Release Notes

Bats Europe: Q4 2016 Exchange Release - Upcoming Changes, effective Fri 11th Nov 2016

August 26, 2016 12:04:23

Dear Bats Europe Participants

The following changes constitute the Bats Europe Q4 2016 Exchange Release, effective Friday 11th November 2016.

Introduction
Bats Europe (Bats) is pleased to announce its Q4 2016 Exchange Release, introducing further MiFID II features as well as support for Bats LIS.
These changes apply to the Bats BXE and CXE environments only aEUR" the Trade Reporting Facility (TRF) is not affected by this release. In addition, there will be no mandatory protocol-level (FIX, BOE, PITCH, DROP) interface changes in this release. Bats recognises the quantity of change being undertaken in the industry at this point in time, so has endeavoured to defer mandatory protocol level changes until 2017. All changes captured in this release will be either optional in nature, or will be mandatory only in the sense of behavioural or content changes.

Summary of Mandatory Changes (Behavioural)
Bats is introducing the following mandatory changes, which will exhibit themselves only through behavioural changes at Bats:

A* Large in Scale Exchange Trade Report behaviour:

o Exchange Trade Reports (ETRs) that meet the size threshold of the MiFID Large-In-Scale (LIS) pre-trade transparency waiver will be considered as using the LIS waiver rather than the Negotiated Trade waiver. As such, this change will help to ensure that only business that was genuinely the target of European policy makers would count towards the MiFID II caps. In addition, support for ETRs with ExecInst(18)=M (Midpoint) will be removed on the same effective date.

o Participants need not make any changes to their systems in order to identify Large-In-Scale (LIS) ETRs and should continue to submit all their ETRs with OrderCategory(1115)=3 indicating a negotiated trade. However, participants should be aware of the following behaviour changes at Bats:

AS ETRs submitted to BXE or CXE will be categorised as LIS automatically if they are large enough to qualify for the Large-in-Scale waiver.

AS If the ETR does qualify, then the OrderCategory field will be cleared in the Trade Capture Report (TCR) confirmation sent back to the participant. The OrderCategory field is now also available as an optional return field on BOEv2.

AS LIS ETRs may not have their size amended downwards such that they no longer qualify for LIS status. ETR amendment messages which attempt to do so will be rejected. The ETR must instead be cancelled, and re-submitted as a new ETR with the smaller size.

AS Non-LIS ETRs that are amended up in size such that they would become eligible for the LIS waiver, still remain under the Negotiated Trade Waiver. However, these ETRs, if completely cancelled and resubmitted with LIS-eligible size, will be treated as such.

AS LIS ETRs will be published on market data without the MMT Negotiated Trade flag set.

A* CSD values in Symbol Reference Data CSV file:

o The Symbol Reference Data CSV file contains a column aEUR~csdaEUR(TM) which is currently populated with Central Securities Depositary (CSD) SWIFT BIC codes for CXE listed instruments only. If the instrument is not CXE listed the field is currently left blank. As of the effective date, the csd column will be populated with the SWIFT BIC code settlement location for all tradable instruments in BXE and CXE.

A* New Segment MICs for the Regulated Market (REGM) segment supported in LastMkt field on FIX and BOE:

o Firms who have opted-in to have the LastMkt field sent back on their Order Executions have enjoyed confidence in knowing the exact market segment in which their order (or Trade Report) executed. In accordance with changes required in MiFID II, Bats is introducing new segment MICs for the REGM segment. These are documented on our website. From the effective date, users of this field, should they execute on REGM segment securities, can expect to receive the enriched content on their FIX or BOE ports.

Summary of Optional Changes
Bats is introducing the following optional changes:

A* MiFID II Record Keeping changes: As previously announced, Bats has made available it's solution to the collection of data required under MiFID II. In addition to the new record keeping fields on FIX and BOE, a new Identifier Management API is also available for participant use from the effective date. Note - any ID data previously supplied will be removed by Bats as of Q3 2017 in line with the commitment on the Bats MiFID II Microsite. FIX tags used for record keeping fields remain subject to confirmation by the FIX Protocol Ltd group.

A* High Frequency Algorithmic Trading (HFAT) Reports: For the purposes of MiFID II/R there are obligations introduced that fall on an investment firm should they be regarded as having a high intraday message rate. Bats is pleased to make available to Participants periodic reports that provide an estimate as to the average intraday message rate of the Participant, taking into account various characteristics defined in the legislation. Participants should not solely rely on these estimates, but may find them useful in determining their own compliance with the legislation. It is noted that estimate accuracy can be improved through early adoption of the Direct Electronic Access (DEA) Indicator flag (BasisOfTrade=1) for situations in which it is relevant. As the reports look back over the previous 12 months, participants are encouraged to take up accurate flagging during this calendar year.

A* Liquidity Provider Programme (LPP) Number Three: With the implementation of MiFID II/R, all firms pursuing an algorithmic market making strategy that meet the definition set out in the legislation, will be required to sign up to a monitored market making agreement on said venue. Bats, following a successful consultation, will introduce a third Liquidity Provider Program (see table below) that is intended to support participants who are captured by the obligation. With this Q4 release, Bats makes the functionality supporting this program available in Production, thus allowing Participants to register and monitor their own performance against the programmeaEUR(TM)s requirements - participation will require the use of the Liquidity Provision flag (LiqProvOnly=1). However, the programme will not be incorporated in the Participant Manual, nor will Bats monitor or enforce the program until a future date closer to MiFID II/R implementation:

REQUIRED SIZE

SPECIFIED PRICE %

REQUIRED TIME %

Program 3

a,!5,000

0.25%**

50%

**The bids and offers have to be of comparable size where aEURoecomparable sizeaEUR? is defined as not diverging more than 50% from each other.

A* Order to Trade Ratio: With the implementation of MiFID II/R, Bats will be required to calculate the ratio of unexecuted orders to transactions (aEURoeOrder to Trade RatioaEUR? or aEURoeOTRaEUR?) incurred by participants, at a symbol level. Bats has developed a policy to be presented in the form of an extended consultation. Following the implementation of the Q4 release, as part of the consultation, participants will be able to see a value populated for relevant symbols, in the existing 'max_otr_count' and 'max_otr_volume' columns of the Symbol Reference Data CSV files.

Bats LIS
Bats is introducing the following changes in support of the Bats LIS service which has a phased go-live by the end of 2016, subject to regulatory approval:

A* Drop copy:

o ODROP: Trade Reports associated with the Bats LIS service reported on ODROP follow a very similar message format to a standard Trade Report, with the only differences being an alternative set of Party Roles in the PartyRole (452) tag, some PartyRoleSubIDs, in addition to a new BookingType (775) tag and FeeCode (9882) tag:

AS Trade Reports can have a number of parties associated with each leg. Each is described in the TCR message via the Parties repeating group. The PartyRole (447) field within each Party group indicates the role of that party on this leg of the trade. Possible values include:

A* 1 (Executing Broker): Bats Firm Id for the Designated Broker

A* 3 (Client Id): BIDS Client Id, identifying the buy-side client.

A* 6 (Introducing Firm): BIDS Firm Id for the Introducing Firm

A* 14 (Give-Up Clearing Firm): BIDS Firm Id for the Give-Up Firm

AS FeeCode (9883) describes the category of fee applicable to the Bats LIS trade. Valid values are:

A* L1: Designated Broker, clearing for a buy-side firm.

A* L2: Executing Broker, trading in their own name.

AS BookingType (775) indicates the method used for booking. If the tag is not present a default of 0 can be assumed. Valid values are:

A* 0: Regular/Cash

A* 1: CFD (Contract for Difference)

AS LISX value in LastMkt (30) tag:

A* LISX will be the segment MIC for all Bats LIS trades, visible on an opt-in basis in the LastMkt (30) FIX tag.

A* Market Data:

o LISX will be the segment MIC visible in the ExecutionVenue field in the extended format of the Trade Message seen on TCP and Multicast PITCH market data feeds.

Documentation

A* BXE/CXE FIX: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

A* BXE/CXE BOEv2: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_BOE2_Specification.pdf

A* Reference Data: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Reference_Data.pdf

A* MiFID II Identifier Management API: http://cdn.batstrading.com/resources/participant_resources/Bats_Europe_MiFID2_Identifier_Management_API_Specification.pdf

A* Liquidity Provider API: http://cdn.batstrading.com/resources/participant_resources/BATSEuro_Liquidity_Provider_API.pdf

A* As with previous releases, a Guidance Notice summarising all of the changes within the upcoming release, will be made available within the coming weeks.

Testing & Production

A* All features described above not related to Bats LIS will be made available in the BXE and CXE Certification (UAT) environments as of Tuesday 30th August 2016.

A* These features will become available in the BXE and CXE Production environments effective Friday 11th November 2016.

A* Bats LIS features will be available in Certification and in Production in line with separate communications regarding that service. For more information on Bats LIS, please refer to our website: https://urldefense.proofpoint.com/v2/url?u=http-3A__www.batstrading.co.uk_lis_&d=CwIGaQ&c=tTiMdUxnKixVqCffo2dMgqTYKvHcASZgNQnF1AoodRc&r=0xB4yrT2tS4k7chRDe_CUtFn5x5kqaMHUCEXd3LhD1c&m=QC1mhwFakvquSo6zDRJXRAtyhv9o5ulQUmD3wYhAV9E&s=ZtFxSXQ1yFY5IXI7ZleDx3osGHMwz4JRzWxqtFiIVlU&e=

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

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

Trade Desk
Bats Europe ... Making Markets Better
P: +44.207.012.8901
E: [email protected]
www.batstrading.co.uk
* Bats Trading Limited is a Recognised Investment Exchange regulated by the Financial Conduct Authority.