Customer Impact Document

Transcription

1 7/4/2010 PUMA Trading System STM Decommission Version: Last modified: 6/14/2016

2 Contacts Services Development Department (GDS): handles all requests for connectivity setup and general exchange supported services Trading Certification: performs certification of all software solutions applying for EntryPoint and UMDF connectivity (options 4,1) Trading Support Department (SSN): provides real time connectivity monitoring and troubleshooting (option 2) 2

3 The information within this document has been compiled by BM&FBOVESPA for general purposes only. BM&FBOVESPA assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official BM&FBOVESPA rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2016 BM&FBOVESPA. All rights reserved. 3

4 Contents 1. INTRODUCTION DEPENDENCIES ABBREVIATIONS GLOSSARY STM X ENTRYPOINT AN X EXECUTION REPORT ANF X EXECUTION REPORT X EXECUTION REPORT X EXECUTION REPORT X EXECUTION REPORT X QUOTE REQUEST X EXECUTION REPORT X EXECUTION REPORT STM X IPN KEY DATES

5 Revision History PUMA Trading System STM Deactivation Date Version Description Author 06/03/ Initial version NBM 5

6 1. Introduction This document outlines the possible impact on client systems due to the decommission of STM (Message Transference System). The scope of this document is to create a parallel between the STM messages and EntryPoint and IPN messages. 6

7 1.1. Dependencies PUMA Trading System STM Deactivation It is assumed that the reader of this document is currently an user of STM service which might either have or not the SINACOR system Abbreviations Abbreviation STM TCS Description Message Transference System Trade Confirmation System 1.3. Glossary Term Definition 0100 Cancellation Notification of Trade 0105 Execution Notification 0172 Confirmation of Created, Modified or Canceled Order 0411 Termo Declaration 0415 Notification of Termo execution 0417 Cancellation Notification of a termo trade AN Trade Notification AN53 DYNAMIC CREATION OF EQUITIES PUMA - TRADING SYSTEM EntryPoint Multi-asset order entry messaging format for the PUMA Trading System based on the FIX 4.4 protocol Type of FIX message (35=8) used on the PUMA Trading System to Execution Report confirm the receipt of an order, confirm changes to an existing order, relay order status information, relay fill information on working orders (trades) and reject orders IPN Post-Trade Integration It is a system which provides to the brokerage firms and financial institutions means for managing the pertaining information to their activities in the capital market, making the integration among the stock SINACOR exchanges, brokerage firms and financial institutions easy and agile. Also, it is an engine which helps the development of activities by the brokerage firms and financial institutions upon their relationship with BM&FBOVESPA 7

8 2. STM x EntryPoint PUMA Trading System STM Deactivation This chapter outlines the changes between the STM messages and EntryPoint messages, used on the Trading Phase. The tables contents are divided in two main columns: On the left, there is the definition of each STM message and on the right, its respective value on EntryPoint s Execution Report AN x Execution Report STM AN Message EntryPoint - 35=8 / 150=F Tag Description Domains Tag Name Description Domains 01 Operation type 60 ou 65: Sell trade 1 - Buy 54 Side Side of order 61 ou 64: Buy trade 2 - Sell 201: Trade addition 211: Trade cancellation 301: Position block F - Trade 02 Assembly code 311: Position block cancellation 401: Option exercise addition 411: Option exercise cancellation 501: POP trade addition 150 ExecTy pe Describes the action that triggered this specific Execution Report H - Trade Cancel 511: POP trade cancellation 03 Trading code 55 Symbol Instrument 04 ISIN code 22 Securit yidsou rce Obtained from the Security List 4 ISIN NUMBER 05 Issue number of the equity 48 Securit yid Security ID as defined by BM&FBOVES PA 06 Company s short name 07 Equity specification 107 Securit ydesc Obtained from the Security List 8

9 08 Quote rate : On spot 0012: Buy option exercise 0013: Sell option exercise 0015: Structured operation Contrac tmultipli er Obtained from the Security List Valid values (derivatives/fx): - FUT (Futures) - SPOT (Spot Market) - SOPT (Spot Options) - FOPT (Future Options) - DTERM (Derivative Forward or Termo ) 09 Market code 0017: Leilão 0020: Odd lot 0030: Term 0050: Futures 0070: Buy option 0080: Sell option Securit ytype Securit ysubty pe Obtained from the Security List The sub type of the instrument Valid Values (equities): - CASH (rights, etc) - OPT (Option) - FORWARD (Equity Forward or Termo ) - ETF (Exchange Traded Fund) - INDEX (Non- Tradable index) - OPTEXER (Option Exercise) - MLEG (Multileg Instrument, UDS) - CS (Common Stock) - PS (Preferred Stock) - SECLOAN (Security loan, or BTB) - INDEXOPT (Option on Index) Values for derivatives/fx: 4 - FX spot 10 - Gold 20 - Index 30 - Interest rate 40 - FX rate 50 - Foreign debt 60 - Agricultural 70 - Energy 80 - Economic Indicator 90 - Strategy Futurestyle Option Volatility Swap 9

10 130 - MiniContract Financial RollOver Agricultural RollOver Carbon credit Values for equities: Ordinary Rights (DO) Preferred Rights (DP) Common Shares (ON) Preferred Shares (PN) Class A preferred shares (PNA) Class B preferred shares (PNB) Class C preferred shares (PNC) Class D preferred shares (PND) Ordinary Receipts (ON REC) Preferred Receipts (PN REC) Common Forward Flexible Forward Dollar Forward Index Points Forward Nontradable ETF Index Predefined Covered Spread Tradable ETF Nontradable Index User defined spread Exchange defined spread (not currently in use) 10

11 10 Reserved Security Loan Tradable Index Brazilian Depositary Receipt Fund Other Receipt Other Right UNIT Class E Preferred Share (PNE) Class F Preferred Share (PNF) Class G Preferred Share (PNG) Warrant Nontradable Security Lending Foreign Index ETF Government ETF IPO or Follow on Gross Auction Net Auction Tradable Index in Partnership Nontradable Index in Partnership Others 11 Reserved 12 Exercise price if option market 202 StriPric e Obtained from the Security List 13 Equity Trading code 311 Underly ingsym bol Obtained from the Security List 14 Number/Digit of the series for option and secondary termo markets 15 BDI Code 11

12 16 Reserved 17 Trade number 6032 Unique TradeI D Unique identifier for the trade 18 Fact time Transaction type of the trade 001: Normal Transa cttime Time of execution/orde r creation; expressed in UTC 0 - Regular 002: Cross 29 - Cash Settlement 003: Trade by buy order 45 - Option Exercise 004: Trade by sell order TrdTyp 56 - Opening 828 e Trade 005: Position block 20 Trade price 44 Price Trade quantity Equity s average price 23 Client s code 1 24 Reserved Maturity in days for termo contracts Maturity date for option or secondary termo markets Position type of the exercised or blocked client Format: AAAA-MM-DD 001: EOC-NOR- COBERTO 002: EOC-IND- COBERTO 003: EOC-NOR- DESCOBERTO 004: EOC-IND- DESCOBERTO 005: EOV-NOR- COBERTO 006: EOV-IND- COBERTO 38 OrderQ ty Price per share or contract Quantity ordered In case of Cross Trade, check: 37 - Cross Trade, in tag 829: TrdSubType 6 AvgPx Average price Always 0 (zero) Accoun t DaysTo Settlem ent Client s account 12

13 007: EOV-NOR- DESCOBERTO 008: EOV-IND- DESCOBERTO Settlement type of the trade Option strategy indicator 30 Last equity s traded price 31 LastPx Price of this (last) fill 31 Equity s total traded quantity 14 CumQt y Total number of shares or contracts filled 32 Equity s total traded volume 33 Reserved Broker ID which this record is addressed to Sequence record number 448 PartyID PartyID Source PartyR ole Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified D 7 - Entering Firm 36 Counterparty broker ID 375 Contra Broker Identifies contra broker Transaction date Company s or entity s code that issues the equity 75 TradeD ate Indicates date of trade d in this message 39 Equity s type 40 Equity specification B - Electronics 41 Trade origin indicator S - PUMA - Trading System - Position block 42 Seller client code Literal 1 Accoun t Client s account Important note: The trade 13

14 43 Buyer client code 44 System code Settlement type Settlement deadline Literal 1 - Bovespa 2 - Sum 1 - Liquid settlement 2 - Crude settlement D+0 = 0 D+1 = 1 D+2 = 2 1 = Regular trading session PUMA Trading System STM Deactivation counterparty account's client is not informed on the Execution Report 1 - Regular Day Session phases 47 Trading session phase 6 = Non regular session (Before/After Hours) 336 Trading Sessio nid Identifier for Trading Session 6 - Used for both Before and After Hours Market phases (Non Regular Session) 48 Instrument group phase 2 = Paused 2 - Pause 4 = Closed 4 - Close 17 = Open Trading Identifier for 17 - Open 18 = Pre-closing 625 Sessio the instrument 18 - Pre-Close nsubid group phase 21 = Auction on opening 21 - Pre-Open 101 = Auction on closing Final Closing Call 2 = Paused 2 - Trading Halt (Pause) 4 = Closed 4 - No-Open (Close) 17 = Under trading 17 - Ready to trade (Open) 49 Instrument status 18 = Suspended 6392 Securit ytradin gstatus Identifier for the instrument phase 18 - Not available for trading (Forbidden) 21 = Auction on opening 20 - Unknown or invalid 50 Reserved 51 Termo type 52 Buyer trader 21 - Pre-Open 101 = Auction on closing Final Closing Call 110 = Regular auction Reserved 448 PartyID 447 PartyID Source Used to identify source of PartyID Identifies class or source of D 14

15 (448) value 53 Seller trader 54 Strategy 1 order code 452 PartyR ole Identifies the type or role of (448) specified 36 - Entering Trader Important note: The trade counterparty TraderID is not informed on the Execution Report 55 Strategy 2 order code Buy order number in PUMA Trading System Sell order number in PUMA Trading System 58 Reserved 37 OrderI D Unique identifier for Order as assigned by the exchange Important note: The trade counterparty OrderID is not informed on the Execution Report 2.2. ANF x Execution Report STM ANF Message EntryPoint - 35=8 / 150=F/H Tag Description Domains Tag Name Description Domains 01 Trading System Code 003: Bovespa Fix 004: Soma Fix 02 Trading Date Format: AAAA-MM-DD 75 TradeD ate Indicates date of trade d in this message 03 Operation Type 201: Trade Inclusion 211: Trade Cancellation 150 ExecTy pe Describes the action that triggered this specific Execution Report F - Trade H - Trade Cancel 04 Instrument Code 55 Symbol Instrument 05 ISIN Code 22 Securit yidsou rce Obtained from the Security List 4 - ISIN NUMBER 15

16 06 Distribution Number 48 Securit yid Security ID as defined by BM&FBOVES PA 07 Series Number Short name of the issuing company Equity Specification 0105: Trade Inclusion 10 Code of source operation 0205: Trade Inclusion 0301: Trade Inclusion 0401: Trade Inclusion 0302: Trade Cancellation 0402: Trade Cancellation 150 ExecTy pe Describes the action that triggered this specific Execution Report F - Trade H - Trade Cancel 11 Code of trading session 56 Target CompI D Identifies the origin Trading Session 12 Factor of Price Quotation Valid values (corporate fixed income): 167 Securit ytype Indicates the type of the security - ETF (Exchange Traded Fund) - CORP (Corporate Fixed Income) 13 Market Code 010: Cash Values for corporate fixed income: 762 Securit ysubty pe The sub type of the instrument Tradable ETF Fixed Income ETF Nontradable Fixed Income ETF 16

17 Outright purchase Specific collateral repo Debenture Real State Receivable Certificate Agribusiness Receivable Certificate Promissory Note Letra Financeira American Depositary Receipt Unit Investment Fund Receivable Investment Fund Outright T Repo T Nontradable gross settlement Nontradable net settlement ETF Primary Market Shares Primary Market Rights Primary Market Unit Primary Market Fund Primary Market 17

18 Foreign Index ETF Primary Market Warrant Primary Market Receipt Primary Market German Public Debts 14 Exercise Price Value in the options market Market Placing Code Quotation Type 1: Primary 2: Secondary 001: By Price 002: By Rate 002: Debentures 006: CRI 010: Promissory Notes 17 BDI Code 014: FIDC 018: FIC-FIDC 020: Real Estate Investing 099: Grand Total 18 Trade Number 6032 Unique TradeI D Unique identifier for the trade 19 Trade Time Format: HH:MM:SS 60 Transa cttime Time of execution/orde r creation; expressed in UTC 001: Normal 0 - Regular 20 Transaction Type 002: Direct 828 TrdTyp e 29 - Cash Settlement 45 - Option Exercise 003: Trade against by offer 56 - Opening Trade 18

19 004: Trade against sell offer In case of Cross Trade, check: 37 - Cross Trade, in tag 829: TrdSubType 21 Code of operation source D: Direct Order M: Matching P: Auction T: Quotation by record L: Bidding C: Quotation by offer 22 Trade Price 44 Price Price per share or contract 23 Equity shares quantity of the trade 38 OrderQ ty Quantity ordered 24 Financial volume of the trade 25 Oscillation percentage of the price 26 Oscillation signal + : Positive Oscillation - : Negative Oscillation ' ' : No calculation / : Without base = : No Oscillation 27 Average price 6 AvgPx Average price Always 0 (zero) Reference price of the instrument Transaction nature Broker which this record is addressed to C: Buy 1 - Buy 54 Side Side of order V: Sell 2 - Sell 19

20 448 PartyID Used to identify source of PartyID 31 Broker code to whom this record is addressed 447 PartyID Source Identifies class or source of (448) value D 452 PartyR ole Identifies the type or role of (448) specified 7 - Entering Firm 32 Agent code counterparty 33 Broker code counterparty 375 Contra Broker Identifies contra broker 34 Investor code 1 Accoun t Client s account 35 Term in days for trade settlement 000: D+0 001: D+1 002: D DaysTo Settlem ent 36 Maturity Date Format: AAAA-MM-DD 37 Settlement Form 1: Net Settlement 2: Gross Settlement 38 Reserved Instrument object code Number of linked operation ' : Not brokerage 41 Brokerage V: Broker is the seller C: Broker is the buyer A: Both 42 Trade Code Reference price date Short name in the system Format: AAAA-MM-DD 20

21 45 Trade Rate Trade Rate value 46 Reserved x Execution Report STM 0105 Message EntryPoint - 35=8 / 150=F Tag Name Description Domains Tag Name Description Domains Internal Function code (0105) Internal subscriber Function code 150 ExecType 03 DSaiOm Trade Date 75 TradeDate 04 NSeqOm 05 CValIsin 06 CGrValCot Order sequence number Instrument Identification Insrument Group 37 OrderID Describes the action that triggered this specific Execution Report Indicates date of trade d in this message Unique identifier for Order as assigned by the exchange 55 Symbol Instrument 07 ISensOm Order side 54 Side Side of order F - Trade 1 - Buy 2 - Sell 08 QTitTran Trade quantity 38 OrderQty Quantity ordered 09 Price - format indicator Trade price Decimal point locator - data Amount 10 IPrsQTitRest 11 QTitRestOm 12 CIdAdfCie 13 YOm Remaining quantity indicator Remaining quantity Counterparty member GL/SPI Offer origin code 14 NMsgRepoN Reserved 15 DMsgRepoN Reserved 16 HMsgRepoN Reserved 44 Price 151 LeavesQty 375 ContraBrok er Price per share or contract Amount of shares open for further execution, or unexecuted Identifies contra broker 21

22 17 NTran Trade Number PUMA Trading System STM Deactivation 6032 UniqueTrad eid 18 DTran Trade Date 75 TradeDate 19 YPLimSaiOm Reserved 20 YValiOmNSC Validity type of the order 21 CGdSVal Reserved 59 TimeInForc e 448 PartyID Unique identifier for the trade Indicates date of trade d in this message Specifies how long the order remains in effect 0 - Day 1 - Good Till Cancel 3 - Immediate or Cancel 4 - Fill or Kill 6 - Good Till Date 7 - At the Close A - Good for Auction 447 PartyIDSou rce D 22 CIdNgSaiOm.0 01 PUMA Trading System trader code 452 PartyRole 36 - Entering Trader 23 YCpteMbrOm Reserved 24 NCptePosIptO m Client account number 25 CIdOmNg Reserved 26 DHSaiOmAdf 27 ZProdCpsTran 28 CNSeqOm Date and time of the order entry Reports the number of legs of the strategy Full order sequence Always 00 1 Account 60 TransactTi me 37 OrderID Client s account Time of execution/orde r creation; expressed in UTC Unique identifier for Order as assigned by the exchange 22

23 x Execution Report STM Message EntryPoint - 35=8 / 150=H Tag Name Description Domains Tag Name Description Domains Internal Function code (0100) DSeaBsEve n Internal Function code 04 CValIsin Instrument Identificatio n 05 DSaiOm Trade Date 150 ExecType Trade Date 75 TradeDate Describes the action that triggered this specific Execution Report Indicates date of trade d in this message 55 Symbol Instrument H - Trade Cancel 06 NSeqOm Last 6 digits of the sequential of the order 37 OrderID Unique identifier for Order as assigned by the exchange Price Trade Price 07 - format indicator Number of decimal places 44 Price Price per share or contract - data Price 08 QTitTran Trade Quantity 38 OrderQty Quantity ordered 09 HTRAN Trade Hour 60 TransactTime Time of execution/order creation; expressed in UTC NMsgRepo N HMsgRepo N Reserved Reserved 12 CIdAdfCie Counterpart y member 375 ContraBroker Identifies contra broker 13 NTran Trade Number 6032 UniqueTradeI D Unique identifier for the trade 14 ISensOm Order side 54 Side Side of order 15 CNSeqOm Full order sequence 37 OrderID Unique identifier for Order as assigned by the exchange 1 - Buy 2 - Sell 23

24 x Execution Report PUMA Trading System STM Deactivation STM Message EntryPoint - 35=8 / 150=0/4/5/C Tag Name Description Domains Tag Name Description Domains Internal Function code (0172) 03 DSaiOm 04 NSeqOm Internal Function code 150 ExecType Current System Date Last 6 digits of the sequential of the order 198 Secondary OrderID Describes the action that triggered this specific Execution Report 05 IMajOm Order status 39 OrdStatus Order status 06 CValIsin Equity 55 Symbol Instrument 4 - Canceled 5 - Replace C - Expired 4 - Canceled 5 - Replaced C - Expired 07 QTitTotOm Order quantity 38 OrderQty Quantity ordered 08 IsensOm Order side 54 Side Side of order 09 Price - format indicator Order price Decimals Quantity - data Price 10 CldAdfEmetOm Code of broker member which placed the order 11 NMsgRepoN Reserved 12 HMsgRepoN Reserved 44 Price 448 PartyID 447 PartyIDSou rce 452 PartyRole Price per share or contract Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified 13 YPLimSaiOm Order type 40 OrdType Order type 14 QTitXteIntrOm Reserved 15 CFonOrg Reserved 1 - Buy 2 - Sell D 7 - Entering Firm 1 - Market 2 - Limit 3 - Stop Loss 4 - Stop Limit K - Market With Leftover as Limit 24

25 16 DOmIni 17 NSeqOmIni 18 YValiOmNSC Date the originated the change Last 6 digits of the sequential of the order Type of validity of the order TransactTi me TimeInForc e Time of execution/orde r creation; expressed in UTC Specifies how long the order remains in effect 0 - Day 1 - Good Till Cancel 3 - Immediate Or Cancel 4 - Fill Or Kill 6 - Good Till Date 7 - At The Close A - Good For Auction 19 DVALIOM Validity date 432 ExpireDate Expiration date in case of GTD orders 20 QTitMinOm Reserved 21 QTitDvlOm Reserved 22 YOm GL/SPI offer origin code 23 ICfmOm Reserved 24 QTitRestOmIni 25 Price - format indicator Remaining quantity Reserved Reserved - data Reserved 151 LeavesQty Amount of shares open for further execution, or unexecuted 26 TValiOm Reserved 27 CldNgSaiOm.0 01 PUMA Trading System trader code 28 YCpteMbrOm Reserved 29 NCptePosIptO m Customer code 30 CldOmNg Reserved 31 DHSaiOmAdf Date and time of the order entry 448 PartyID 447 PartyIDSou rce 452 PartyRole 1 Account Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified Client s account D 36 - Entering Trader 25

26 32 CNSeqOm 33 CNSeqOmIni Full order sequence Full original order sequence x Quote Request STM Message - Termo Declaration EntryPoint - 35=R Tag Name Description Domains Tag Name Description Domains Internal Function code (0411) TCS Member code Mandator code (if declaration mandated) Sign of declaring party's trade Quantity Internal Function code TCS Reference Broker code Reserved Trading Nature Quantity - Filler Reserved - data Value Security code Price - format indicator Trade Code Price Number of decimal places - data Price Give Up Member (Clearer code) Reserved 11 Origin Type Reserved 12 Type of Contract Type of Contract A - Buy B - Sell 448 PartyID PartyIDSour ce 452 PartyRole Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified 54 Side Side of order 38 OrderQty Quantity ordered 55 Symbol Instrument 48 SecurityID 44 Price Security ID as defined by BM&FBOVES PA Price per share or contract D 7 - Entering Firm 1 - Buy 2 - Sell 26

27 Free Settlement Delay Term of the termo contract DaysToSettl ement 14 Memo Description 5149 Memo Counterpart member code Counterpart mandator code (if counterpart declaration mandated) Operation type indicator Client Account Number Rate - format indicator Code of the counterparty broker Reserved Reserved Customer code Rate Number of decimal positions - data Value Trader Identification Time declaration received Origin type of counterpart (cross only) Client Account Number Trader Statement time Indicator of trade direct Common agrément counterparty customer s code 24 Filler Reservado 448 PartyID 447 PartyIDSour ce 452 PartyRole 1 Account 5706 FixedRate 448 PartyID 447 PartyIDSour ce 452 PartyRole 60 TransactTim e Deadline for completing the forward deal Free format text field Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified Client s account Describes the interest to be paid by the forward buyer and received by the forward seller, in proportion to the agreed days to settlement Used to identify source of PartyID Identifies class or source of (448) value Identifies the type or role of (448) specified Time of execution/orde r creation; expressed in UTC D 17 - Contra Firm Expressed in decimal form D 36 - Entering Trader Important note: The trade counterparty account's client is not informed on the Execution Report 27

28 x Execution Report STM Message - Notification of Termo execution EntryPoint - 35=8 / 150=F Tag Name Description Domains Tag Name Description Domains Internal Function code (0415) TCS TCS counterpart Internal Function code 150 ExecType TCS Reference Brokerage counterparty 05 Filler Reserved 375 ContraBro ker Describes the action that triggered this specific Execution Report Identifies contra broker F - Trade x Execution Report STM Message - Cancellation Notification of a termo trade EntryPoint - 35=8 / 150=H Tag Name Description Domains Tag Name Description Domains Internal Function code (0417) Cancellation indicator Internal Function code 150 ExecType Cancellation indicator Describes the action that triggered this specific Execution Report 39 OrdStatus Order Status H - Trade Cancel Z - Previous Final State TCS TCS counterpart TCS Reference Broker counterpaty 375 ContraBrok er Identifies contra broker 06 Filler Reserved 28

29 3. STM x IPN PUMA Trading System STM Deactivation The STM deactivation will directly affect the following IPN messages: bvmf TradeLegNotification bvmf TradeLegNotificationCancellation bvmf InstrumentReport The fields and domains of each message can be found in their respective Catalogs of Messages and Files, available on IPN Project website. 29

30 4. Key dates PUMA Trading System STM Deactivation The actual upgrade is expected to occur along with the IPN go-live. 30