Release Notes

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 >