Release Notes

BATS Chi-X Europe: Q2 2016 Exchange Release - Upcoming Functional Changes, effective Fri 29th April 2016

January 20, 2016 09:01:40

Dear BATS Chi-X Europe Participants,

The following changes constitute the BATS Chi-X Europe Q2 2016 Exchange Release, effective Friday 29th April 2016. Participants must be prepared for these changes from start of day on the effective date.
A summary of the changes is attached in the Q2 2016 Guidance Note.

Summary of Mandatory Changes

Removal of support:

* The Post Only At Limit order type will no longer be supported

* The BATS Latency Feed will be decommissioned
Market data:

* Trade cancellations will be disseminated on market data using the Trade - Extended Message with MMT flag 3.4 Modification Indicator 'C', instead of a Trade Break Message

* Trade amendments, whether resulting from a trade report or from the order book, will be disseminated on market data as a Trade Message - Extended Form (cancel) followed by a Trade Message - Extended Form (correction)

* Two new values XOFF and SINT will be supported in the Execution Venue field for Trade Messages in TRF to indicate OTC and Systematic Internaliser, respectively
Symbol file:

* Four new columns max_otr_count, max_otr_volume, capped and lis_min_val_notional will be added

* A new warning field will be added to the descriptor

Summary of Optional Changes

FIX & BOE:

* OrderCategory will be added as a new BOEv2 optional return bitfield for outbound Trade Capture Reports. It will be used to indicate that the trade utilised the Negotiated Transaction waiver.

* A new reject reason code 'v = MiFID II Double Cap related' will be added to indicate MiFID II double cap restrictions
New market data feeds:

* The BATS Auction Feed (BAF) is a new feed and will disseminate BATS Auction price and size information over TCP PITCH for Opening, Closing and Periodic Auctions

* The Last Sale Feed is a new feed and will disseminate real-time trade data over TCP including price, volume and time while specifically excluding order information. It is available in the MiFID II-compliant format for the purpose of post-trade transparency and is available in BETA format.

Reason for changes
These changes are being made in response to participant demand and to align with projected MiFID II mandates.

Documentation

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

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

* BAF: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Auction_Feed_Specification.pdf

* LastSale Feed: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Last_Sale_Specification.pdf

* Reference Data: http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_Reference_Data_Effective2.pdf

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

* TRF BOEv2: 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

Testing

* The removal of the BATS Latency feed and addition of the BATS Last Sale and BATS Auction Feeds will be effective in CERTIFICATION environments on Tuesday 1st March, 2016 and in PRODUCTION environments on Friday 1st April, 2016.

* All other changes highlighted above will be effective in the BXE and TRF CERTIFICATION environments on Tuesday 1st March, 2016, the CXE CERTIFICATION environment on Tuesday 29th March, 2016 and in PRODUCTION environments on Friday 29th April, 2016.

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.