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Front End Systemic Capture Rule 123

Front End Systemic Capture Rule 123. David Bartges Director NYSE Technology Infrastructure January 13, 2000. NYSE Business Goals. Address regulatory issues Maximize operational efficiencies Provide new customer services. Industry Drivers. Move towards straight through processing

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Front End Systemic Capture Rule 123

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  1. Front End Systemic Capture Rule 123 David Bartges Director NYSE Technology Infrastructure January 13, 2000

  2. NYSE Business Goals • Address regulatory issues • Maximize operational efficiencies • Provide new customer services

  3. Industry Drivers • Move towards straight through processing • Decrease comparison/settlement window • Rapidly changing competitive landscape

  4. Program Components • Modifications to Rule 123 • New systems’ architecture and access network • Expanded use of industry-standard protocols and formats • Various system enhancements phased in over several years

  5. Rule 123 Summary • Order details must be entered into a system which electronically timestamps the time of entry on the Floor prior to representation at the point of sale

  6. Rule 123 Summary (cont) • Firms can comply in one of two ways: • Order details can be transmitted electronically to a system on the Floor which electronically timestamps the time the order was received on the Floor, or • Order details can be phoned to the Floor and then entered into a system which electronically timestamps the time of entry on the Floor.

  7. Rule 123 Summary (cont) • The device used to receive or enter the order details on the Floor can either be an Exchange provided system (e.g., BBSS) or a member’s own proprietary system. • If a proprietary system is used, a copy of the order details with the system produced timestamp must be transmitted to an Exchange database (i.e., FESC) within 60 seconds of the time the order was entered into or received in the system on the Floor.

  8. Rule 123 Summary (cont) • Mandatory order details: • Symbol, quantity, side of market, market/limit/stop/stop limit, limit/stop price, time in force, held/not held, unique order ID, member firm, clearing firm, special conditions, “Floor Available” timestamp • Optional order details: • Special instructions, account type (if known), account number, “Firm Send” timestamp

  9. Rule Change Filing Status • Rule Change published in Federal Register- 8/4/99 • SEC Approval pending • SEC order requires 9 months after rule approval for effective date ~ October 2000

  10. RULE 123 versus OATS • Most Rule 123 data elements also required by OATS • Rule 123 requires fewer data elements than OATS • Rule 123 is Floor oriented; OATS is firm oriented • Rule 123 submission “real time” (order-by-order); OATS is batch, file transfer

  11. FESC Message Formats Dom Gallo Director Member Firm Customer Services January 13, 2000

  12. FESC Architecture Member Firms Proprietary Order Drop Copies MF Interface Common Access Point Systematized Orders FIX Utility CMS/SDOT FESC Core Surveillance Systematized Orders & Proprietary Order Drop Copies FESC Database(s)

  13. Data Flow Member Firm / Service Bureau Telephone CAP NYSE SWOP Systems PSS FESC Telephone e-Broker Post DBK BBSS Proprietary System

  14. Mandatory FESC Order Details • Symbol • Clearing Member Organization • Unique Order Identifier (Branch Code & Sequence Number) • Member Firm Organization • Quantity • Order Instruction (Buy, Sell, etc.) • Price Delimeter (MKT, STP, STP LMT, etc.) • LMT Price and / or STP Price • Time In Force • Held or Not Held Designation • Special Conditions • Special Instructions • Floor Available Time • Drop Copy Flag

  15. Optional FESC Order Details • Data for new new orders related to equity trades as defined by the FCS specification. • Data for new new orders related to equity trades as defined by the FIX specification. • Sending Time • Write In Time • As Of Indicator (conditional)

  16. Order Details (FCS Format) Line 0: Firm Identifier AAAA Line 1: Branch Sequence Code Number AAA nnnn Line 1A: Exchange Routing Competing Booth Code Code Specialist Code ID NY OL AAAA B-AA RPX RPVX A AV OVR OS TS

  17. Order Details (FCS Format) Line 2: Possible Cancel Order Duplicate Instruction POSS^DUPE CXL BUY CXL^BAL BUY^MINUS SL SL^PLUS SSHRT SSHRT^EXEMPT Lines 3 & 3C: Quantity Stock Suffix Price Symbol Delimeters nnnnnnnXYZ PRACL MKT MKT^CLO MKT^OB + MKT^WOW (price) (price)^CLO +Valid for Odd Lots only (price)^STP *Either version is acceptable for a *(price)^STP^(price)^LMT Stop Limit Order *(price)^STP^(price) (price)^OB +WOW +(price)^WOW +BAS +CLO

  18. Order Details (FCS Format) Lines 3A & 3D: All or Time-In- Do Not Reduce Delivery Try to Account None Force Do Not Increase Instructions Stop Type AON GTC DNR CASH TTS A DAY DNI ND B OPG SELLER^nn C OC D FOK E GTX F H I J K L M N O P R T U W X Y Z

  19. Order Details (FCS Format) Line 3B: Additional Order Kind of Cancel Instruction or Switch Order OR SW BUY or BUY^MINUS CXL SL or SL^PLUS CXL^BAL SSHRT SHRT^EXEMPT CXL (price) (price)^STP Line 3E: Leaves Time-In- Force LVS^nnnnnnn DAY GTC OPG FOK OC GTX

  20. Order Details (FCS Format) Line 3F: Double Slash Miscellaneous Order Information //(miscellaneous order information) Line 4: Miscellaneous Information Miscellaneous Data Line 4A: Reference Branch & Field Date Miscellaneous Information Sequence Separator Information RE AAA^nnnn / MMDDYY Miscellaneous Data or MMDDCCYY

  21. Order Details (FCS Format) Line 4B: Give Up Confirmation Information Line GU^AAAA CFN^100^XYZ^10^1/2 Line 4C: (New Line) Floor Available Write In As Of Sending Drop Copy Time Time Indicator Time Flag JJJJJ^HH:MM:SS JJJJJ^HH:MM:SS A JJJJJ^HH:MM:SS D (system produced) (system produced) (system produced)

  22. Line 4B - Give up Information • The Give up (i.e., mnemonic of the Clearing Firm) must be present on all Drop Copies. FORMAT GU^AAAA Where AAAA is 1 to 4 alpha characters.

  23. Date and Time Format JJJJJ^HH:MM:SS • DATE - (JJJJJ) the last five digits of the Julian date. • Today’s Julian date is: 2,451,557 • Time Stamps - must include hours, minutes and seconds in 24 hour format. • All time stamps shall be represented as: • Coordinated Universal Time (UTC). • The system that records and electronically time stamps the order details should be synchronized to either the National Institute of Standards & Technology (NIST) or the United States Naval Observatory (USNO). • For OATS, all member firms are currently required to synchronize their time clocks and order entry systems to NIST.

  24. Line 4C - Field 1 Floor Available Time: (required field) FORMAT JJJJJ^HH:MM:SS • The time the details of a new order, cancel, or cancel-with-replacement order are first displayed on or entered into a device on the NYSE trading floor. • A system produced time stamp. • This time may be different from the time an order is received on the Floor.

  25. Line 4C - Field 2 Write In Time: (optional field) FORMAT JJJJJ^HH:MM:SS • This field may be used In the case of a system failure. The Write In Time will indicate the actual time an order was received on the Trading Floor. • Note that an “As Of” indicator flag must always be set when order details are being recorded late due to a system failure, regardless of whether a “Write In” time is entered.

  26. Line 4C - Field 3 As Of Indicator: (conditionally required) FORMAT A • A flag that is manually entered by a user to indicate that a new order, cancel, or cancel-with-replacement order was represented on the NYSE trading floor before being entered into a system (i.e., Late Entered Orders). • The As Of Indicator should only be used in situations where orders are entered into a system late (i.e., due to system failure). • Use of the As Of Indicator must be followed by a written report to NYSE surveillance with in 48 hours.

  27. Line 4C - Field 4 Sending Time: (optional field) FORMAT JJJJJ^HH:MM:SS • A system produced timestamp of the time an FESC Drop Copy is transmitted. By rule, NYSE Receive Time minus Floor Available Time must be less than 60 sec. Therefore, Sending Time minus Floor Available Time should also be less than 60 sec.

  28. Line 4C - Field 5 Drop Copy Flag: (required field) FORMAT D • A flag that indicates that the message being sent to FESC is a Drop Copy. • This applies to any new order, cancel, or cancel-with-replacement order.

  29. FIX Messages • Upon recommendation from the FIX committee, the FIX Execution Report (message type 8) will be used for handling FESC Drop Copy messages.

  30. Drop Copy Order Details (FIX Format)

  31. Drop Copy Cancel / Replace Order Details (FIX Format)

  32. FESC Reject Messages FIX Reject Message Note: FESC will use the same format as the FIX Reject message, except that the Text field (Tag = 58) shall state the following:

  33. Common Access Point (CAP)Overview Frank Candreva Lead Technical Analyst Member Firm Customer Services January 13, 2000

  34. Business Drivers • Fast and easy access to NYSE services • Leverage customer’s technology investments & control costs • Provide customers additional connectivity choices

  35. Customers Served • NYSE Members • Sponsored non-members (e.g., institutions, broker / dealers, individual investors) • Listed companies • Financial Service Bureaus • Vendors • Electronic Communication Networks (ECN’s)

  36. Design Objectives • Standards based open architecture • Support multiple access methods using the TCP/IP protocol suite • Access multiple NYSE services over single physical connection

  37. Key Features • Robust security architecture • High availability • High speed low latency architecture • Protocol translation services • Rapid implementation of new services

  38. Security Goals • Ensure operational integrity of NYSE systems & networks • Use standard security mechanisms to minimize the need for custom solutions • Support various levels of user authentication • Integrate with SIAC’s authorization entitlement services • Ensure high availability of security services

  39. Customer's Network Direct Connection Customer's Service Network Bureaus Customer's Public Network Extranets Internet Customer's Network Access Methods Other SIAC Networks Common Access Point NYSE / SIAC CentralServices (e.g., DNS, Common FIX translation) Access Point NYSE Floor Networks NYSE Services, e.g.: XPress, CMS, BBSS, FESC Trading Floor Hand held X-Terminal Terminal

  40. Access Method Capabilities

  41. Protocols Supported

  42. Business Services Supported • CMS • Institutional XPressSM • Front End Systemic Capture • Broker Booth Support System • WDS Hand held / e-Broker • Customer Proprietary Services • Future NYSE business services

  43. New Services - Target Rollout 2000 2001 Jan Feb Mar Jul Aug Sep Jan Feb Mar Apr May Jun Oct Nov Dec FIX to CMS n Test 5 50 FCS (TCP/IP) n Test 5 50 Front End n Test 1 25+ Systemic Capture Institutional n 5 200 Test XPress

  44. Specifications • Information Memo #99-38 - FESC • issued 7/30/99 • CAP Network Interface Specification • issued 8/30/99, update due 12/31/99 • FESC Drop Copy Application Specification • issued 8/30/99 • CAP Security Interface Specification • issued 12/14/99 Specs available at www.nyse.com/techspecs

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