Release Notes

Bats Europe: Mandatory Q4 2017 Exchange Release - Upcoming Changes, effective Fri 27th October 2017

July 27, 2017 16:47:04

Dear Bats Europe Participants

Bats Europe (Bats) is pleased to announce its Q4 2017 Exchange Release which takes effect in the Production BXE, CXE and TRF environments, Friday, 27th October 2017. Please consult the Q4 2017 Exchange Release Guidance Note for the complete list of changes.

Summary of Mandatory Changes (Protocols and Files)
FIX:
Removal of MTFAccessFee and Support for FeeCode

* MTFAccessFee (FIX tag 9621), sent back on Execution Reports to participants, will be deprecated from the BXE and CXE Production environments, effective Friday, 1st September 2017. From this date, the field will return a value of zero (MTFAccessFee=0), and as valid values will no longer be calculated, this field should be ignored. Further to this, as of Friday, 27th October 2017, MTFAccessFee will be removed in Production. Participants using FIX order entry and/or dropcopy must be prepared for these changes at start of day on the effective date.

* As announced in the Q2 2017 release, Bats already supports FeeCode (FIX tag 9882). This is a replacement for MTFAccessFee which can be enabled at a FIX port level in BXE, CXE and TRF. Please contact the Trade Desk if you would like this enabled. For Participants using Binary Order Entry (BOE), FeeCode is already an existing optional bitfield that can be requested and will remain such.
FIX and BOE:
Deferred publication of Trade Capture Reports on-exchange (BXE/CXE) must have 'DEAL' capacity.

* Participants will need to set Capacity of Principal which maps to 'DEAL' when requesting deferred publication for on-exchange Trade Capture Reports, otherwise the deferral will not be honoured and the Trade Capture Report will be published immediately.

Market Data (Multicast and TCP Pitch):

* Trades with a pending price will be published with the new MMT Level 3.8 value of 'N' (price is currently not available but pending) in TRF.

* Trades with a pending price may be published with a Price value of '0' (zero) in TRF

* Trades will be published with the new MMT Level 1 value of '7' (Any other, Including Hybrid) in TRF

* Trades will be published with the MMT Level 3.2 Pre-Trade Transparency Waiver values of '6' (ILQD and SIZE) in TRF

* Trades will be published with the new MMT Level 4.1 Deferral values of '5' (ILQD and SIZE) and '6' (ILQD and LRGS) in BXE, CXE and TRF

Market Data (Last Sale):

* Support for an additional value of 'PNDG' (Price is Pending) in the Price Discovery Process field.

* Support for a '0' (zero) value in the Price field if the price is pending, as denoted by the Price Discovery Process field.

* In the Negotiation Flag field, if the Pre-Trade Transparency Waivers of 'ILQD' and 'SIZE' both apply to the trade, 'SIZE' will be published in this field

* In the Post-Trade Deferral Reason field, if the Post-Trade Deferral Reasons of 'ILQD and SIZE' or 'ILQD and LRGS' both apply to the trade, 'ILQD' will be published in this field

Symbol File:

* Addition of new column 'venue_cap_percentage' to the Symbol Reference data files for BXE, CXE, TRF and LIS

Trade Data File:

* A new value of 'PNDG' will be supported in the existing Price Formation column

* A value of '0' (zero) will be supported in the Price column if the price is pending

* A new value of 'AnyOtherIncludingHybridMarket' will be supported in the existing Market Mechanism column

* A new value of 'IlliquidSI SizeSpecificSI' will be supported in the existing Negotiated Trade column

* A new value of 'Deferred (Illiquid) Deferred (SizeSpecific)' will be supported in the existing Publication Mode column

* A new value of 'Deferred (Illiquid) Deferred (Large In Scale)' will be supported in the existing Publication Mode column

Trade Detail File:

* A value of '0' (zero) will be supported in the Price column if the price is pending

Summary of Mandatory Changes (System Behaviour)

* Effective Friday, 27th October 2017, Bats shall be changing Iceberg Order type behaviour to meet the regulation outlined in RTS 1, which states that an aggressive order cannot interact with any other passive trading interest prior to its disclosure to the order book.

Summary of Optional Changes
FIX and BOE:

* Support for '0' (zero) as an accepted value in Price field on inbound Trade Capture Reports in TRF

* Addition of 'PNDG' as a value on inbound Trade Capture Reports in TRF

* Addition of 'LRGS' on inbound Trade Capture Reports in TRF

* Addition of new VenueType value of 'H' (Hybrid) on inbound Trade Capture Reports in TRF

* Waivers:

o Support for multiple value for 'ILQD and SIZE' on inbound Trade Capture Reports in TRF

* Deferrals:

o Support for multiple values for 'ILQD and SIZE' or 'ILQD and LRGS' on inbound Trade Capture Reports in TRF

o Support for multiple values for 'ILQD and SIZE' or 'ILQD and LRGS' on outbound Trade Capture Reports in BXE, CXE and TRF

* Addition of support for value 'SIZE' on inbound Trade Capture Reports in BXE and CXE

Introduction of the Firm Order Record Keeping service:
As part of the Bats 2017 Q4 Exchange Release, Bats is pleased to announce the introduction of the Firm Order Record Keeping service.

* Firm Order Record Keeping files provide order activity data on orders placed on Bats BXE and CXE environments and are provided to all firms to aid them in meeting record keeping obligations under MiFID II RTS 6.

For further details on the Firm Order Record Keeping service offering please refer to the specification<*%09http:/cdn.batstrading.com/resources/participant_resources/Bats_Europe_MiFID2_RTS6_Firm_Order_Record_Keeping_File_Specification.pdf>. As a reminder, Participants are required to meet their MiFID II Order Record Keeping obligations as previously announced and described on the Bats MiFID II microsite.

Testing & Production Schedule
All features described above will come into force in Production environments on Friday, 27th October 2017 and in Certification (UAT) environments according to the below schedule:
Environment

Q4 2017 Release Availability

BXE UAT

Monday 25th September

CXE UAT

Monday 9th October

TRF UAT

Monday 25th September

MTFAccessFee deprecation schedule
Environment

MTFAccessFee value set to '0'

MTFAccessFee field removed

FeeCode availability

BXE and CXE UAT

Monday 28th August

Monday 25th September

Now

TRF UAT

N/A

N/A

Now

BXE and CXE Production

Friday 1st September

Friday 27th October

Now

TRF Production

N/A

N/A

Now

Firm Order Record Keeping will be available in Certification on Monday, 25th September 2017 and Production on Friday, 27th October 2017.

DOCUMENTATION

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

* Q4 2017 Exchange Release Guidance Note: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q42017Release_Final.pdf

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

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

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

* TRF BOE v2: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_TRF_BOE2_Specification.pdf

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

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

* Last Sale: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Last_Sale_Specification.pdf

* Symbol File: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Reference_Data.pdf

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

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

* Firm Order Record Keeping: http://cdn.batstrading.com/resources/participant_resources/Bats_Europe_MiFID2_RTS6_Firm_Order_Record_Keeping_File_Specification.pdf

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

* Introduction of a new Bats Exchange Fee Schedules:

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

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

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

* Previous MiFID II Exchange Release Guidance Notes:

o Q2 2017: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q22017Release_Final.pdf

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

o Q2 2016: 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 are available online at https://www.bats.com/europe/equities/notices/release_notes/.

Trade Desk,
Bats Europe, a CBOE company
Phone: +44 20 7012 8901
Email: [email protected]
www.bats.com
* Bats Trading Limited is a Recognised Investment Exchange regulated by the Financial Conduct Authority.