market and Limit orders submitted to BATS Europe after the Official Closing Price has been disseminated by the Listing Market (~16:35), will be available for execution at the Official Closing Price.

    * If a participant specifies a limit price better than the Official Closing Price, their order will be rejected.

    * All executions will occur at the Official Closing Price.

    * Participants may indicate whether an order is hidden or displayed by using Tag 9479 (DisplayIndicator) of I (Invisible) or X (Displayed). By default, all orders submitted during the TAL phase will be displayed.

    UAT Testing

    The extended markets and order types, for both TAL and MOC services, are currently available for testing purposes in the BATS Europe Certification environment.

    The Certification environment schedules an MOC Cross phase every 15 minutes per the following schedule:

    hh:00/15/30/45 MOC Cross phase starts
    hh:05/20/35/50 Closing Price is simulated, signalling an the end to MOC Cross phase and the start of Trading at Last phase
    hh:10/25/40/55 Trading at Last phase ends, all orders are expired and the book is cleared for next MOC Cross

    Where hh is 08-18 (i.e. an MOC Cross starts every 15 minutes).

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

    ARMl (230.00), GKNl (120.00), ULVRl (2000.00), YELLl (40.00), RMSp (104.00) and MRKd (60.00)

    Documentation

    * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketOnClose.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

    * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_AHT.pdf

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

    BATS Europe Introduces Aggressive Smart Routing Strategy (RECYCLE)

    March 19, 2010 11:36:08

    Dear BATS Europe Participants

    BATS Europe is pleased to announce a new routing strategy, RECYCLE, effective Monday 22nd March 2010. RECYCLE is designed to aggressively re-route a CYCLE order which becomes locked or crossed by another market centre's quote.

    RECYCLE is distinct from CYCLE which, after routing, leaves the order resting on the BATS Europe Integrated book until it is either matched with an incoming order to the BATS Europe Integrated Book, or cancelled.

    A RECYCLE order targets quotes from other market centres that lock or cross the order, whilst matching or improving upon the limit price specified. This behaviour occurs whenever BATS Europe receives an updated quote from another market centre that locks OR crosses the order resting on the BATS Europe Integrated Book. Re-routing may continue until the order is completely filled. To use RECYCLE please specify one of the following:

    * Route off the Integrated Book if another market centre locks or crosses the order (FIX Tag 9303="RL").

    * Route off the Integrated Book if another market centre only crosses the order (FIX Tag 9303="RC").

    Please note that BATS Europe offers participants the option of having their FIX port(s) defaulted to a specified RECYCLE behaviour.

    Please refer to the attached Smart Order Routing flyer for an example of where an order with 9303="RL" is resting on the BATS Europe Integrated Book at its limit price after an initial CYCLE attempt.

    RECYCLE is the latest enhancement to the BATS Europe Smart Order Router. RECYCLE complements BATS Europe's existing offering for accessing displayed and non-displayed market centres via CYCLE. BATS Europe is committed to delivering advanced smart order routing solutions to participants in conjunction with our world-class matching engine. We welcome your feedback on this new routing strategy and any future strategies you would like to see from BATS Europe.

    Like CYCLE, RECYCLE will be offered at the extremely low route rate of 0.5 bps usage charge for routing to displayed market centres (Lit Venues), and 0.3 bps usage charge for routing to non-displayed market centres (Liquidity Partners (LPs)).

    The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification.

    Testing will be made available in the BATS Europe Certification Environment as of Monday 22nd March 2010. Please refer to the latest BATS Europe FIX specification (http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf) for full details on how to use RECYCLE. For more detail on BATS Europe SOR offerings please refer to http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_SMO.pdf.

    Please contact the Trade Desk or your Account Manager if you have any questions, to schedule your formal certification or to complete the required Client Order Routing Addendum.

    Reminder: BATS Europe Update to Symbol Reference Data File

    March 09, 2010 08:17:06

    Dear BATS Europe Participants,

    As a reminder from Friday 12th March 2010, BATS Europe will be applying the following changes to the Reference Data - Live Symbols CSV file available for download at http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv.

    * BATS Previous Close will be added as the last column.

    The Reference Data - Live Symbols file is generated each morning providing the previous day's closing price which will be determined as defined in the BATS Europe Rule Book . The BATS Europe Previous Close is the price of the last
    transaction on BATS Europe on that day. If there are no transactions in a security on a given day, the previous BATS Europe closing price will be used. For new instruments or if a transaction has never occurred on BATS Europe, for a particular instrument, the BATS Previous Close price will be blank.

    It is recommended that anyone utilizing the BATS Europe Reference Data - Live Symbols file should confirm proper processing of the additional column prior to the final release on Friday 12th March 2010.

    Testing is available by means of the BATS Europe UAT reference data using the following download. http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-CERT.csv.

    Please find attached the updated Reference Data Specification and UAT reference file.

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

    BATS Europe Update to Symbol Reference Data File

    March 05, 2010 17:01:32

    Dear BATS Europe Participants,

    As of Friday 12th March 2010, BATS Europe will be applying the following changes to Reference Data - Live Symbols file available for download at http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv.

    * BATS Closing Price will be added as the last column

    The Reference Data - Live Symbols file is generated each morning providing the previous day's closing price which will be determined as defined in the BATS Europe Rule Book . The BATS Closing Price is the price of the last transaction on BATS on that day. If there are no transactions in a security on a given day, the previous BATS Closing Price will be used.

    Please find attached the updated Reference Data Specification and sample file.

    For more information about this change or accessing this file, please contact the Trade Desk or your Account Manager if you have any questions.

    BATS Europe Multicast symbol distribution update for Ireland

    February 24, 2010 12:58:02

    Dear BATS Europe Participants

    BATS Europe periodically reviews symbol distribution across all Multicast market data feeds to ensure BATS Europe market data is spread evenly across available units.

    From Wednesday 10th March 2010, BATS Europe will migrate all Irish instruments from Unit 12 onto Unit 3 for both Primary and Secondary Multicast Gig and WAN-shaped Production feeds.

    There is no impact to BATS Europe Participant's currently receiving BATS Europe TCP PITCH or FAST PITCH market data feeds.

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

    BATS Europe Multicast PITCH data enhancement & Trade Break reminder

    February 22, 2010 14:50:41

    Dear BATS Europe Participants

    As of Friday 26th February 2010, BATS Europe will improve the accuracy of the TimeOffset field of BATS Europe multicast PITCH market data feed. This field has always been defined to nanosecond granularity in the
    BATS Europe Multicast PITCH spec, however the time was only accurate to a single millisecond, this change will now make the time accurate to a single microsecond. The length of the TimeOffset field has not changed, and no coding changes are required by Participants.

    The TCP PITCH feed including FAST PITCH will not change and remains accurate to a single millisecond. This change will be made available in the BATS Europe test environment as of Wednesday 24th February 2010, and in PRODUCTION as of Friday 26th February 2010.

    Separately as a final reminder, from Friday 26th February 2010, BATS
    Europe will be enabling Trade Break messages for PITCH market data feeds. While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from Friday 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to receive and process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications.
    The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/.

    Participants may also enable Trade Break messages, via their FIX and FIXDROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages.

    For more information relating to these new messages for FIX and FIX
    Drop, please refer to the BATS Europe FIX Specification.

    Testing opportunities for Trade Break Messages continue to be available
    in the BATS Europe certification environment.

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

    Reminder: BATS Europe Trade Break Message Enhancements

    February 17, 2010 16:33:01

    Dear BATS Europe Participants,

    As a reminder, from Friday, 26th February 2010, BATS Europe will be enabling Trade Break messages for PITCH market data feeds, FIX order entry sessions and FIX Drop feeds.

    While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to receive and process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications. The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/.

    Participants may also enable Trade Break messages, via their FIX and FIX DROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages. For more information relating to these new messages for FIX and FIX Drop, please refer to the BATS Europe FIX Specification BATS Europe FIX Specification.

    BATS Europe has also provided testing opportunities to all of our Participants as of Monday, 1st February 2010.

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

    BATS Europe - Order Collar Update

    February 11, 2010 18:02:37

    Dear BATS Europe Participants,

    BATS Europe will be updating the operational behavior of our order collar.

    At present, any orders submitted to the BATS Europe MTF or through the BATS Europe Order Routing Facility are subject to a collar such that any order that would execute more than 20% away from the Primary (Listing) Market Best Bid and Offer (PBBO) will be rejected. This collar is checked at time of execution for both aggressive and passive orders. In addition any orders submitted through the PBBO by more than 20% (execution not required) will also be rejected. This check will occur
    for both aggressive orders and passive orders (reactivated with each PBBO update).

    From Friday 12th February 2010, in addition to the above behaviour, BATS Europe will be including an additional collar for cases where the PBBO is unavailable. For example, where the Listing Market is in auction or during an outage. In such cases, any order that would execute more than 20% away from the last transaction on the Listing Market on that day will be rejected. Where there is no PBBO and there has been no transaction on the Listing Market on that day, the order will not be subject to a collar. As with the PBBO collar this additional collar is also checked at time of execution for both aggressive and passive orders. In addition any orders submitted through the last transaction price on the Listing Market by more than 20% (execution not required) will also be rejected. This check will also occur for both aggressive orders and passive orders (reactivated with each transaction update on
    the Listing Market).

    Participants who wish to impose a finer collar may do so on an opt-in basis either at the firm level or FIX session level by contacting the BATS Europe Trade Desk (+44.207.012.8901, [email protected] [email protected] ). Finer collars are only available at the point of order entry and are not available for resting orders. The default 20% or last transaction collar will be applied for all passive orders where there is an update to the PBBO or price of the last transaction on the Listing Market.

    Please contact the Trade Desk [email protected] or your Account Manager http://www.batstrading.co.uk/sales_support/ if you have any questions.

    BATS Europe Trade Break Message Enhancements

    January 29, 2010 10:36:19

    Dear BATS Europe Participants,

    From Friday, 26th February 2010, BATS Europe Participants may enable Trade Break messages, via their FIX and FIX DROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages. For more information relating to these new messages for FIX and FIX Drop, please refer to the BATS Europe FIX Specification

    While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications. The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/.

    BATS Europe will also provide testing opportunities to all of our Participants. Testing will be made available in advance in the BATS Europe Certification Environment as of Monday, 1st February 2010.

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

    BATS Europe introduces Smart Order Routing

    January 25, 2010 13:08:39

    Dear BATS Europe Participants,

    BATS Europe is excited to announce the release of the BATS Europe Smart Order Router (SOR) effective Monday 15th February 2010. The BATS Europe SOR is a separate service to the pan-European MTF and features a new CYCLE strategy providing Participants access to pan-European non-displayed and displayed market centres through a single, low cost solution.

    Overview
    The BATS Europe CYCLE strategy sequentially cycles through market centres aggressively searching for volume at the best price points up to, and including, the limit price on the original order. After routing up to the limit price, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC). All markets currently tradable on the BATS Europe MTF will be supported via the BATS Europe Smart Order Router with the exception of Spain and
    Ireland.

    Multiple options are available with the CYCLE strategy including the ability, on an order by order basis or at the port level, to route only to displayed venues (External Lit Only), only to non-displayed venues (External Dark Only) or to both displayed and non-displayed venues (Default). All routable orders using the CYCLE strategy access the BATS Europe Dark Pool and BATS Europe Integrated Book before routing out to
    venues.

    Details
    BATS Europe provides three options of the CYCLE strategy order type which all interact with the BATS Europe Dark Pool and BATS Europe Integrated Book.

    Orders marked with RoutingInst (9303) = R, will be eligible for routing to other market centres using BATS Europe CYCLE strategy order type. The BATS Europe SOR will first route to the BATS Europe Dark Pool at a low 0.15 bps usage charge before accessing the BATS Europe Integrated Book at a low 0.28 bps remove rate. The BATS Europe Dark Pool allows for matching of dark liquidity at the midpoint of the best bid and best offer on the primary market. FIX tag 375 (ContraBroker) will reflect "BATS" for all BATS Europe Dark Pool and Integrated Book executions.

    Participants then have the option to customise how the BATS Europe SOR best achieves the needs of their business by selecting how their order routes to away venues. In conjunction with FIX tag 9303 (RoutingInst) Participants may also send FIX tag 18 (ExecInst) as follows:

    v - BATS Europe Dark Pool + BATS Europe Integrated Book + External Dark
    + External Lit (Default)

    w - BATS Europe Dark Pool + BATS Europe Integrated Book + External Lit Only

    u - BATS Europe Dark Pool + BATS Europe Integrated Book + External Dark
    Only

    The default behaviour of the BATS Europe SOR is to route away to Dark Liquidity Partners (DLPs) and External Lit venues. A low routing fee of 0.30 bps will be applied for all DLP executions. FIX tag 375 (ContraBroker) will reflect "DARK" for each DLP execution. The BATS Europe SOR will then aggressively cycle between the BATS Europe Integrated Book and away displayed venues, up to and including the limit price on the original order. A low routing fee of 0.50 bps will be applied for all "External Lit" executions. BATS Europe will also reflect FIX tag 375 (ContraBroker) as "LIT" for these trades. Finally after routing up to the limit price, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC).

    All trades conducted through the BATS Europe SOR on the BATS Europe order books or away venues are cleared by the CCP in the same way as any trade conducted on the BATS Europe MTF.

    Participants can request, from the BATS Europe Trade Desk, to set defaults at the port level defining the RoutingInst (9303) and the ExecInst (18) flags.

    The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification.

    Testing will be made available in the BATS Europe Certification Environment as of Tuesday 26th January 2010. Additional details and the complete FIX specification can be found on our website:

    http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

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

    BATS Europe introduces Dark Pool Webpage

    January 18, 2010 17:31:58

    Dear BATS Europe Participants,

    BATS Europe is excited to announce a website enhancement that provides a comprehensive overview of the BATS Europe Dark Pool activity on a T+1 basis. The BATS Europe Dark Pool has grown significantly since going live in August 2009, where last Friday it achieved a record notional value traded of over 70 million EUR.

    The following details are now available at http://www.batstrading.co.uk/market_data/dark_pool/.

    - Notional Traded, Price Improvement, Total Euro-hours and Number of Stocks for T+1 and 5 Day Average

    - Market Distribution in Euro-hours

    - Historical charts for Notional Value and Volume

    - Per Index Summary

    About BATS Europe Dark Pool

    The BATS Europe Dark Pool is a separate order book (from the existing Integrated Book) that 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). There is a low 0.15 bps usage charge for all Dark Pool orders, which is significantly lower than competitor pricing.

    Please refer to the Dark Pool flyer for additional features and details.

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