TRF Release Notes

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Last Updated 05:26:02 GMT

REMINDER: Cboe Europe Equities: Brexit Mandatory Technical Changes, effective Friday 15th Feb 2019

February 11, 2019 12:44:38

Dear Cboe Europe Participants,

Cboe Europe (Cboe) would like to highlight the following technical changes coming to the Cboe Europe Equities platforms, in preparation for the UK's impending withdrawal from the European Union (EU) in March 2019.

The Cboe Europe Equities Brexit Technical Guidance Note details the technical interface changes required for all Cboe Europe Equities interfaces, which are summarised below:

* Market Data Interfaces:

o Changes going live effective start of day this Friday 15th February 2019:

* Redistribution of Symbols between Matching Units: Symbols are distributed across Matching Units by a market and alphabetical symbol distribution. From 15th February 2019, in preparation for the creation of separate UK and EU venues, some markets will be migrated to a different Matching Unit in the BXE, CXE, SIS and APA environments. This will result in changes in the subscription details for receiving Multicast PITCH market data for these markets. In addition, on the effective date, the matching_unit column in the symbol reference data files will be updated to reflect the new unit to which symbols from these markets will be allocated.

* Trading Venue Segregation for Multicast PITCH: From 15th February 2019, for the BXE and CXE environments, new UK and EU venue Multicast PITCH feed infrastructure will be established to which Participants will need to migrate to, which will run alongside the existing legacy feeds. From this point onwards, Participants are urged to begin migrating over to the new feeds. On 27th September 2019 the legacy Multicast PITCH feeds will no longer be available. These changes will impact all current consumers of BXE and CXE Multicast PITCH, and Participants will be required to subscribe to a new set of multicast feeds as well as connect to new GRP and SPIN ports.

* Multicast PITCH Transaction Markers: From 15th February 2019, Market Data Transaction Markers will be added to Multicast PITCH in BXE and CXE. This functionality adds a Transaction Begin message to the protocol to indicate that any subsequent messages up to the accompanying Transaction End message, are all part of the same transaction block.

* Microseconds on TCP PITCH: All messages currently sent on TCP PITCH contain a Timestamp field representing the number of milliseconds since midnight. From 15th February 2019, these messages will be updated to begin sending the number of microseconds since midnight. In order to facilitate the structural change, all existing messages will be replaced with new message types. The existing messages will cease to be sent from go-live.

o Changes going live on Brexit date:

* EU Venue MIC Codes: From 1st April 2019, new MICs for the EU venue will be published in the Execution Venue field of the Trade Message - Extended Form message type on Multicast and TCP PITCH feeds in BXE and CXE environments.

* Trade Reporting to the UK and EU APAs: From 1st April 2019, the existing Cboe Trade Timing Indicator field will be renamed to the Cboe Trade Flags field and will also convey the Cboe Regulated Entity (UK or EU) to which a trade report was submitted. This change will apply to the Trade Message - Extended Form and Trade Message - Unknown Symbol message types on Multicast and TCP PITCH feeds in the BXE, CXE and APA (TRF) environments.

* Order Entry, Trade Entry & DROP Interfaces (all going live on Brexit date):

o EU Venue MIC Codes: From 1st April 2019, new segments MICs for the EU venue will be supplied in the LastMkt (FIX tag 30) field in the Execution Report, Trade Cancel/Correct, Trade Capture Report messages on FIX, BOE ODROP & FIXDROP interfaces in BXE, CXE and Cboe LIS environments.

o Trade Reporting to the UK and EU APA: From 1st April 2019, the regulatory jurisdiction (UK or EU) of the bank code used for trade reporting into the Cboe APA will be used to denote whether the trade report is targeting the UK or EU APA. Depending on the post Brexit plans of each firm using the APA, firms may need to request new EU and/or UK bank codes and then populate the relevant bank code in the PartyID (FIX tag 448) field of the Trade Capture Report message on FIX and BOE interfaces. The resulting Cboe APA will then be reflected on market data via the Cboe Trade Flags field. Cboe will be reaching out to firms using it's APA to understand each firm's plans, in order for the correct regulatory jurisdiction to be applied to each bank code referenced above.

o UK and EU ODROP and FIXDROP Sessions: As part of the Brexit Migration process, Participants will be allocated new ports to interface with the EU venue. All existing ports will remain allocated to the UK venue. It should be noted that effective immediately ODROP sessions will be configured to monitor ports and only replicate flow that will be part of the same jurisdiction (EU or UK venue) from 1st April 2019. FIXDROP ports will also only provide flow relating to their respective venue from 1st April 2019, but will provide trades on all symbols prior to that point. Participants should therefore cater for receiving trades for all symbols down both their existing and future EU venue FIXDROP port until 1st April 2019. From 1st April 2019 the FIXDROP ports will only provide trades for symbols on their respective venues.

* Transaction Reporting Obligations:

o As part of its Brexit programme, Cboe would like to remind Participants of their Transaction Reporting obligation when conducting cross border trading. Cross border trading in this context is defined as trading activity conducted on a Cboe venue that is outside of the jurisdiction that the Participant entity is registered. Further information regarding the transaction reporting obligation can be found here.

o To ensure continuity of access in the event of a hard Brexit, impacted Participants need to certify for a transaction reporting solution by Friday 15th March 2019.

Please also note that Cboe will hold three Brexit Saturday Dress Rehearsal dates occurring on Saturday 16th February, Saturday 2nd March and Saturday 16th March 2019, with attendance on at least one of these dates being mandatory, as per the Dress Rehearsal Testing Guide.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 11 (page 17) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T. +44 207 012 8901
E. [email protected] | cboe.com >

Cboe Europe Equities: Brexit Certification (UAT) Testing - Weekly Availability Schedule

February 05, 2019 16:38:35

Dear Cboe Europe Equities Participants

In preparation for Brexit, Cboe Europe (Cboe) will be fully configuring the BXE, CXE and APA Certification (UAT) environments as UK and EU venues on Wednesday and Thursday of each week going forward. This configuration will be reverted to a single UK venue in the Certification environments on Monday, Tuesday and Friday. This schedule will be extended in the coming weeks with such change being communicated through a follow up Trade Desk notice. Functionally this will result in the following behaviour:

Functionality

Wednesday & Thursday
(UAT BXE, CXE and APA - Separate UK and EU venues)

Monday, Tuesday and Friday
(UAT BXE, CXE and APA - Single UK venue)

Order and ETR entry

FIX and BOE session jurisdiction will be enforced.
Orders and ETRs will be rejected if the jurisdiction of the symbol differs from that of the FIX or BOE session.

FIX and BOE session jurisdiction will not be enforced.
Orders and ETRs for either jurisdiction can be entered via a UK or EU FIX or BOE session.

UK and EU Venue MICs in LastMkt and ExecVenue fields

UK venue MICs will be supplied in the LastMkt field in Execution messages and ExecVenue field on Multicast and TCP PITCH on London and Swiss symbols, whereas EU venue MICs will be supplied for all other symbols. See Section 4 of the Guidance note for more details.

Only UK venue MICs will be supplied in the LastMkt and ExecVenue field for all symbols.

Trading Venue flagging for trade reports (APA)

The regulatory jurisdiction (UK or EU) of the bank code used for trade reporting into the Cboe APA will be used to denote whether the trade report is targeting the UK or EU APA. The resulting Cboe APA will then be reflected on market data via the Cboe Trade Flags field. See Section 5 of the Guidance Note for more details.

Regardless of the jurisdiction configuration of the bank code used for trade reporting into the Cboe APA, the Cboe Trade Flags field will contain UK values.

Trading Venue flagging for trade reports (BXE/CXE)

The value published in the Cboe Trade Flags field will be dependent on the jurisdiction of the symbol. See Section 5 of the Guidance Note for more details.

All trade reports will be published with UK values in the Cboe Trade Flags field.

ODROP session filtering

ODROP session jurisdiction will be enforced. An ODROP will receive flow only for symbols in line with its jurisdiction (UK vs EU venue).

ODROP session jurisdiction will not be enforced. Flow for either jurisdiction will be received down an ODROP.

FIXDROP session filtering

FIXDROP session jurisdiction will be enforced. A FIXDROP will receive flow only for symbols in line with its jurisdiction (UK vs EU venue).

FIXDROP session jurisdiction will not be enforced. Flow for either jurisdiction will be received down a FIXDROP.

Participants who encounter erroneous behavior or rejections at trade submission on Wednesday and Thursday are encouraged to ensure their configuration is in line with our Brexit mode setup. For example, when submitting an order with correct symbol information as per the Reference Data files and the order is rejected with 'No symbology for Symbol' or similar, it is likely the connected session does not support the jurisdiction of the symbol. Symbols on the Cboe EU venue are not supported on Cboe UK Venue FIX, BOE, FIXDROPs and ODROPs session. The jurisdiction of a session can be identified through the Cboe Participant Portal's Logical Ports page and the jurisdiction of a symbol can be identified through the Certification Reference Data files

Participants without EU venue FIX, BOE or drop copy sessions should provide a completed Logical Port Order Form to the Trade Desk.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 11 (page 17) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T: +44 207 012 8901
E: [email protected] | cboe.com >

REMINDER: Cboe Europe Equities: Brexit - Production Saturday Dress Rehearsal Tests - Q1 2019

February 05, 2019 11:39:18

Dear Cboe Europe Equities Participants

As previously communicated, Cboe Europe (Cboe) will hold three Brexit Saturday Dress Rehearsal dates occurring on Saturday 16th February, Saturday 2nd March and Saturday 16th March 2019, the Dress Rehearsal Testing Guide for these days is now available.

Furthermore, please note that the trading schedule for these Dress Rehearsal days has now been added to the Testing Guide:

Expected Schedule on the day:

Time (UK time)

Activity

06:30

Logical ports available for connectivity

07:00

NOC & Trade Desk available

07:15

Off-Exchange APA and SI platforms open for trade reports and quotes

07:50

On-Exchange BXE and CXE platforms open for auction orders and trades

08:00

Start of trading, simulated load commences

13:00

End of trading - End of Dress Rehearsal

Please also note that Participants should ensure that any software they intend to connect to the EU venue has previously been certified. Participants can perform a self-certification and provide sign-off indicating such by sending an email into [email protected].

All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 11 (page 17) for each of the upcoming mandatory changes.

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

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T: +44 207 012 8901
E: [email protected] | cboe.com >

UPDATE: Cboe Europe Equities: Brexit Mandatory Technical Changes - Upcoming TCP PITCH Changes effective, Fri 15th Feb 2019

January 21, 2019 09:07:42

Dear Cboe Europe Participants,

Cboe Europe would like to highlight upcoming mandatory changes to Participants who use TCP PITCH market data. The release into the CXE Certification environment has been brought forward to become effective Monday, 11th February 2019.

Effective Friday, 15th February 2019 all existing TCP PITCH message types will cease to be published and will be replaced with new message types containing a microsecond timestamp as described below. The increased size of the timestamp field will result in the field offsets in the new message types' timestamp increasing by three bytes. These changes impact to the BXE, CXE and TRF environments.

New Data Type:

Data Type

Length

Description

TimestampUs

11

A string of ASCII numbers (0-9) representing the whole number of microseconds past midnight London time, right justified and zero padded on the left, with no decimal point.

This will replace the existing 8-byte Timestamp field on all messages.

New Message Types:

Message Name

Existing Message Type

New Message Type

Symbol Clear

s

h

Add Order

A

K

Add Order - Long

c

M

Order Executed

E

N

Order Executed - Long

e

g

Order Cancel

X

F

Order Cancel - Long

x

G

Trade

P

V

Trade - Long

q

W

Trade - Extended

O

v

Trade - Unknown Symbol

k

w

Trading Status

H

a

Statistics

Z

Y

Auction Update

I

b

Auction Summary

j

f

Certification (UAT) Testing:
The new format messages are currently being published in UAT in the BXE and TRF environments. The changes in the CXE UAT environment will become effective Monday, 11th February 2019.

Details of the changes are described in the existing Cboe Europe TCP PITCH Specification. In addition, a new version of the specification is available here with all the new message types and field offsets which have all increased by three bytes to accommodate the increased size of the timestamp field.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 11 (page 17) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk

Cboe Europe Equities

11 Monument Street | London, EC3R 8AF

T. +44 207 012 8901

E. [email protected] | cboe.com >

Cboe Europe Equities: Brexit - Production Saturday Dress Rehearsals - Testing Guide Now Available

January 18, 2019 15:29:43

Dear Cboe Europe Equities Participants

Further to the previous Exchange Notice announcing that Cboe will hold three Brexit Saturday Dress Rehearsal dates occurring on Saturday 16th February, Saturday 2nd March and Saturday 16th March 2019, the Dress Rehearsal Testing Guide for these days is now available. This document contains the full detail of activities and requirements for these Production Saturday Dress Rehearsals.

**NB: Participants who intend to connect to the EU Venue must complete and submit any outstanding paperwork as soon as possible. For further information please refer to our Brexit Microsite.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 11 (page 17) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T: +44 207 012 8901
E: [email protected] | cboe.com >

Cboe Europe Equities: Brexit - Production Saturday Dress Rehearsal Tests - Q1 2019

January 14, 2019 18:36:20

Dear Cboe Europe Equities Participants

Brexit: Production Saturday Dress Rehearsal Tests - 16th February, 2nd March & 16th March 2019

Further to the previous Exchange Notice and Guidance Note regarding Mandatory Technical changes relating to Brexit dated Friday 2nd November 2018, Cboe Europe (Cboe) is planning Brexit Production Dress Rehearsal test dates, which will allow participants and vendors to simulate Brexit-like system behaviour in Production in advance of Monday 1st April 2019. In order to align with other pan-European venues, Cboe will hold three Brexit Saturday test dates occurring on Saturday 16th February, Saturday 2nd March and Saturday 16th March 2019, with attendance on at least one date being mandatory. The scope of these tests will include the Production BXE, CXE, CboeLIS, TRF (APA) and SIS environments.

Participants should note the following:

* Change Freeze - Participants wishing to take part in any of the test Saturdays must submit any outstanding requests for new ports by 16:00 UK time of the Thursday prior. No new port requests will be processed on the Friday before any Saturday test.
* Production Data - Please ensure that your Production systems are configured not to send Production trade reports when Cboe systems come up on the Saturday test dates, as all data from these days will be discarded as test data. Cancellation or Amendment of Trade Reports will not be allowed on these test dates.
* Mandatory participation - Attendance on at least one of the published test Saturdays is mandatory. Only Participants and Vendors planning on connecting to the new EU venue are required to attend. Trading Participants and Vendors will be required to establish logical connectivity to at least 1 EU FIX, BOE, FIXDROP, ODROP, GRP or SPIN session, and submit an order or trade report using either real or test EU symbols. Market data vendors and ISVs will be required to establish logical connectivity to at least 1 EU FIXDROP, ODROP, GRP or SPIN session, and confirm success or failure back to [email protected]
* Brexit Saturday Dress Rehearsal - Test Schedule of Activities - To be confirmed in due course

Key contacts on the day

* The standard Cboe support contacts will be available on the day from 07:00 until 13:00 UK time:

o NOC: [email protected] +44 20 7012 8905

o Trade Desk: [email protected] +44 20 7012 8901

Documentation

* Brexit Guidance Note

Certification (UAT) Testing

* In preparation for these Brexit Production Dress Rehearsals, the UAT environment is already available for testing some Brexit functionality - please review the Brexit Guidance Note for specific detail. All Brexit functionality will be rolled out in UAT well in advance of the first dress rehearsal - the date for this will be confirmed in due course.

**NB: Participants who intend to connect to the EU Venue must complete and submit any outstanding paperwork as soon as possible. For further information please refer to our Brexit Microsite.

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

All current and historical Cboe notices, including symbol universe updates, are available online at http://markets.cboe.com/europe/equities/notices/release_notes/.

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T: +44 207 012 8901
E: [email protected] | cboe.com >

Cboe Europe Equities: Brexit - Production Saturday Dress Rehearsal Tests - Q1 2019

January 14, 2019 13:06:18

Dear Cboe Europe Equities Participants

Brexit: Production Saturday Dress Rehearsal Tests - 16th February, 2nd March & 16th March 2019

Further to the previous Exchange Notice and Guidance Note regarding Mandatory Technical changes relating to Brexit dated Friday 2nd November 2018, Cboe Europe (Cboe) is planning Brexit Production Dress Rehearsal test dates, which will allow participants and vendors to simulate Brexit-like system behaviour in Production in advance of Monday 1st April 2019. In order to align with other pan-European venues, Cboe will hold three Brexit Saturday test dates occurring on Saturday 16th February, Saturday 2nd March and Saturday 16th March 2019, with attendance on at least one date being mandatory. The scope of these tests will include the Production BXE, CXE, CboeLIS, TRF (APA) and SIS environments.

Participants should note the following:

* Change Freeze - Participants wishing to take part in any of the test Saturdays must submit any outstanding requests for new ports by 16:00 UK time of the Thursday prior. No new port requests will be processed on the Friday before any Saturday test.
* Production Data - Please ensure that your Production systems are configured not to send Production trade reports when Cboe systems come up on the Saturday test dates, as all data from these days will be discarded as test data. Cancellation or Amendment of Trade Reports will not be allowed on these test dates.
* Mandatory participation - Attendance on at least one of the published test Saturdays is mandatory. Only Participants and Vendors planning on connecting to the new EU venue are required to attend. Trading Participants and Vendors will be required to establish logical connectivity to at least 1 EU FIX, BOE, FIXDROP, ODROP, GRP or SPIN session, and submit an order or trade report using either real or test EU symbols. Market data vendors and ISVs will be required to establish logical connectivity to at least 1 EU FIXDROP, ODROP, GRP or SPIN session, and confirm success or failure back to [email protected]
* Brexit Saturday Dress Rehearsal - Test Schedule of Activities - To be confirmed in due course

Key contacts on the day

* The standard Cboe support contacts will be available on the day from 07:00 until 13:00 UK time:

o NOC: [email protected] +44 20 7012 8905

o Trade Desk: [email protected] +44 20 7012 8901

Documentation

* Brexit Guidance Note

Certification (UAT) Testing

* In preparation for these Brexit Production Dress Rehearsals, the UAT environment is already available for testing some Brexit functionality - please review the Brexit Guidance Note for specific detail. All Brexit functionality will be rolled out in UAT well in advance of the first dress rehearsal - the date for this will be confirmed in due course.

**NB: Participants who intend to connect to the EU Venue must complete and submit any outstanding paperwork as soon as possible. For further information please refer to our Brexit Microsite.

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

All current and historical Cboe notices, including symbol universe updates, are available online at http://markets.cboe.com/europe/equities/notices/release_notes/.

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T: +44 207 012 8901
E: [email protected] | cboe.com >

Cboe Europe Equities: Brexit Mandatory Technical Changes - Upcoming TCP PITCH Changes effective, Fri 15th Feb 2019

January 10, 2019 12:13:01

Dear Cboe Europe Participants,

Cboe Europe would like to highlight upcoming mandatory changes to Participants who use TCP PITCH market data.

Effective Friday, 15th February 2019 all existing TCP PITCH message types will cease to be published and will be replaced with new message types containing a microsecond timestamp as described below. The increased size of the timestamp field will result in the field offsets in the new message types' timestamp increasing by three bytes. These changes impact to the BXE, CXE and TRF environments.

New Data Type:

Data Type

Length

Description

TimestampUs

11

A string of ASCII numbers (0-9) representing the whole number of microseconds past midnight London time, right justified and zero padded on the left, with no decimal point.

This will replace the existing 8-byte Timestamp field on all messages.

New Message Types:

Message Name

Existing Message Type

New Message Type

Symbol Clear

s

h

Add Order

A

K

Add Order - Long

c

M

Order Executed

E

N

Order Executed - Long

e

g

Order Cancel

X

F

Order Cancel - Long

x

G

Trade

P

V

Trade - Long

q

W

Trade - Extended

O

v

Trade - Unknown Symbol

k

w

Trading Status

H

a

Statistics

Z

Y

Auction Update

I

b

Auction Summary

j

f

Certification (UAT) Testing:
The new format messages are currently being published in UAT in the BXE and TRF environments. The changes in the CXE UAT environment will become effective Friday, 15th February 2019.

Details of the changes are described in the existing Cboe Europe TCP PITCH Specification. In addition, a new version of the specification is available here with all the new message types and field offsets which have all increased by three bytes to accommodate the increased size of the timestamp field.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 10 (page 18) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk

Cboe Europe Equities

11 Monument Street | London, EC3R 8AF

T. +44 207 012 8901

E. [email protected] | cboe.com >

REMINDER: Cboe Europe Equities: Brexit Mandatory Technical Changes - Guidance Note Now Available

January 07, 2019 08:54:30

Dear Cboe Europe Participants,

Cboe Europe would like to highlight the following technical changes coming to the Cboe Europe Equities platforms, in preparation for the UK's impending withdrawal from the European Union (EU) in March 2019.

The Cboe Europe Equities Brexit Technical Guidance Note is now available and details the technical interface changes required for all Cboe Europe Equities interfaces, which are summarised below:

* Order Entry, Trade Entry & DROP Interfaces (all going live on Brexit date):

o EU Venue MIC Codes: From 1st April 2019, new segments MICs for the EU venue will be supplied in the LastMkt (FIX tag 30) field in the Execution Report, Trade Cancel/Correct, Trade Capture Report messages on FIX, BOE ODROP & FIXDROP interfaces in BXE, CXE and Cboe LIS environments.

o Trade Reporting to the UK and EU APA: From 1st April 2019, the regulatory jurisdiction (UK or EU) of the bank code used for trade reporting into the Cboe APA will be used to denote whether the trade report is targeting the UK or EU APA. Depending on the post Brexit plans of each firm using the APA, firms may need to request new EU and/or UK bank codes and then populate the relevant bank code in the PartyID (FIX tag 448) field of the Trade Capture Report message on FIX and BOE interfaces. The resulting Cboe APA will then be reflected on market data via the Cboe Trade Flags field. Cboe will be reaching out to firms using it's APA to understand each firm's plans, in order for the correct regulatory jurisdiction to be applied to each bank code referenced above.

o UK and EU ODROP and FIXDROP Sessions: As part of the Brexit Migration process, Participants will be allocated new ports to interface with the EU venue. All existing ports will remain allocated to the UK venue. It should be noted that effective immediately ODROP sessions will be configured to monitor ports and only replicate flow that will be part of the same jurisdiction (EU or UK venue) from 1st April 2019. FIXDROP ports will also only provide flow relating to their respective venue from 1st April 2019, but will provide trades on all symbols prior to that point. Participants should therefore cater for receiving trades for all symbols down both their existing and future EU venue FIXDROP port until 1st April 2019. From 1st April 2019 the FIXDROP ports will only provide trades for symbols on their respective venues.

* Market Data Interfaces:

o Changes going live before Brexit date:

* Redistribution of Symbols between Matching Units: Symbols are distributed across Matching Units by a market and alphabetical symbol distribution. From 15th February 2019, in preparation for the creation of separate UK and EU venues, some markets will be migrated to a different Matching Unit in the BXE, CXE, SIS and APA environments. This will result in changes in the subscription details for receiving Multicast PITCH market data for these markets. In addition, on the effective date the matching_unit column in the symbol reference data files will be updated to reflect the new unit to which symbols from these markets will be allocated.

* Trading Venue Segregation for Multicast PITCH: From 15th February 2019, for the BXE and CXE environments, new UK and EU venue Multicast PITCH feed infrastructure will be established to which participants will need to migrate to, which will run alongside the existing legacy feeds. From this point onwards, Participants are urged to begin migrating over to the new feeds. On 27th September 2019 the legacy Multicast PITCH feeds will no longer be available. These changes will impact all current consumers of BXE and CXE Multicast PITCH, and Participants will be required to subscribe to a new set of multicast feeds as well as connect to new GRP and SPIN ports.

* Multicast PITCH Transaction Markers: From 15th February 2019, Market Data Transaction Markers will be added to Multicast PITCH in BXE and CXE. This functionality adds a Transaction Begin message to the protocol to indicate that any subsequent messages up to the accompanying Transaction End message, are all part of the same transaction block.

* Microseconds on TCP PITCH: All messages currently sent on TCP PITCH contain a Timestamp field representing the number of milliseconds since midnight. From 15th February 2019, these messages will be updated to begin sending the number of microseconds since midnight. In order to facilitate the structural change, all existing messages will be replaced with new message types. The existing messages will cease to be sent from go-live.

o Changes going live on Brexit date:

* EU Venue MIC Codes: From 1st April 2019, new MICs for the EU venue will be published in the Execution Venue field of the Trade Message - Extended Form message type on Multicast and TCP PITCH feeds in BXE and CXE environments.

* Trade Reporting to the UK and EU APAs: From 1st April 2019, the existing Cboe Trade Timing Indicator field has been renamed to the Cboe Trade Flags field and it will now also convey the Cboe Regulated Entity (UK or EU) to which a trade report was submitted. This change will apply to the Trade Message - Extended Form and Trade Message - Unknown Symbol message types on Multicast and TCP PITCH feeds in the BXE, CXE and APA (TRF) environments.

* Transaction Reporting Obligations:

o Depending on a third country Trading Participant's unique situation related to Brexit, there may be additional Venue Transaction Reporting Obligations to consider. Trading venues under MiFID have an existing obligation to transaction report to their NCA on behalf of non-EU Trading Participants. On the assumption that the UK will have a similar requirement on non-UK based firms post-Brexit, Cboe will require entities not based in the UK jurisdiction to submit additional information in order for Cboe to meet its Transaction Reporting obligation derived from Participant trading activity. Similarly, UK firms trading on the EU venue will be considered non-EU and will also be required to Transaction Report.

Please note that the functionality going live on Brexit date (1st April 2019) is subject to:

* The relevant regulatory authorisation being granted to Cboe EU to provide its services; and

* Cboe EU confirming that it will launch the operations.

All other functionality will go live on the dates stated above.

Please refer to the Guidance Note for specific detail on each change. All Participants are required to review the Guidance Note and ensure adherence to the timelines in Section 10 (page 18) for each of the upcoming mandatory changes.

In addition, Cboe's Brexit microsite resource should be checked regularly by Participants for upcoming updates regarding Brexit. All current and historical Cboe notices, including symbol universe updates, are available online.

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

Trade Desk
Cboe Europe Equities
11 Monument Street | London, EC3R 8AF
T. +44 207 012 8901
E. [email protected] | cboe.com >