Release Notes

Corrected Subject: RE: Bats Europe: Q2 2017 Exchange Release - Upcoming Changes, effective Fri 9th June 2017

February 13, 2017 16:31:58

Dear Bats Europe Participants

Bats Europe (Bats) is pleased to announce its Q2 2017 Exchange Release effective Friday, 9th June 2017. There are mandatory protocol-level (FIX, BOE, PITCH, DROP) interface changes in the Bats BXE, CXE and Trade Reporting Facility (TRF) environments in this release.

These changes constitute the main functional changes to real-time protocols for 2017, which are considered mandatory for MiFIR and MiFID II (collectively "MiFID II") compliance and MMT v3 adherence. They are in addition to previous exchange releases which included MiFID II-related content. Bats' MiFID II implementation milestones can be found here. Participants are advised to check this resource regularly for Bats' upcoming MiFID II milestones.

These changes are being made in order to provide support for:

* further features related to MiFIR and MiFID II (collectively "MiFID II") compliance

* fields that have been added and updated in order to align with the FIX Trading Community standard

* MMT v3, as published by FIX Trading Community

* new Bats fee codes which describe the category of fee applicable to trades on Bats BXE, CXE and TRF platforms

This release incorporates a series of significant enhancements:

* Support for MMT v3 in the Bats market data feeds and trade reporting products
* Update of FIX, BOE and Identifier Management Application fields for RTS 24 Order Record Keeping
* Order Capacity and Liquidity Provision designation will now be mandatory

* Order Capacity will no longer be used to determine which Central Counterparty (CCP) Account Type prefix to use in Account field

* Support for Short Sale specifications
* Addition of Waiver Type indicator
* LastMkt supplied by default on executions
* Support for publication of trades in unknown symbology on Market Data Feeds
* FIX timestamps in microseconds by default
Please consult the 2017 Q2 Exchange Release Guidance Note for the complete list of mandatory changes.

Testing & Production

All features described above will be made available in Production environments on Friday, 9th June 2017 and in Certification environments according to the below schedule:

Environment

MMT v3 inbound order handler availability *

MMT v3 outbound market data mandatory *

MiFID II availability *

Fee Codes *

BXE UAT

7th March

7th March

7th March

7th March

CXE UAT

9th May

9th May

9th May

7th March

TRF UAT

7th March

7th March

7th March

7th March

*see 2017 Q2 Exchange Release Guidance Note for list of MMTv3, MiFID II and Fee Code changes

DOCUMENTATION

* Bats MiFID II implementation milestones: https://www.bats.com/europe/equities/regulation/mifid/milestones/

* Q2 2017 Exchange Release Guidance Note: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q22017Release_Final.pdf

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

* BXE/CXE BOEv2: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_BOE2_Specification_Effective.pdf

* TRF FIX: http://cdn.batstrading.com/resources/participant_resources/BATS_ChiX_Europe_TRF_FIX_Specification_Effective.pdf

* TRF BOE v2: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_BOE2_Specification_Effective.pdf

* TCP PITCH: http://cdn.batstrading.com/resources/participant_resources/Bats_Europe_PITCH_Specification_Effective.pdf

* MC PITCH: http://cdn.batstrading.com/resources/participant_resources/Bats_Europe_MC_PITCH_Specification_Effective.pdf

* MiFID II Identifier Management: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_MiFID2_Identifier_Management_Specification.pdf

* Trade Data File: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Trade_Data_File_Effective.pdf

* Trade Detail File: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Trade_Detail_File_Effective.pdf

* Trading Price List: http://cdn.batstrading.com/resources/participant_resources/BATSEuro_Pricing_Effective.pdf

* Technical Change Calendar: http://cdn.batstrading.com/resources/participant_resources/BATS_Change_Calendar.pdf

* Fee Codes (links will become available in UAT from 7th March):

o http://www.bats.com/europe/equities/participation/fee_schedule/bxe/

o http://www.bats.com/europe/equities/participation/fee_schedule/cxe/

o http://www.bats.com/europe/equities/participation/fee_schedule/trf/

* Previous MiFID II Exchange Releases:

o Q4 2016 Exchange Release Guidance Note: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q42016Release_Final.pdf

o Q2 2016 Exchange Release Guidance Note: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q22016Release_Final.pdf

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 https://www.bats.com/europe/equities/notices/release_notes/.

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