47
Front End Systemic Capture Rule 123 David Bartges Director NYSE Technology Infrastructure January 13, 2000
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
13
MF Interface
FIX Utility
Common
Access
Point
FESC Database(s)
Systematized Orders &
Proprietary Order Drop Copies
CMS/SDOT FESC Core Surveillance
Systematized
Orders
Proprietary Order
Drop Copies
Member
Firms
FESC Architecture
14
Data Flow
Member Firm / Service Bureau
e-BrokerProprietary System
Telephone
Telephone
BBSSPost DBK
CAP
PSSNYSE SWOP
SystemsFESC
15
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
16
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)
Optional FESC Order Details
17
Order Details (FCS Format)
Line 0:Firm Identifier
AAAALine 1:BranchSequenceCode Number
AAA nnnnLine 1A:Exchange Routing Competing
BoothCode Code Specialist Code ID
NY OL AAAA B-AARPXRPVXAAVOVROSTS
18
Order Details (FCS Format)
Line 2:Possible Cancel OrderDuplicate Instruction
POSS^DUPE CXL BUYCXL^BAL BUY^MINUS
SLSL^PLUSSSHRTSSHRT^EXEMPT
Lines 3 & 3C:Quantity Stock Suffix Price
Symbol Delimeters
nnnnnnn XYZ PRACL MKTMKT^CLOMKT^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
19
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 ADAY DNI ND BOPG SELLER^nn COC DFOK EGTX F
HIJKLM
NOPRTUWXYZ
20
Order Details (FCS Format)
Line 3B:Additional Order Kind of CancelInstruction or Switch Order
OR
SW BUY or BUY^MINUSCXL SL or SL^PLUSCXL^BAL SSHRT
SHRT^EXEMPT
CXL (price)(price)^STP
Line 3E:Leaves Time-In-
Force
LVS^nnnnnnn DAYGTCOPGFOKOCGTX
21
Order Details (FCS Format)
Line 3F:Double SlashMiscellaneous Order Information
//(miscellaneous order information)
Line 4:Miscellaneous Information
Miscellaneous Data
Line 4A:Reference Branch & Field Date MiscellaneousInformation Sequence Separator Information
RE AAA^nnnn / MMDDYY Miscellaneous Data or MMDDCCYY
22
Order Details (FCS Format)
Line 4B:Give Up ConfirmationInformation Line
GU^AAAA CFN^100^XYZ^10^1/2
Line 4C: (New Line)Floor Available Write In As Of Sending Drop CopyTime Time Indicator Time Flag
JJJJJ^HH:MM:SS JJJJJ^HH:MM:SS A JJJJJ^HH:MM:SS D
(system produced) (system produced) (system produced)
23
Line 4B - Give up Information
The Give up (i.e., mnemonic of the Clearing Firm) must be present on all Drop Copies.
FORMATGU^AAAA
Where AAAA is 1 to 4 alpha characters.
24
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.
25
Line 4C - Field 1
Floor Available Time: (required field)
FORMATJJJJJ^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.
26
Write In Time: (optional field)
FORMATJJJJJ^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.
Line 4C - Field 2
27
As Of Indicator: (conditionally required)
FORMATA
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.
Line 4C - Field 3
28
Sending Time: (optional field)
FORMATJJJJJ^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.
Line 4C - Field 4
29
Line 4C - Field 5
Drop Copy Flag: (required field)
FORMATD
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.
30
FIX Messages
Upon recommendation from the FIX committee, the FIX Execution Report (message type 8) will be used for handling FESC Drop Copy messages.
31
Drop Copy Order Details (FIX Format)
FIX Tag FIX Tag Name Drop Copy Field Name
55 & 65 Symbol & SymbolSfx Symbol76 ExecBroker Clearing Organization11 CIOrdID Order ID49 SenderCompID Member Firm Organization38 OrderQty Quantity54 Side Side of Market40 OrdType Order Type44 and/or 99 Price, StopPx LMT Price and/or STP Price59 TimeInForce Time In Force18 ExecInst Held or Not Held18 ExecInst Special Conditions18 ExecInst Special Instructions60 TransactTime Floor Available Time58 Text (Optional) Data for New Orders9404 WriteInTime Write In Time (If Provided)9405 AsOfIndicator As Of Indicator (If Provided)52 SendingTime (Optional) Sending Time9406 DropCopyFlag Drop Copy Flag
32
Drop Copy Cancel / Replace Order Details (FIX Format)
FIX Tag FIX Tag Name Drop Copy Field Name
41 OrigClOrdID Original Order Unique Identifier38 OrderQty Quantity54 Side Side of Market40 OrdType Order Type44 and/or 99 Price, StopPx LMT Price and/or STP Price59 TimeInForce Time In Force18 ExecInst Held or Not Held18 ExecInst Special Conditions18 ExecInst (Optional) Special Instructions58 Text (Optional) Data for New Orders60 TransactTime Floor Available Time9404 WriteInTime Write In Time (If Provided)9405 AsOfIndicator As Of Indicator (If Provided)52 SendingTime (Optional) Sending Time9406 DropCopyFlag Drop Copy Flag
33
FESC Reject Messages
Tag Field Name Req’d Comments
Standard Header Y MsgType = 345 RefSeqNum Y MesSeqNum of rejected message58 Text N Where possible, message to explain reason for
rejectionStandard Trailer Y
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:
FESC Reject, error code = nnn
Note: nnn = an appropriate code indicating the reason for the reject. A list of rejectcodes will be provided.
34
Common Access Point (CAP)
Overview
Frank Candreva
Lead Technical Analyst
Member Firm Customer Services
January 13, 2000
36
Business Drivers
Fast and easy access to NYSE services
Leverage customer’s technology investments & control costs
Provide customers additional connectivity choices
37
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)
38
Design Objectives
Standards based open architecture
Support multiple access methods using the TCP/IP protocol suite
Access multiple NYSE services over single physical connection
39
Key Features
Robust security architecture
High availability
High speed low latency architecture
Protocol translation services
Rapid implementation of new services
40
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
41
Trading FloorX-Terminal
NYSEFloor
Networks
NYSE Services, e.g.:
XPress, CMS, BBSS, FESC
Hand heldTerminal
NYSE / SIACCommonAccessPoint
Common Access PointCentral Services
(e.g., DNS,FIX translation)
Internet
Customer'sNetwork
Customer'sNetwork
DirectConnection
OtherSIAC
Networks
ServiceBureaus
Customer'sNetwork
PublicExtranets
Customer'sNetwork
Access Methods
42
AccessMethodName A
cces
sM
etho
d
Per
form
ance
Sta
bili
ty
Mul
tica
stC
apab
ilit
y
Req
uire
men
tfo
rT
unne
ling
Dia
lup
Cap
abil
ity
DC AccessDirect
Connectionto CAP
High Yes Low No
SB AccessFinancialServiceBureau
Varies byVendor
Possible Moderate Possible
EP AccessPublic
ExtranetProvider
Varies byVendor
Possible High Possible
INT AccessInternetServiceProvider
BestEffort
No High Yes
Access Method Capabilities
43
Protocols Supported
Message Format FCS, FIX, HTML; future: XML and other
Application& Session
SMTP, FIX, SSL, SSH, X11, DNS and other
Transport TCP and UDP
Network Internet Protocol (IP), ICMP, IP Multicast, and IPsec
Physical Access Direct Connectionto CAP
ServiceBureau
Public ExtranetProvider
Internet ServiceProvider
44
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
45
FIX to CMS
FCS (TCP/IP)
Front EndSystemic Capture
InstitutionalXPress
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2000 2001
5 50
25+1
5 200
Jan Feb Mar
5 50Test
Test
Test
Test
New Services - Target Rollout
46
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
47
