POUCH Specification. Version 1.1.3

Transcription

1 POUCH Specification February 1, 2007

2 Overview BATS subscribers may use the POUCH protocol to enter limit orders, cancel existing orders, and receive executions. POUCH does not support modifying orders. BATS also offers the FIX protocol for subscribers for who would rather use that format for orders. In general, POUCH was designed for subscribers who place a high premium on performance and throughput. BATS PITCH protocol, also distributed separately, is used to send out BATS market data. All subscriber trading activity on BATS is anonymous. POUCH only reflects the order activity for a specific POUCH account. The highlighted sections indicate differences between POUCH and similar protocols used by other ECNs. BATS reserves the right to add fields to the end of POUCH messages before the linefeed terminator. Note that Order Ids and Execution Ids are 12 characters base 36 instead of 9 characters base 10. Protocol The POUCH protocol is comprised of a series of fixed-length messages communicated between the POUCH host and client. The length of each message is dependent upon the message type. Each message is made up of noncontrol ASCII bytes. The messages that make up the POUCH protocol are delivered using SOUP 2.0, which handles sequencing and delivery integrity. BATS implementation of SOUP 2.0 is the same as other ECN s. Messages sent from the POUCH host to the client are sequenced and guaranteed via SOUP 2.0. Messages sent from the client to the POUCH host are unsequenced and may be resent benignly. Each POUCH host port is bound to a BATS assigned POUCH account. Each day every new order is uniquely identified by the combination of POUCH account and the subscriber assigned token. Each POUCH message reflects the addition, deletion, or execution of an order in the system. POUCH client applications should robustly ignore any message types they do not understand. s BATS supports multiple versions of POUCH. Each new version is backward compatible with every earlier version. For example, subscribers using POUCH 1.0 are unaffected by the introduction of version 1.1. If subscribers wish to use version 1.1 functionality, they can simply send the additional version 1.1 fields in the New Order Message and the corresponding additional version 1.1 fields in the Order Accepted Message will be sent to the subscriber. Thus, the introduction of a new version does not require subscribers to take any action unless they wish to use the new functionality. Data Types Numeric fields are a string of ASCII digits, right justified and zero filled on the left. Base 36 Numeric (Order Id and Execution Id) fields are base 36 (0-9A-Z) numbers, right justified and zero filled on the left. Alpha fields are left justified and space padded on the right. Alpha-Numeric fields are a string of ASCII characters (33-126, excluding characters (,; ) and space), left justified and space padded on the right. Prices are decimal with 6 whole number digits followed by 4 decimal digits. The whole number portion is zero filled on the left and the decimal portion is zero filled on the right. The decimal point is implied by position and does not explicitly appear in the field. Fees are decimal with a + (fee) or (rebate) prefix followed by 5 whole number digits and 5 decimal digits. The whole number portion is zero filled on left and the decimal portion is zero filled on the right. The decimal point is implied by position and does not explicitly appear in the field. BATS Trading, Inc Page 2 of 13

3 Timestamp fields are whole number milliseconds past midnight Eastern Time, right justified and zero filled on the left, with no decimal point. Automatic Cancel On Disconnect or Malfunction All open orders for a subscriber will be cancelled automatically if no messages have been received from the subscriber for three heartbeat intervals. This is done to prevent orders from being stuck in an unknown state in the event of telecommunications failure. Order Canceled Messages for the automatically cancelled orders are available upon reconnection. Subscribers are responsible for rerouting orders to other market centers based on their business needs. This should be rare, but all open orders may also be cancelled in the event of a complete or partial system malfunction. Access Fees Returned on Order Execution Messages The access fee associated with each fill is calculated to 5 decimals and returned on each Order Execution Message. Negative numbers indicate liquidity rebates. Subscribers should program their systems to read, validate, and pass along this field in order to avoid making software changes to their systems when BATS fee schedule changes. The sum of the access fees received during a month should equal the access fee charged or rebated on a subscriber s monthly bill, rounded to the nearest penny. Service Bureau Functionality A service bureau arrangement allows one or more subscribers to enter orders through a single POUCH account. Each service bureau POUCH account must be explicitly configured to allow orders on behalf of certain BATS subscribers with a service bureau agreement. After an agreement is signed, a service bureau can submit orders on behalf of different BATS subscribers by submitting the subscriber s MMID in the Firm field of each New Order message. 1 Outbound Sequenced Messages BATS to Subscriber Outbound messages are sent from the POUCH host to your client application. Unlike other ECN s, BATS does not send start of day and end of day messages. 1.1 Order Messages Order messages mark each event the in lifetime of an order Order Accepted Message An Order Accepted Message acknowledges the acceptance of a New Order Message. Fields in the New Order Message are reflected in the Order Accepted Message. The entered and accepted values may differ for certain fields. An Order Accepted Message is always sent prior to any Order Canceled or Order Execution Message for the order. 1.0 Timestamp 0 8 Numeric Timestamp 1.0 Message Type 8 1 A Order Accepted Message 1.0 Token 9 14 Alpha-Numeric Client assigned order token field as entered 1.0 Side Indicator 23 1 Alpha Side indicator as entered (see New Order Message for values) 1.0 Shares 24 6 Numeric Number of shares as entered 1.0 Stock Symbol 30 6 Alpha Stock symbol as entered 1.0 Price Price Accepted limit order price which is always equal to or better than the entered price. BATS Trading, Inc Page 3 of 13

4 1.0 Time In Force 46 5 Numeric Accepted Time In Force which is always equal to or shorter than the entered Time in Force. 1.0 Firm 51 4 Alpha Accepted firm for the order. If left blank, the default firm for the POUCH account will be filled in here. 1.0 Display 55 1 Alpha Display type as entered 1.0 Order Id Base 36 Numeric BATS assigned day-unique identifier 1.0 Reject Action 68 1 Alpha Reject action as entered 1.0 Add Liquidity 69 1 Alpha Add Liquidity Only flag as entered Only 1.1 Max Floor 70 6 Numeric Portion of Shares to display. The balance is reserve. 0 displays entire quantity (Default). The displayed quantity of each order at a price level is decremented first. When displayed quantity is fully decremented it is reloaded up to MaxFloor from reserve. Use Display field to indicate orders that are entirely hidden. 1.1 Discretion Cents 76 4 Numeric Whole pennies of discretion more aggressive than the order price. Non-negative number between If zero (default), discretion price is equal to order price. Order will be displayed at Price but can execute in discretionary range. A discretionary order will use the minimum amount of discretion necessary to achieve execution. Non-zero Discretion Cents does not mix with IOC and requires Reject Action= R (Reject) and Add Liquidity Only= R (Allow Removal) Capacity 80 1 Alpha A Agency P Principal R - Riskless Conditional Percent Quantity 81 3 Numeric Percent (0-100) of inbound routable, marketable Shares that this resting conditional order will interact with. Default is zero, indicating this is not a BATS conditional order. To accept a value greater than zero, the order must be Add Liquidity Only (Add Liquidity Only= A ) and hidden (Display= N ) User 84 4 Alpha-Numeric User-defined pass through value to distinguish different trading activity BATS Trading, Inc Page 4 of 13

5 1.1.2 Order Canceled Message A canceled order message indicates the order has been reduced or canceled in response to a Cancel Order Message, the order timing out, or an automatic cancel. This message does not necessarily indicate the entire order is dead as some portion of the order may still be alive. 1.0 Timestamp 0 8 Numeric Timestamp 1.0 Message Type 8 1 C Order Canceled Message 1.0 Token 9 14 Alpha- Client assigned order token Numeric field as entered 23 6 Numeric Number of shares canceled (incremental) 1.0 Canceled Shares 1.0 Cancel Reason 29 1 Alpha Reason the order was canceled. See reasons below Cancel Reasons Reasons A F H L M N O Q R S T U V W X Y Z Description Administrative. This order was manually canceled or reduced by a BATS administrative terminal, usually in response to a subscriber request. Could not reflect on SUMO or NSX Halted. Not accepting new orders. Lock or cross. Order would lock or cross NBBO. Order exceeds maximum size limit No Liquidity. Ran out of liquidity to execute against. Token does not match a known order Waiting for first trade Routing unavailable Short sale violation Trade through. Order would have caused a trade through violation. User requested. Sent in response to Cancel Order Message. Would cause wash trade AddLiquidityOnly order would remove liquidity Expired. Time in Force for this order has expired. Symbol not traded Unforeseen reason The client should robustly handle any new Cancel Reasons that may be added in the future Order Execution Message An Order Execution Message indicates all or part of an order has been executed. Subscribers should use the Access Fee field in each execution to account for their debit or credit with BATS. 1.0 Timestamp 0 8 Numeric Timestamp 1.0 Message Type 8 1 E Order Executed Message 1.0 Token 9 14 Alpha- Client assigned order token BATS Trading, Inc Page 5 of 13

6 Numeric field as entered 1.0 Executed Shares 23 6 Numeric Number of shares executed (incremental) 1.0 Price Price Price of the execution 1.0 Liquidity Flag 39 1 Alpha See Liquidity Flag Values below. 1.0 Execution Id Base 36 Numeric BATS assigned execution ID shared by the buy and sell order. 1.0 Access Fee Fee (+) Fee or (-) rebate for the entire execution based on BATS access fee policies. 1.0 Contra 63 4 Alpha BATS = Internally matched INET = Routed to Nasdaq ARCA = Routed to Arca NSX = Order delivery execution from NSX Liquidity Flag Values Flag A C R X Q Description Added liquidity Conditionally Added liquidity Removed liquidity Routed NASDAQ or NSX delivered against order Trade Broken Message A Trade Broken Message indicates an execution on BATS has been broken. The trade is not good and will not clear. The break reason is given in the message. 1.0 Timestamp 0 8 Numeric Timestamp 1.0 Message Type 8 1 B Trade Broken Message 1.0 Token 9 14 Alpha- Client assigned order token Numeric 1.0 Execution Id Base 36 Numeric field as entered BATS execution identifier of the execution that was broken. Execution Id refers to previously sent Order Execution Message. 1.0 Reason 35 1 Alpha See Trade Break Reasons below. Trade Break Reasons BATS Trading, Inc Page 6 of 13

7 Reason A C E Description Administrative. The trade was broken by a BATS administrative terminal. Consent. Both parties agreed to break the trade. Erroneous. The trade was declared clearly erroneous Order Rejected Message An Order Rejected Message is sent in response to a New Order Message that cannot be accepted for the given reason. The order is dead and the token cannot be re-used. 1.0 Timestamp 0 8 Numeric Timestamp 1.0 Message Type 8 1 J Order Rejected Message 1.0 Token 9 14 Alpha- Numeric Client assigned order token field as entered 1.0 Reason 23 1 Alpha See Cancel Reasons above. 1.0 Text (Optional) 24 Variable Alpha- Numeric Description of reject reason (optional, by default text is NOT sent) The client should robustly handle any new Reject Reasons that may be added in the future. 2 Outbound Unsequenced Messages (Optional) BATS to Subscriber Outbound unsequenced messages are not counted in the number of sequenced messages sent to the subscriber. Thus, when logging into POUCH via Soup 2.0, the requested sequence should not include outbound unsequenced messages. Further, outbound unsequenced messages are never replayed. 2.1 Cancel Rejected Message A Cancel Rejected Message is sent in response to a Cancel Order Message that contains an unknown order token. A Cancel Rejected Message indicates BATS never accepted the order and the order can be considered dead. A Cancel Rejected Message is NOT sent in a too late to cancel scenario. Each POUCH port can be configured to send or not send Cancel Rejected Messages based on subscriber choice. By default Cancel Rejected Messages are NOT sent. 1.0 Message Type 0 1 K Cancel Rejected Message 1.0 Token 1 14 Alpha-Numeric Client assigned order token field as entered 1.0 Reason 15 1 Alpha O Unknown Order 3 Inbound Messages Subscriber to BATS Inbound messages are unsequenced messages sent from the subscriber to the POUCH host. Subscribers may benignly re-send inbound messages if they are unsure if BATS received the message due to a dropped connection BATS Trading, Inc Page 7 of 13

8 for any reason. An intelligent POUCH client can safely re-send pending messages during recovery without fear of generating duplicate orders. 3.1 New Order Message A New Order Message allows a subscriber to enter an order into BATS. Each new order is identified by a day unique token within the context of each POUCH account. An Order Accepted Message will be sent in response to a valid new order while a duplicate order will be rejected. 1.0 Message Type 0 1 O New Order Message 1.0 * Token 1 14 Alpha-Numeric Client assigned day unique order token for each POUCH account 1.0 Side Indicator 15 1 Alpha B Buy S Sell T Sell Short E Sell Short Exempt U Sell Short Unable to Locate will cause reject 1.0 Shares 16 6 Numeric Number of shares as entered. Must be greater than zero. 1.0 Stock Symbol 22 6 Alpha Stock symbol 1.0 Price Price Limit order price. See Data Types section for description of price format. Zero price indicates market order. 1.0 Time In Force 38 5 Numeric Number of seconds this order should live before being canceled. See special values below. 1.0 Firm 43 4 Alpha All caps Firm Identifier for the subscriber. If this field is blank, the default firm for the POUCH account will be used. 1.0 Display 47 1 Alpha Y Visible N Invisible R Visible, but reject order if Price cannot be accepted and displayed without adjustment. L Visible, but reject order if Price cannot be accepted without permanent adjustment. 1.0 Reject Action 48 1 Alpha Action to take if the order would normally be rejected. O Route to all electronic market centers BATS Trading, Inc Page 8 of 13

9 1.0 Add Liquidity Only N Route to NASDAQ (INET) only A Route to ARCA only R Reject as normal I Intermarket Sweep sweep BATS book without regard to NBBO but do not book or route C Route to NSX BLADE (sweep BATS first) Z Route full size to NSX, then sweep BATS (Reg. NMS compliant way to access NSX top of book) 49 1 Alpha A Add Liquidity Only R Allow Removal of Liquidity 1.1 Max Floor 50 6 Numeric Portion of Shares to display. The balance is reserve. 0 displays entire quantity (Default). The displayed quantity of each order at a price level is decremented first. When displayed quantity is fully decremented it is reloaded up to MaxFloor from reserve. Use Display field to indicate orders that are entirely hidden. 1.1 Discretion Cents 56 4 Numeric Whole pennies of discretion more aggressive than the order price. Nonnegative number between If zero (default), discretion price is equal to order price. Order will be displayed at Price but can execute in discretionary range. A discretionary order will use the minimum amount of discretion necessary to achieve execution. Non-zero Discretion Cents does not mix with IOC and requires Reject Action= R (Reject) and Add Liquidity Only= R (Allow Removal) Capacity 60 1 Alpha A Agency P Principal BATS Trading, Inc Page 9 of 13

10 1.1.2 Conditional Percent Quantity R Riskless 61 3 Numeric Percent (0-100) of inbound routable, marketable Shares that this resting conditional order will interact with. Default is zero, indicating this is not a BATS conditional order. To accept a value greater than zero, the order must be Add Liquidity Only (Add Liquidity Only= A ) and hidden (Display= N ) User 64 4 Alpha-Numeric User-defined pass through value to distinguish different trading activity * Token has the same restrictions as the OATS 'Routed Order ID', defined in Appendix A of the 'OATS Reporting Technical Specifications'. Special Time In Force Values Value Description 0 Immediate or cancel Market Day. Indicates that the order should live until the market close on the primary market for the security BATS Day. Indicates that the order should live until the end of the BATS trading day. BATS follows NASDAQ conventions when assigning liquidity add/remove status on fills that involve discretion: 1) An IOC order is always charged the remove fee. Whatever order it hits always gets the provider rebate. 2) A non IOC order that hits a discretionary order at other than its display price gets the provider rebate. The resting discretion order is charged the remove fee. 3) A discretion order that hits a resting discretion order gets the provider rebate. The resting discretion order is charged the remove fee, but uses the minimum necessary amount of reserve. 4) An inbound add liquidity only order may execute against a discretionary order at its displayed price. In this case the add liquidity only order gets the provider rebate and the resting discretionary order pays the remove fee. 3.2 Cancel Order Message A Cancel Order Message requests that an order be canceled or reduced. The shares field in the Cancel Order Message represents the new intended order size. This new intended order size is the maximum cumulative shares that can be executed after the cancel is applied. Enter shares of zero to cancel an entire order. 1.0 Message Type 0 1 X Cancel Order Message 1.0 Token 1 14 Alpha-Numeric Client assigned day unique order token for each POUCH account BATS Trading, Inc Page 10 of 13

11 1.0 Shares 15 6 Numeric New intended order size. This is the maximum cumulative shares that may be executed after the cancel is applied. Enter zero to kill the entire order. BATS Trading, Inc Page 11 of 13

12 Symbology BATS allows a maximum of 6 characters for symbols which requires the conversion of certain CQS issues to a 6 character format prior to order entry. The conversion for these CQS symbols is found below. Symbology for CQS Symbols Type SIAC/CQS Suffix Exchange/CMS Suffix BATS Suffix Preferred p PR - Preferred Class "A" pa PRA -A Preferred Class "B" pb PRB -B Class "A" /A A.A Class "B" /B B.B Warrants /WS WS + Warrants Class "A" /WS/A WSA +A Warrants Class "B" /WS/B WSB +B Preferred when distributed p/wd PRWD -$ When distributed /WD WD $ Called /CL CL * Class "A" called /A/CL ACL.A* Preferred called p/cl PRCL -* Preferred "A" called pa/cl PRACL -A* Preferred "A" when issued paw PRAWI -A# Emerging Company Marketplace /EC EC! Partial Paid /PP Convertible called /CV/CL CVCL % Rights r RT ^ Units /U U = When issued w WI # Rights when issued rw RTWI ^# Preferred when issued pw PRWI -# Class "A" when issued /Aw AWI.A# Warrant when issued /WSw WSWI +# Test /TEST TEST ~ BATS does not require conversion of NASDAQ-listed securities as they are limited to 5 characters. BATS Trading, Inc Page 12 of 13

13 Support Please questions or comments regarding this specification to Revision History Date Modification January 9, Initial February 3, Added description of service bureau support March 24, Added additional reason codes March 27, Added Cancel Rejected Message and reject text May 11, Added Alpha-numeric data type description June 7, Added Max Floor and Discretion Cents to New Order and Order Accepted Messages June 15, Added Capacity to New Order and Order Accepted Messages July 31, Added Conditional Percent Quantity to New Order and Order Accepted Messages August 16, Added NASDAQ (INET) Only routing as possible Reject Action August 21, Added Symbology Section September 21, Added User field to New Order and Order Accepted messages October 5, Added Market order support (zero price) November 27, Added valid Contra values on Order Execution Message December 15, Added C (BATS+NSX BLADE) routing as possible Reject Action December 20, Added Z (NSX+BATS) routing as possible Reject Action December 28, Added V (Would Wash) Cancel Reason January 29, Added R Display Indicator to opt-out of price adjustment BATS Trading, Inc Page 13 of 13