Status

REMINDER - BATS Chi-X Europe: Q3 Exchange Release - Upcoming Mandatory Changes to BATS Chi-X Europe Order Books and Trade Reporting Services, effective Fri 26th Sept, 2014

September 16, 2014 16:56:09

Dear BATS Chi-X Europe Participants,

BATS Chi-X Europe (BATS) would like to draw specific attention to the previously announced FIX Trade Capture Report (TCR) changes referenced in the Q3 Release Guidance note, which are being introduced to align with recently approved FIX trade reporting standards for Market Model Typology (MMT) by FIX Protocol Limited (FPL):

* Effective Friday 26th September 2014, BATS will not automatically enable the new FIX TCR functionality upon participant ports.

* The new FIX TCR changes will be supportable by use of a port configuration parameter at BATS, starting from Friday 26th September 2014.

* The old FIX TCR logic will continue to be an available option, however it will be decommissioned at some point within Q1 of 2015.

* Once confirmed, the decommission date for the old FIX TCR logic will be published granting participants ample notice before the deadline date drops.

* Any participants opting into the new FIX TCR logic must contact Trade Desk and instruct BATS of the date from when to enable the new FIX TCR logic and upon which ports.

* Failure to contact Trade Desk and request enablement of the new FIX TCR logic will result in continued old FIX TCR logic behaviour on participant ports on Friday 26th September 2014.

Summary of FIX Trade Capture Report Changes

* FIX - The following FIX value changes impact Trade Capture Report messages only:

o For ETRs, VenueType (1430) and MatchType (574) will become mandatory

o TradePublishIndicator (1390) will become mandatory

o An additional value of '0' (Do Not Publish) will be supported for TradePublishIndicator (1390)

o PreviouslyReported (570) will be deprecated in favour of TradePublishIndicator (1390)

o New approved value of 'O' instead of 'X' to indicate VenueType (1430) = Offbook

o New approved value of '62' instead of '59' to indicate TrdType (828) = Dark

o New approved value of '63' instead of '60' to indicate TrdType (828) = Technical

o New approved value of '64' instead of '58' to indicate SecondaryTrdType (855) = Benchmark

o TradingSessionSubID (625) must be specified in the NoSides repeating group

o An additional value of '8' (Unspecified Auction) will be supported for TradingSessionSubID (625)

o Added support for using OrderCategory = 3 (Privately Negotiated Trade) in order to set the MMT Level 3.2 flag

Separate to the above, the rest of the changes previously announced in the Q3 release are mandatory, and will take effect on Friday 26th September 2014 (from start of day). Those changes are summarised below:

Summary of Mandatory Changes

* PITCH:

o MMT v2.2 Level 3.7 flag 'Off Book Automated Indicator' will be added to the Trade Report Message. This flag will replace the current 'BATS Transaction Sub-Category' flag, which was reserved for future use. The use of the 'AUT' value in the Execution Venue field of the Trade Report Message to indicate an OTC trade executed in an automated manner will be deprecated and liable to be removed in a future release.

o Use of the fourth character of the Execution ID to differentiate BXE and CXE executions will be deprecated in favour of the use of MMT Level 1 flags contained within the Order Executed and Trade messages

o Added support for an additional value in MMT Level 2 for an 'Undefined Auction'

* Trade Data File:

o Two new columns 'Off Book Automated Indicator' and 'Account' will be added

* Symbol File:

o The 'eccp_enabled' column will be removed. The 'emcf_enabled' column will be renamed to 'euroccp_enabled'

o The column 'printed_name' will be added and will contain the Uniform Symbology symbol that will appear on market data feeds for the instrument in that row

* BOE for BXTR:

o Use of the PreviouslyReported flag will not be supported in conjunction with deferred publication of trade reports

Reason for changes

The mandatory changes are being made in order to extend support for MMT v2.2 and in response to Participant demand. The FIX changes are being made to accommodate recently approved changes in the FIX trade reporting standards for MMT.

Documentation

* Q3 Release Guidance Note: http://cdn.batstrading.com/resources/participant_resources/BCE-GuidanceNote-Q3Release_final.pdf

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

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

* On-Exchange FIX spec: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_FIX_Specification.pdf

* Off-Exchange FIX Spec: http://cdn.batstrading.com/resources/participant_resources/BATS_ChiX_Europe_TRF_FIX_Specification.pdf

* On-Exchange BOE spec: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Binary_Order_Entry_Specification.pdf

* Off-Exchange BOE spec:http://cdn.batstrading.com/resources/participant_resources/BATS_ChiX_Europe_TRF_BOE_Specification.pdf

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

Testing

All the changes aforementioned changes are currently available for testing in the Certification (UAT) environments.

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

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

Please refer to the Technical Change Calendar which summarises all upcoming major technical changes.

Trade Desk
BATS Chi-X 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.