Direct Edge Regulatory Notice #12-08: Enhanced Electronic Blue Sheet Submissions Update

Transcription

1 Published Date : /29/202 Direct Edge Regulatory otice #2-0: Enhanced Electronic lue Sheet Submissions Update Overview This Regulatory otice (the otice ) serves to inform Members of EDG Exchange, Inc. (EDG ) and EDG Exchange, Inc. (EDG ) (together, the Exchanges ) that the Exchanges and certain members of the Intermarket Surveillance Group (collectively, the ISG interested members ) have extended the effective date for firms to submit data elements for enhancing the Electronic lue Sheets (ES) to May, 203 to allow broker-dealers additional time to implement the enhancements. Firms must add the following fields to the ES format by ovember 30, 202, as currently required, but are not required to be populated with regard to ES requests from the Exchange and other interested ISG members until May, 203. Firms may voluntarily submit the values of these fields starting ovember 30 th and they will be accepted. Order Execution Time Large Trader Identification umber Large Trader Identification umber 2 Large Trader Identification umber 3 Large Trader Identification Qualifier Primary Party Identifier (referred to as Entering Firm Identifier in Regulatory otice #2-02) Contra Party Identifier (referred to as Executing Firm Identifier Regulatory otice #2-02) Currently, ES requests are made under specific security symbols and option symbology. s noted in Regulatory otice #2-02, firms will be required to submit ES, when requested, using three additional formats:. ccount number and date 2. ccount number, symbol and date The ISG interested members include the following exchanges and self-regulatory organizations (SROs): TS Exchange, Inc., TS Y-Exchange, Inc., Chicago oard Options Exchange, Incorporated (COE), C2 Options Exchange, Incorporated (C2), COE Stock Exchange, LLC (CS), Chicago Stock Exchange, Inc., EDG Exchange, Inc., EDG Exchange, Inc., Financial Industry Regulatory ssociation (FIR), International Securities Exchange, LLC, The SDQ Stock Market LLC, SDQ OM, Inc., SDQ OM PHL LLC, ational Stock Exchange, Inc., ew York Stock Exchange, LLC, YSE mex, LLC, and YSE rca, Inc.

2 3. Date range and Primary Party Identifier For more details about the definition of the fields listed above, the changes to the lue Sheet record layout and transaction types identifiers, lue Sheet testing, and the Large Trader request from the SEC, please refer to FIR s Regulatory otice ttachment to this ulletin outlines the updated ES record layout and ttachment outlines the updated transaction type identifiers. dditionally, please refer to on the FIR website for the most recent version of the Electronic lue Sheet FQ.

3 ttachment Record Layout for Submission of Trading Information Field Position From To Field Length Fie ld ame/description/remarks ***This record must be the first record of the file*** 3 FILLER 2 FILLER 5 DTRK-SYSID 2 FILLER 2 FILLER 2 FILLER DTRK-ORIGITOR 4 Please call SIC for assignment (22) FILLER DTRK-SU-ORIGITOR 4 Please call SIC for assignment (22) FILLER DTRK-DTE Contains submission date. FILLER 25 DTRK-DESCRIPTIO Required to identify this file. Field Format 2 FILLER HEDER RECORD CODE Value: Low Values OR ERO 4 SUMITTIG ROKER UMER If SCC member use SCC clearing number. If not a SCC member, use clearing number assigned to you by your clearing agency. R FIRM'S REQUEST UMER 35 Tracking number used by the firm to record requests from an organization. FILE CRETIO DTE Format is YYMMDD Justify Picture Clause (3) (2) 9(5) (2) 9(2) (2) (2) () 9() () (25) (2) (35) () Default Value HDR.S 2343.E 00.C.S MMDDYY FIRM TRDIG IFORMTIO

4 FILE CRETIO TIME Format is HH:MM:SS REQUESTOR CODE Requesting Organization Identification Values: = ew York Stock Exchange = YSE MKT, LLC C = Chicago Stock Exchange D = SDQ OM YSE rca E = F = G = H = SDQ OM, Inc. ational Stock Exchange TS Exchange, Inc. I = International Securities Exchange J = Direct Edge (EDG Exchange and EDG Exchange) K = Chicago oard Options Exchange,C2 Options Exchange and CS (COE Stock Exchange) R = FIR U = O Options Exchange, LLC = U.S. Securities and Exchange Commission Y = TS Y-Exchange, Inc. = Other () REQUESTIG ORGIT TIO UMER umber assigned by requesting organization 0 FILLER RECORD SEQUECE UMER OE The first record of the transaction. Value: 4 SUMITTIG ROKER UMER Identical to Submitting rokerr umber in Header Record R OPPOSIG ROKER UMER 4 The SCC clearing house number of the broker on the other side of the R trade. 2 CUSIP UMER The cusip number assigned to the (5) (0) (2)

5 22 29 security. Left justified since the number is nine characters at present (+ check digit) but will expand in the future. TICKER SYMOL The symbol assigned to this security. For options (pre-osi), the OPR option symbol (space), OPR expiration month symbol and OPR strike price symbol should be used. (Ex. Maytag May 20 call option series would be reported as MYG ED. This example uses six spaces in the field with a space between the OPR symbol and the OPR expiration month.) R () Post OSI this field must contain OPTIO and a Record Sequence umber Six must be completed TRDE DTE The date this trade executed. Format R is YYMMDD. SETTLEMET DTE The date this trade will settle. Format is YYMMDD QUTITY The number of shares or quantity of R bonds or option contracts. ET MOUT The proceeds of sales or cost of purchases after commissions and other charges. UY/SELL CODE Values: 0 = uy, = Sale, 2 = Short Sale, 3 = uy Open, 4 = Sell Open, 5 = Sell Close, = uy Close. = uy Cancel, = Sell Cancel, C = R Short Sale Cancel, D = uy Open Cancel, E = Sell Open Cancel, F = Sell Close Cancel, G = uy Close Cancel. Values 3 to and D to G are for options only PRICE The transaction price. Format: $$$$ R CCCCCC. ECHGE CODE Exchange where trade was executed. R () () 9(2) S9(2) V99 9(4)V() )

6 Values: = ew York Stock Exchange = YSE MKT, LLC C = Chicago Stock Exchange D = SDQ OM PHL YSE rca E = F = G = H = SDQ OM, Inc. ational Stock Exchange TS Exchange, Inc. I = International Securities Exchange J = C2 Options Exchange K = Chicago oard Options Exchange L = London Stock Exchange M =Toronto Stock Exchange = Montreal Stock Exchange O = TS Venturee Exchange P = Direct Edge (EDG Exchange) Q=FIR DF R = SDQ OM/SD Q OM Options Market S = Over-the-Counter T = Tokyo Stock Exchange U = O Options Exchange, LLC V = Direct Edge (EDG Exchange) W = CS (COE Stock Exchange) = SDQ OM PS Y = TS Y-Exchange, Inc. = Other ROKER/DELER CODE Indicate if trade was done for another roker/dealer. Values: 0 = o; = Yes RECORD SEQUECE UMER TWO Value: 2 SOLICITED CODE Values: 0 = o; = Yes STTE CODE Standard Postal two character identification. R R R (2)

7 IP CODE/COUTRY CODE ip Code five or nine character 0 (zip plus four) Country code for future use. RCH OFFICE/REGISTERED REPRESETTIVE UMER Each treated as a four-character field. oth are left justified. DTE CCOUT OPEED Format is YYMMDD SHORT ME FIELD Contains last name followed by 20 comma (or space) then as much of first name as willl fit. 30 EMPLOYER ME TI IDICTOR Values: = SS#; 2 = TI TI 2 IDICTOR Values: = SS#; 2 = TI for future use. RECORD SEQUECE UMER THREE Value: 3 TI OE 9 Taxpayer Identification umber Social Security or Tax ID umber. TI TWO 9 Taxpayer Identification umber #2 Reserved for future use. UMER OF & LIES ME D DDRESS LIE 30 OE ME D DDRESS LIE 30 TWO RECORD SEQUECE UMER FOUR Value: 4 ME D DDRESS LIE 30 THREE ME D DDRESS LIE 30 FOUR TRSCTIO TYPE IDETIFIERS See ttachment for current codes. CCOUT UMER R R R R R R R R R R R (0) () () (20) (30) (9) (9) (30) (30) (30) (30) ()

8 ccount number RECORD SEQUECE UMER FIVE Value: 5 30 ME D DDRESS LIE FIVE R 30 ME D DDRESS LIE SI R 4 PRIME ROKERR Clearing number of the account's prime broker. R VERGE PRICE CCOUT = recipient of average price transaction. 2 = average price account itself. R 5 DEPOSITORY ISTITUTIO O IDETIFIER Identifying number assigned to the account by the depository institution. R Order Execution Time HHMMSS Time format willl be in -R Eastern Time and 24 hour format. 3 FILLER RECORD SEQUECE UMER SI Value: DERIVTIVE SYMOL The symbol assigned to the derivative -R EPIRTIO DTE The date the option expires. Format -R is YYMMDD CLL/PUT IDICTOR C = Call, P = Put -R STRIKE DOLLR The dollar amount of the strike price -R STRIKE DECIML The decimal amount of the strike price -R 50 FILLER RECORD SEQUECE UMER SEVE Value: 7 3 Large Trader Identification -R () (30) (30) 9() (5) Large Trader Identification 2 -R

9 Large Trader Identification 3 -R 4 4 Large Trader Identification Qualifier -R Primary Party Identifier Identity of the party to the trade that is represented by the Submitting roker of an ES. cceptablee values include MPID, CRD or OCC Clearing umber. -R Contra Party Identifier Identity of the contra party to the trade that is represented by the Opposing rokerr of an ES. cceptable values include MPID, CRD or OCC Clearing umber. -R 23 FILLER TRILER RECORD DTE One record per submission. Must be the last record on the file. Value: High Values or " 9" TOTL TRSCTIOS The total number of transactions. This total excludes Header and Trailer Records. TOTL RECORDS O FILE The total number of 0 byte records. This total includes Header and Trailer Records, but not the Datatrak Header Record (i.e., it does not include the first record on the file). 47 FILLER 9() 9() (47) Field Format = lphanumeric (all caps) = umeric P = = R = Packed inary Validation R Required Default Values = lanks = ero Justify = Right Justification of Data = Leftt Justification of Data

10 ttachment Record Layout for Submission of Trading Information Transaction Type on-program Trading, gency on-index rbitrage, Program Trading, Proprietary Index rbitrage, Program Trading, Proprietary Index rbitrage, Program Trading, Individual Investor on-index rbitrage, Program Trading, Individual Investor on-program Trading, Proprietary on-program Trading, Individual Investor on-index rbitrage, Program Trading, gency Index rbitrage, Program Trading, gency Designated Market Makers Market-Maker on-member Market-Maker/Specialist ccount Stock Specialist ssignment Customer Range ccount of a roker/dealer Registered Trader Error Trade mex Option Specialist/Market Maker Trading Paired Security Registered Trader Market Maker Transaction Regardless of the Clearing umber Transactions cleared for a SDQ market maker that is affiliated w/ the clearing member that resulted from telephone access to the specialist. mex Only. Transactions cleared for a member's SDQ market maker that is not affiliated with the clearing member that resulted from telephonee access to thee specialist. mex Only. Transactions cleared for a non-member SDQ market maker that is nott affiliated with the clearing member that resulted from telephone access to the specialist. mex Only. Voluntary Professional Security Type Equity* Options C C D J K P I Y U S G Q V F S M Y P W * Equity securities include those securities that trade like equities (e.g., ETFs and structured products).