EDGA/EDGX FIX Compatibility Mode Specification. Version 1.1.1

Transcription

1 EDGA/EDGX FIX Compatibility Mode Specification Version February 24, 2016

2 Contents 1 Introduction Overview FIX Messages Standard Message Header All Members Service Bureau Support PossResend Order Protocol Member to Bats New Order Single Cancel/Replace Request Order Protocol Bats to Member Execution Report Cancel Reject Trade Cancel/Correct DROP Copy Contact Information...13 All Rights Reserved Page 2

3 1 Introduction 1.1 Overview For a yet to be defined period of time, Bats will support a EDGA/EDGX FIX Compatibility Mode ( compatibility mode ) that will allow Direct Edge Members to utilize previously supported FIX tags to interact with the Bats system. EDGA/EDGX Members are encouraged to migrate to the Standard Bats FIX Specification ( standard specification ) as soon as possible as the compatibility mode will eventually be deprecated. Following are key differences in behavior that Members using compatibility mode must be aware of. For users of compatibility mode, these changes must be taken into account immediately. It is expected that flags and behaviors not referenced within this document should function as before on the EDGA/EDGX FIX gateways located in the NY4 data center. Members using compatibility mode will be required to certify with the Bats Trade Desk before they will be able to enter orders into the production environment in the NY5 data center. For questions regarding functionality not defined within this specification, please refer to the original EDGA/EDGX specific FIX specifications or contact the Bats Trade Desk (tradedesk@bats.com). All Rights Reserved Page 3

4 2 FIX Messages 2.1 Standard Message Header All Members Tag Field name Required Description 50 SenderSubID N Sub ID of sender: All Members must enter the SenderSubID assigned by Bats when sending FIX messages to EDGA or EDGX. (TargetSubID for messages from EDGA or EDGX) 57 TargetSubID N Sub ID of destination: TEST for messages sent to certification system. PROD for messages sent to production system Service Bureau Support All Members must send TargetSubID when sending FIX messages to EDGA or EDGX. (SenderSubID for messages from EDGA or EDGX) Tag Field name Required Description 50 SenderSubID N For Service Bureau use only. Enter End-Client ID as assigned by Bats when sending order to EDGA or EDGX. 57 TargetSubID N For Service Bureau use only. End-Client ID on messages sent from EDGA or EDGX. 115 OnBehalfOfCompID Y Service Bureaus must use. Identifies end-client on messages to Bats. Must be allowed NSCC MPID. The SenderSubID field allows EDGA/EDGX Service Bureaus to route orders to the respective exchange on behalf of multiple Members over a single FIX connection PossResend FIX Tag 97 (PossResend) will not support the full behavior specified in the FIX 4.2 Protocol for PossResend= Y. The message will be logged, but effectively ignored. For reasons of economy, Bats does not track (in primary storage) the ClOrdID values of orders that are no longer live. For reasons of performance, Bats does not access secondary storage to enforce unique ClOrdID values against orders that are no longer live. All Rights Reserved Page 4

5 Without full duplicate ClOrdID value enforcement, it is not possible to safely implement the full behavior specified in the FIX 4.2 Protocol for PossResend= Y. All Rights Reserved Page 5

6 2.2 Order Protocol Member to Bats New Order Single Tag Field name Field Description Modified or Removed 1 Account Modified The Account field will be restricted to 16 characters versus the 20 characters previously available. Values entered that exceed 16 characters will be truncated. 18 ExecInst Modified r = Re-Routable for RDOX strategy only (option no longer supported) 59 TimeInForce Modified When TimeInForce (59) = 3 or 4 (IOC or FOK), ExtedHrsEligible (9206) is ignored. All orders will be eligible for immediate execution in all trading sessions unless other factors (i.e. ROOC) apply When TimeInForce (59) = 6 (GTD), ExpireTime (126) will be adjusted to the regular session end time and the user submitted value is N, Y or <BLANK>. 198 SecondaryOrderID Modified This field no longer supports Member input. However, it may be returned on Execution Reports where the Member has requested to opt-in at the firm or port level for Report MTP Fields ExtedHrsEligible Modified A = Formerly supported as Regular Session and Post Market Eligible, functions as GTX in compatibility mode AbsoluteLimit Removed Absolute Limit on Pegged Discretionary order is no longer supported SpecialOrdType Modified R = Single Re-Price (option no longer supported) 114 LocateReqd Modified N = (Default) Client affirms ability to borrow or Member is relying on an exception to the Regulation SHO locate requirement AIGroupID Modified User can select 1 alpha-numeric character (2 characters no longer supported) to use as an Anti-Internalization Identifier. This is a required tag for Members using compatibility mode that select option C as the 2 nd character in PreventMemberMatch (7928). This field will eventually be deprecated in favor of using the 3 rd character of PreventMemberMatch (7928) as defined in the standard specification. All Rights Reserved Page 6

7 5700 LocateBroker Removed This field will not be supported in compatibility mode. It previously contained the MPID of a Locating Broker that would be validated against a Can Borrow From list within the Edge Risk Portal MinQtyInstruction Removed The MinQtyInstruction field normally used in conjunction with MinQty (110) will no longer be supported. MinQty will be honored on each execution RoutStrategy Modified ISCN = Directed IOC ISO routed to NSX has been added. All Rights Reserved Page 7

8 2.2.2 Cancel/Replace Request With respect to Cancel/Replace Request orders, the following fields may no longer be modified. Note that values entered in the following tags within a Cancel/Replace message will be ignored. Tag Field Name Comments 211 PegDifference The offset amount on a Pegged Order may no longer be modified DiscretionAmount The discretionary offset may no longer be modified. All Rights Reserved Page 8

9 2.3 Order Protocol Bats to Member Execution Report The table that follows describes fields and values that EDGA and EDGX Members using FIX will need to consider as there will be a behavior change. Tag Field Name Field Added, Modified or Removed Description 76 ExecBroker Removed This field is not supported in compatibility mode. It formerly returned the MPID from the Member configuration. If the MPID is sent in ClearingFirm (439) on the order, it will be returned on ClearingFirm (439) in the Execution Report. If the MPID is sent in OnBehalfOfCompId (115) on the order, it will be returned in both DeliverToCompID (128) and ClearingFirm (439). 150 ExecType Modified C = Expired (no longer supported) 39 OrdStatus Modified C = Expired (no longer supported) 198 SecondaryOrderID Modified Member input of data on New Order Single is no longer supported for this field. It will only be returned to Members that have requested to opt-in at the firm or port level for Report MTP Fields. 103 OrdRejReason Modified The following values are not supported in compatibility mode: 4 = Too late to enter 11 = Unsupported order characteristic 13 = Incorrect quantity 99 = Other Refer to standard specification for other supported values Booked Price Modified May be sub-penny price. All Rights Reserved Page 9

10 9730 TradeLiquidityIndicator Modified Present for acknowledgements and fills (150=0, 150=1 or 150=2): 1 st Character A = Trade Added Liquidity C = Auction Trade R = Trade Removed Liquidity X = Routed Trade 388 DiscretionInst Removed No longer supported. 840 PegScope Removed No longer supported. 2 nd Character H = Hidden Liquidity Add Trade I = Hidden Liquidity Add Trade that was Price Improved J = Execution from Order that Joined the NBBO S = Execution from Order that Set the NBBO V = Visible Liquidity Add Trade that was Price Improved Must request opt-in at firm or port level to receive 2 nd characters in this field. To allow for future expansion of this field, please ignore values with an unknown character in the 2 nd position. MTP For members that opt-in to Report MTP Fields functionality (at firm or port level), the liquidity add and remove values may be presented on an MTP triggered cancel/restatement. State Change Tracking For members that opt-in to State Change Tracking at the port level, order acks (150=0), modify acks (150=5) and restatements (150=D with 378=4) will carry 9730 messages defined as follows: A=Zero or more immediate partial remove fills followed by posting. R=Zero or more immediate partial remove fills followed by a cancel (or full fill). X=Zero or more immediate partial remove fills followed by routing All Rights Reserved Page 10

11 9207 ContraMemberID Removed No longer supported AIAdditionalInfo Removed No longer supported AbsoluteLimit Removed No longer supported. 378 RestatementReason Added Only present when 150=D 3 = Repricing of Peg Order 4 = State Change 5 = Reduction of OrdQty 6 = Price Sliding Reprice 9882 FeeCode Added Specific fee code associated with execution. See the Fee Schedule for the respective market for possible values. All Rights Reserved Page 11

12 2.3.2 Cancel Reject The table that follows describes fields and values that EDGA and EDGX Members using FIX will need to consider as there will be a behavior change. Tag Field Name Modified or Removed Description 102 CxlRejReason Modified The following values are not supported in compatibility mode: 2 = Exchange option. 6 = Duplicate ClOrdID 99 = Other Refer to standard specification for other supported values Trade Cancel/Correct The Bats FIX Trade Cancel/Correct message will be used, and the Direct Edge method of reporting trade busts or adjusts will be deprecated. Trade Cancel/Correct (UCC) is an optional message that must be enabled at the port level. It may be enabled for current-day only or for all cancels and corrections. Only the price of a trade may be corrected, all other details remain the same. Trade cancels and corrections do not alter live order state. Tag Field Name Req d Description 35 Standard Message Header Y MsgType= UCC 20 ExecTransType Y 1 = Trade Cancel 2 = Trade Correct 17 ExecID Y Day-unique id of execution message. 19 ExecRefID Y Refers to the ExecID of the message being cancelled or corrected. 37 OrderId Y OrderId of the original trade being cancelled/corrected. 11 ClOrdID Y ClOrdID of the original trade being cancelled/corrected. 55 Symbol Y Copied from original trade being cancelled/corrected (Available in FIX Drop). All Rights Reserved Page 12

13 65 SymbolSfx Y Copied from original trade being cancelled/corrected (Available in FIX Drop). 54 Side Y Copied from original trade being cancelled/corrected TradeLiquidityIndicator Y Copied from original trade being cancelled/corrected FeeCode N Only for Trade Corrects. Corrected fee code. 439 ClearingFirm N Copied from original trade being cancelled/corrected (if present). 440 ClearingAccount N Copied from original trade being cancelled/corrected (if present) CorrectedPrice N Only for Trade Corrects. Corrected price. 32 LastShares Y Quantity of shares on the original trade being cancelled/corrected. 31 LastPx Y Price on the original trade being cancelled/corrected. 42 OrigTime Y GMT date-time of original trade. 60 TransactTime Y GMT date-time of cancel/correct. Standard Msg Trailer Y 2.4 DROP Copy In compatibility mode, FIX Tag 58 (Text) will not be available on Standard FIX DROP. 3 Contact Information Please questions or comments regarding this specification to Htradedesk@bats.comH. All Rights Reserved Page 13

14 Revision History Document Date Description Version /04/14 Initial draft /22/14 In FIX Compatibility Mode restatements are not sent on New Order and Execution Reports, so SecondaryOrderId (198) will not be returned if a Member has requested to opt-in at the firm or port level for Restate on Reload. MinQtyInstruction (9500) will no longer be supported /05/14 Updates added related to handling of the TimeInForce (59) field in New Order Single messages /29/14 Clarification added to description of ExtedHrsEligible (9206) /08/14 Clarification added to description of MinQtyInstruction (9500). Added Trade Cancel/Correct message (35=UCC) /15/15 Added RestatementReason (FIX Tag 378). Added FeeCode (FIX Tag 9882) /29/15 Added C = Auction Trade to TradeLiquidityIndicator (9730) /05/15 Added ICSN to RoutStrategy (9400) in anticipation of NSX reactivation on 8/31/ /03/15 Added EffectiveTime (FIX Tag 168) /18/15 Removed EffectiveTime (FIX Tag 168) /19/16 Bats branding/logo changes /24/16 Updated reason code for restatement messages ExecRestatementReason (FIX Tag 378) Effective 3/10/16 All Rights Reserved Page 14