The Q4 2016 Exchange Release

29th October 2016

Cboe announced the Q4 2016 Exchange Release in August 2016. In addition to optional drop copy changes in support of the Cboe LIS service, this release represents the second major functionality change related to MiFID II compliance. Along with the key changes listed below, a Q4 Guidance Note has been published with detailed changes.

FIX & BOE

  • In order to help ensure that only business that was genuinely the target of European policy makers would count towards the MiFID II Double Volume Caps, Exchange Trade Reports (ETRs) that meet the size threshold of the current MiFID Large In Scale (LIS) pre-trade transparency waiver will be considered as using the LIS waiver rather than the Negotiated Trade waiver. In addition, support for ETRs with ExecInst(18)=M (Midpoint) will be removed with the Q4 release.
  • In order to achieve the required granularity of MIC codes for MiFID II, Cboe is introducing new segment MICs for the REGM. Please refer to our website for an updated MIC table. From the effective date of the Q4 release, firms that have opted-in to have the LastMkt field on Order Executions may expect to receive content based on the new segment MIC structure on their FIX or BOE ports.
  • In addition to the proposed record keeping fields on FIX and BOE, a new Identifier Management API is also available for Participant use from the effective date of this release. Cboe's previously announced approach to record keeping can be found here.
  • MiFID II/R introduce obligations for investment firms who have a high intraday message rate. In order to assist participants, Cboe will make periodic reports available that provide an estimate of their average intraday message rate, taking into account the various characteristics defined in the legislation. Please note that Participants should not solely rely on these estimates, but may find them useful in determining whether they are covered by high frequency algorithmic trading obligations or not.
  • With the implementation of MiFID II/R, all firms pursuing an algorithmic market making strategy that meets the definition set out in the legislation, will be required to sign up to a monitored market making agreement, on the venues where said strategy is being pursued. The functionality for a third Liquidity Provider Programme (LPP3) that is intended to support participants who are captured by the obligation, is made available in Production with the Q4 release. The functionality allow Participants to register and monitor their own performance against the new programme's requirements using the standard Cboe LPP tools. The programme will not be incorporated in the Participant Manual, nor will Cboe monitor or enforce the program until a successful participant consultation have been made and at a date closer to MiFID II/R entry into force.

Market data (TCP & Multicast PITCH)

  • ETRs submitted to BXE or CXE will be categorised as LIS automatically if they are large enough to qualify for the LIS waiver.
  • Non-LIS ETRs that are amended up in size making them eligible for the LIS waiver, remain under the Negotiated Trade Waiver. If these ETRs are completely cancelled and resubmitted with LIS-eligible size, they will be treated as such.
  • LIS ETRs will be published on market data without the MMT Negotiated Trade flag set.

Symbol file

  • The Symbol Reference Data CSV file contains a column 'csd' which is currently populated with Central Securities Depositary (CSD) SWIFT BIC codes for CXE listed instruments only. If the instrument is not CXE listed, the field is left blank. Effective with the Q4 2016 release, the CSD column will be populated with the SWIFT BIC code settlement location for all tradable instruments in BXE and CXE.
  • With the implementation of MiFID II/R, Cboe will be required to calculate the ratio of unexecuted orders to transactions ("Order to Trade Ratio" or "OTR") incurred by Participants at a symbol level. Following the implementation of the Q4 release, as part of an extended consultation, Participants will be able to see a value populated in the existing 'max_otr_count' and 'max_otr_volume' columns of the Symbol Reference Data CSV files.

Removal of support

  • Support for ETRs with ExecInst(18)=M (Midpoint) will be removed in the Q4 release.
  • LIS ETRs cannot have their size amended down below the LIS threshold. ETR amendment messages attempting to do so will be rejected. The ETR must instead be cancelled, and re-submitted as a new ETR with the smaller size.