ASX Trade Q and Q Releases Appendices to ASX Notice

Transcription

1 ASX Trade Q and Q Releases Appendices to ASX Notice

2 Table of Contents 1. APPENDIX 1: TECHNICAL DESCRIPTION OF ASX TRADE Q AND Q RELEASE ENHANCEMENTS CROSSING DEALING CAPACITY Crossing Dealing Capacity Examples ASX TRADE OUCH ENHANCEMENTS Match Attributes Crossing Dealing Capacity Match Attributes Passive/Aggressive Indicator OUCH Match Attributes Examples Minimum Acceptable Quantity Single Fill MAQ Mid-tick on Mid-Point Orders Mapping of ASX Trade OUCH Order Types to OMNet API Values RESERVED FIELDS CENTRE POINT - BLOCK TRADING ENHANCEMENTS OUCH TRANSACTION TYPES IN BO5 FIRM ORDER BOOK BROADCAST ASX TRADE ITCH AND GLIMPSE ASX TRADE FIX PROTOCOL APPENDIX 2 DRAFT CHANGES TO THE ASX TRADE OPEN INTERFACE DOCUMENTATION SUMMARY OF ASX TRADE OPEN INTERFACE CHANGES Crossing Dealing Capacity Reserved fields CENTRE POINT - BLOCK TRADING ENHANCEMENTS CHANGES TO EXISTING TRANSACTIONS MO1 Single Order Insert enhanced_cp_matching_t (named structure 34831) centre_point_order_t (named structure 34816) MO3 Single Order Update enhanced_cp_matching_t (named structure 34831) centre_point_order_t (named structure 34816) CHANGES TO EXISTING QUERIES CQ110 Dedicated Trade Query CA110 - cl_trade_asx_api_t (named structure 65) CQ111 Dedicated Historical Trade Query CA111 - cl_trade_asx_api_t (named structure 65) CQ114 Initial Trade Reports Query CA114 - cl_trade_internal_asx_t (named structure 29) CQ1134 Dedicated Trade Query On Behalf CA cl_trade_asx_api_t (named structure 65) CQ1135 Dedicated Historical Trade Query On Behalf CA cl_trade_asx_api_t (named structure 65) MQ92 Own Orders Query MA92 - enhanced_cp_matching_t (named structure 34831) MA92 - centre_point_order_t (named structure 34816) MQ476 Own Orders Query On Behalf MA476 - enhanced_cp_matching_t (named structure 34831) MA476 - centre_point_order_t (named structure 34816) MQ151 Firm Order Broadcast Query MA151 order_trade_info_asx_t (named structure 34922) MA151 - enhanced_cp_matching_t (named structure 34831) MA151 - centre_point_order_t (named structure 34816) MQ154 Firm Order Broadcast Query On Behalf MA154 order_trade_info_asx_t (named structure 34922) MA154 - enhanced_cp_matching_t (named structure 34831) MA154 - centre_point_order_t (named structure 34816) CHANGES TO EXISTING BROADCASTS BO5 Firm Order Book Broadcast order_trade_info_asx_t (named structure 34922) enhanced_cp_matching_t (named structure 34831) centre_point_order_t (named structure 34816) Copyright 2014 ASX Limited ABN All rights reserved

3 CB15 Dedicated Trade Broadcast cl_trade_asx_api_t (named structure 65) NEW DEAL SOURCE APPENDIX 3 DRAFT CHANGES TO THE ASX TRADE OUCH MESSAGE SPECIFICATION SUMMARY OF ASX TRADE OUCH CHANGES CHANGED INBOUND MESSAGES Enter Order Message Enter Order Message Details Replace Order Message Replace Order Message Details CHANGED OUTBOUND MESSAGES Order Accepted Message Order Accepted Message Details Order Replaced Message Order Replaced Message Details Order Executed Message Order Executed Message Details APPENDIX 4 DRAFT CHANGES TO THE ASX TRADE FIX PROTOCOL FOR ORDER MANAGEMENT SUMMARY OF FIX PROTOCOL CHANGES CROSSING DEALING CAPACITY RESERVED FIELDS Copyright 2014 ASX Limited ABN All rights reserved

4 1. Appendix 1: Technical of ASX Trade Q and Q Release Enhancements 1.1. Crossing Dealing Capacity ASX will introduce a new variable counter_order_capacity_c that will reflect back to Participants the dealing capacity, extracted from the regulatory data provided by the Participant, specified in the order against which a crossing execution or the trade report occurred. This field will be present on all executions but only provide dealing capacity information on crossings. counter_order_capacity_c will be disseminated in CB15 Dedicated Trade broadcasts and BO5 Firm Order Book broadcasts, and related queries, for order executions and trade reports, returning the value provided in capacity_of_participant_s of the opposing order s regulatory data. For noncrossed trades, zero will be returned. Crossing Dealing Capacity will also be available in ASX Trade OUCH. See ASX Trade OUCH Enhancements below for further details Crossing Dealing Capacity Examples Crossed Orders Participant A enters a buy order with capacity_of_participant_s = P (Principal). This order crosses with an own sell order that has capacity_of_participant_s = M (Mixed). The following broadcasts are received for the trade: BO5 for the buy order. This includes order_trade_info_asx_t (named structure 34922) with counter_order_capacity_c = M BO5 for the sell order. This includes order_trade_info_asx_t (named structure 34922) with counter_order_capacity_c = P CB15 for the buy side of the trade. This includes cl_trade_asx_api_t (named structure 65) with counter_order_capacity_c = M CB15 for the sell side of the trade. This includes cl_trade_asx_api_t (named structure 65) with counter_order_capacity_c = P. Non-crossed Orders Participant A enters a buy order with capacity_of_participant_s = P (Principal). This order trades with an order belonging to another Participant. Participant A receives the following broadcasts for the trade: BO5 for the buy order. This includes order_trade_info_asx_t (named structure 34922) with counter_order_capacity_c = 0 CB15 for the buy side of the trade. This includes cl_trade_asx_api_t (named structure 65) with counter_order_capacity_c = 0 Crossed Trade Report Participant A enters a Special Crossing with the MO76 transaction, where the buy side has capacity_of_participant_s = P (Principal) and the sell side has capacity_of_participant_s = M (Mixed). The following broadcasts are received for the trade: BO5 for the trade report. This includes order_trade_info_asx_t (named structure 34922) with counter_order_capacity_c = M for the buy side and order_trade_info_asx_t with counter_order_capacity_c = P for the sell side. CB15 for the buy side of the trade. This includes cl_trade_asx_api_t (named structure 65) with counter_order_capacity_c = M Copyright 2014 ASX Limited ABN All rights reserved

5 CB15 for the sell side of the trade. This includes cl_trade_asx_api_t (named structure 65) with counter_order_capacity_c = P ASX Trade OUCH Enhancements Match Attributes Crossing Dealing Capacity As detailed under Crossing Dealing Capacity above, ASX will provide dealing capacity information for crossings on the ASX Trade OUCH Order Execute Message. The Order Executed Message has been extended with a new Match Attributes field. This field consists of a bitmask that includes the following attributes: Bit 1 and 2 Crossing Dealing Capacity (where Bit 0 is the lowest bit): 00 = Order was not crossed or crossed with an order that was not defined as Principal, Agency or Mixed 01 = Order crossed with a Principal order 10 = Order crossed with an Agency order 11 = Order crossed with a Mixed Agency and Principal order In OUCH, executions from TMCs (Tailor Made Combinations) are accumulated and published as one execution. This means that one execution could be published for multiple trades, including crossed and non-crossed trades. If any of the constituent trades are flagged with Crossing Dealing Capacity 01 (crossed with Principal order) or 11 (crossed with a Mixed Agency and Principal order) then the TMC execution will be marked as such, with 01 taking precedence over Match Attributes Passive/Aggressive Indicator The Order Executed Message has been extended with a new Match Attributes field. This field consists of a bitmask that includes the following attribute: Bit 0 (lowest Bit) Passive / Aggressive indicator: 0 = Order was executed passively (when resting in the book) 1 = Order was executed aggressively (immediately on entry) Centre Point executions will always be flagged as passive, consistent with the same functionality in the OMNet API CB15 Dedicated Trade broadcast OUCH Match Attributes Examples The following examples illustrate the use of the new OUCH Match Attributes field. Matching Attributes Binary Matching Attributes Decimal Order was executed passively. Order was crossed with a Principal order Order was executed aggressively. Order was crossed with an Agency order Order was executed aggressively. Order was not crossed or crossed with an order that was not defined as Principal, Agency or Mixed. Copyright 2014 ASX Limited ABN All rights reserved

6 Minimum Acceptable Quantity Support of MAQ (Minimum Acceptable Quantity) has been added to the OUCH Enter Order and Replace Order messages. MAQ will be permitted on all ASX Trade OUCH Order Types except for Limit orders (OUCH Order Type Y ) and will apply to executions in Centre Point. MAQ is optional and can be set to zero, if not required. MAQ can be amended without the order losing priority. Setting the MAQ to zero in the Replace Order Message means that the current MAQ should not be changed. Therefore the MAQ cannot be amended to zero. When amending MAQ, the new value is compared to the original order quantity and subsequent executions do not need to be considered. The following examples illustrate the OUCH logic for MAQ amendments: Scenario Order Details Replace Order Message Values 1 Order with quantity = 5,000 and MAQ = 3,000 2 Order with quantity = 5,000 and MAQ = 3,000 3 Order with quantity = 10,000 and MAQ = 7,000. Order partially trades for 7,000 and remains with quantity = 3,000 and MAQ = 0. 4 Order with quantity = 10,000 and MAQ = 7,000. Order partially trades for 7,000 and remains with quantity = 3,000 and MAQ = 0. 5 Order with quantity = 10,000 and MAQ = 7,000. Order partially trades for 7,000 and remains with quantity = 3,000 and MAQ = 0. 6 Order with quantity = 10,000 and MAQ = 7,000. Order partially trades for 7,000 and remains with quantity = 3,000 and MAQ = 0. 7 Order with quantity = 10,000 and MAQ = 7,000. Order partially trades for 7,000 and remains with quantity = 3,000 and MAQ = 0. Result MAQ = 2,000 Order with quantity = 5,000 and MAQ = 2,000 New price MAQ = 0 3,000 <= MAQ <= 10,000 MAQ > 10,000 Order with quantity = 5,000 and MAQ = 3,000 (i.e. MAQ is unchanged) Order with quantity = 3,000 and MAQ = 3,000 Replace Order Message will be rejected. The MAQ cannot be larger than the original order quantity. MAQ = 2,000 Order with quantity = 3,000 and MAQ = 2,000 Quantity = 13,000 MAQ = 13,000 Quantity = 13,000 MAQ = 0 Order with quantity = 6,000 and MAQ = 6,000 Order with quantity = 6,000 and MAQ = Single Fill MAQ Three new order types have been added to ASX Trade OUCH to provide support for single fill MAQ: OUCH Order Type = B: Mid-point Centre Point Block Order with single fill MAQ OUCH Order Type = F: Dark limit Centre Point Block Order with single fill MAQ OUCH Order Type = T: Centre Point Sweep order with single fill MAQ Copyright 2014 ASX Limited ABN All rights reserved

7 For these new order types, MAQ must be greater than zero. See section Mapping of ASX Trade OUCH Order Types to OMNet API Values below for a summary of all OUCH Order Types and how they map to equivalent OMNet API values Mid-tick on Mid-Point Orders ASX Trade OUCH will support the use of mid-tick prices on mid-point orders (OUCH Order Types: N, S, B, T) by permitting entry of limit prices at half-tick. ASX Trade OUCH will interpret a midpoint order with a half-tick price as equivalent to an order at the next permitted worse on tick price with mid-tick flag enabled. For example: A buy ASX Trade OUCH order of order type B, price cents will be considered to be an order of price cents with mid-tick flag enabled. A sell ASX Trade OUCH order of order type B, price cents, will be considered to be an order of price cents with mid-tick flag enabled This feature is only supported for OUCH Order Types N, S, B and T. All other order types will reject half-tick prices. The Replace Order message also supports entry of mid-tick prices and can therefore be used to turn on or off half-tick improvement if required Mapping of ASX Trade OUCH Order Types to OMNet API Values This table shows how the supported ASX Trade OUCH order types map to OMNet API equivalent order type values. Changes and new functionality introduced in the ASX Trade Q Release are highlighted in bold. Note: All Centre Point order types will map to exch_order_type_n = 4096, regardless of whether they are entered with an MAQ or not. OUCH Order Type Field Value ASX Trade Open Interface (OMNet API) Equivalent Definition Y Limit order exch_order_type_n = 0 N Centre Point order (mid-point only) Price > 0 defines a Centre Point Limit order Price = 0 defines a Centre Point Market order. exch_order_type_n = 4096 mid_tick_c = 1 or 2, depending on entered price (if price is at half-tick, mid_tick_c = 1) minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 or 2 (depending on price) D Centre Point Order (dark limit order with mid-tick flag enabled) exch_order_type_n = 4096 mid_tick_c = 4 minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 Copyright 2014 ASX Limited ABN All rights reserved

8 S P B F T OUCH Order Type Field Value Sweep order Price > 0 defines a Limit Sweep order. Price = 0 defines a Market-to-Limit Sweep order. Dual-posted Limit Sweep order (i.e. mid-tick flag is enabled) Centre Point Block order (midpoint only) with single fill MAQ Price > 0 defines a Centre Point Block Limit order Price = 0 defines a Centre Point Block Market order. Centre Point Block Order (dark limit order with mid-tick flag enabled) with single fill MAQ Limit Sweep order with single fill MAQ ASX Trade Open Interface (OMNet API) Equivalent Definition exch_order_type_n = 2048 mid_tick_c = 1 or 2, depending on entered price (if price is at half-tick, mid_tick_c = 1) minimum_quantity_i = entered MAQ (must be zero for Market-to-Limit Sweep orders) single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 or 3 (depending on price) exch_order_type_n = 2048 mid_tick_c = 1 minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 exch_order_type_n = 4096 mid_tick_c = 1 or 2, depending on entered price (if price is at half-tick, mid_tick_c = 1) minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 1 preference_only_c = 2 order_type_c = 1 or 2 (depending on price) exch_order_type_n = 4096 mid_tick_c = 4 minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 1 preference_only_c = 2 order_type_c = 1 exch_order_type_n = 2048 mid_tick_c = 1 or 2, depending on entered price (if price is at half-tick, mid_tick_c = 1) minimum_quantity_i = entered MAQ single_fill_minimum_quantity_c = 1 preference_only_c = 2 order_type_c = 1 Note: Depending on the value of the ASX Trade OUCH Side field specified for the order, exch_order_type_n = 2 (Short Sell) may also apply in combination with the above exchange order types. Copyright 2014 ASX Limited ABN All rights reserved

9 1.3. Reserved Fields In anticipation of future enhancements, a new optional structure enhanced_cp_matching_t (named structure 34831) containing two fields has been added to the MO1 order entry and MO3 order amend transactions and relevant queries and broadcasts. These fields are reserved for future use. New functionality relating to these fields will be detailed in an upcoming notice. A new deal source value of 49 has also been added, reserved for future use Centre Point - Block Trading Enhancements With the ASX Trade Q Release, ASX Centre Point will be enhanced to support block trading at prices at or outside the National Best Bid or Offer (NBBO). To support this new functionality, the existing OMNet API variable mid_tick_c which is part of the structure centre_point_order_t (named structure 34816) will accept the values 5 and 6. Further details about the new functionality and use of those new values will be detailed in a future notice. Three new deals source values will also be added for this new functionality: 50 Block Trade 51 Preference Block Trade 52 Reserved for future use. The new functionality will only be available in the ASX Trade Q Release and will not be supported in the Q Release OUCH Transaction Types in BO5 Firm Order Book Broadcast Some structures that are disseminated in the BO5 Firm Order Book broadcast contain the transaction_type structure to identify the transaction that caused the BO5 to be sent. For orders entered or amended in ASX Trade OUCH, the resulting BO5 broadcast and related MQ151 and MQ154 queries will identify those transactions as ET1 (Enter Order) and ET2 (Replace Order) ASX Trade ITCH and Glimpse No changes are introduced to ASX Trade ITCH and Glimpse as a result of the ASX Trade Q Release ASX Trade FIX Protocol No changes are introduced to the ASX Trade MarketPoint FIX as a result of the ASX Trade Q Release. Additional fields will be introduced in Execution Report (8) messages in the FIX Protocol for Order Management: A new tag 29 (LastCapacity) will be used to report the nature of a Participant crossing to cater for the introduction of the new Crossing Dealing Capacity functionality. Values 2 (Cross as Principal) and 3 (Cross as Agent) are defined by the FIX specification. Where a mixed participant crossing is reported, an ASX custom value 5 (Cross as Mixed) will be used. Two new tags (20020 and 20021) will be introduced to support future enhancements. These fields are reserved for future use and the new functionality relating to these fields will be detailed in a future notice. Copyright 2014 ASX Limited ABN All rights reserved

10 2. Appendix 2 Draft Changes to the ASX Trade Open Interface Documentation 2.1. Summary of ASX Trade Open Interface Changes Crossing Dealing Capacity A new variable counter_order_capacity_c has been added to broadcasts and queries relating to executions and trades. This variable contains the dealing capacity of the counter order for crossings. For crossed trades, it returns the value provided in capacity_of_participant_s of the opposing order. For non-crossed trades, zero will be returned. The following broadcasts and queries have been changed: Reserved fields BO5 Firm Order Book broadcast - order_trade_info_asx_t (named structure 34922) CB15 Dedicated Trade broadcast - cl_trade_asx_api_t (named structure 65) MQ151 Firm Order Book Broadcast query - order_trade_info_asx_t (named structure 34922) MQ154 Firm Order Book Broadcast On Behalf query - order_trade_info_asx_t (named structure 34922) CQ110 Dedicated Trade Query - cl_trade_asx_api_t (named structure 65) CQ111 Dedicated Historical Trade Query - cl_trade_asx_api_t (named structure 65) CQ114 Initial Trade Reports Query cl_trade_internal_asx_t (named structure 29) CQ1134 Dedicated Trade On Behalf Query - cl_trade_asx_api_t (named structure 65) CQ1135 Dedicated Historical Trade On Behalf Query - cl_trade_asx_api_t (named structure 65) A new optional sub-structure enhanced_cp_matching_t (named structure 34831) is available for the MO1 Single Order Insert and MO3 Single Order Update transactions. This sub-structure is reserved for future use with Centre Point and Sweep orders. New functionality relating to these fields will be detailed in a future notice. Once the new functionality will be available, the new sub-structure will also be returned in the following broadcasts and queries: BO5 Firm Order Book broadcast MQ92 Own Orders Query MQ476 Own Orders Query On Behalf MQ151 Firm Order Book Broadcast query MQ154 Firm Order Book Broadcast On Behalf query A new deal source value (deal_source_c = 49) will also be introduced as part of this new functionality Centre Point - Block Trading Enhancements To support new Block Trading Enhancements for Centre Point, the existing OMNet API variable mid_tick_c which is part of the structure centre_point_order_t (named structure 34816) will accept the values 5 and 6 in the MO1 Single Order Insert and MO3 Single Order Update transactions. Further details about the new functionality and use of those new values will be detailed in a future notice. This functionality will be supported in the ASX Trade Q Release. Copyright 2014 ASX Limited ABN All rights reserved

11 Three new deals source values (deal_source_c) will also be added for this new functionality: 50 Block Trade 51 Preference Block Trade 52 Reserved for future use Changes to Existing Transactions MO1 Single Order Insert A new optional sub-structure enhanced_cp_matching_t (named structure 34831) is available for the MO1 Single Order Insert transaction. This sub-structure is reserved for future use with Centre Point and Sweep orders. New functionality relating to these fields will be detailed in a future notice. Once the functionality making use of this new sub-structure has been implemented, the sequence of sub-structures for entering Centre Point and Centre Point Block orders could be as follows: basic_order_t (named structure 34810) centre_point_order_t (named structure 34816) exchange_info_t (named structure 50004) free_text_t (named structure 34801) clearing_info_t (named structure 34802) regulatory_t (named structure 34821) enhanced_cp_matching_t (named structure 34831) enhanced_cp_matching_t (named structure 34831) This is a new sub-structure. participant_order_attribute_i counter_order_attributes_i uint32_t Reserved for future use. uint32_t Reserved for future use centre_point_order_t (named structure 34816) Changes are highlighted in bold. minimum_quantity_i mid_tick_c int64_t MAQ of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. 0 = no minimum acceptable quantity. Must be set to zero for Centre Point orders (exch_order_type_n = 64 or 66). Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point ( dark limit order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price. Copyright 2014 ASX Limited ABN All rights reserved

12 preference_only_c single_fill_minimum_quantity_c filler_1_s 0 = not defined 1 = mid-tick attribute set on 2 = mid-tick attribute set off 3 = allowed for permitted prices in addition to mid-point ( dark limit order) 4 = allowed for permitted prices in addition to mid-point ( dark limit order), with mid-tick attribute set on 5 = reserved for future Block Trading Enhancements (Q Release) 6 = reserved for future Block Trading Enhancements (Q Release) Limit Sweep orders fully integrate the liquidity in Centre Point and ASX TradeMatch and will interact with both mid-point only and dark limit Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Specifies whether a Centre Point order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only 0 or 2 are valid values. 0 = not defined or no, order is not a Preference and Kill order. 1 = yes, order is a Preference and Kill order. Time validity must be set to Fill and Kill or Fill or Kill for this option. 2 = no, order is not a Preference and Kill order. Specifies whether the minimum acceptable quantity (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not. 0 = not defined 1 = MAQ must be satisfied in a single fill 2 = MAQ may be satisfied in multiple fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0. char[1] Ignore. Used for byte alignment MO3 Single Order Update A new optional sub-structure enhanced_cp_matching_t (named structure 34831) is available for the MO3 Single Order Update transaction. This sub-structure is reserved for future use with Centre Point and Sweep orders. New functionality relating to these fields will be detailed in a future notice. Once the functionality making use of this new sub-structure has been implemented, this substructure only needs to be provided if a variable contained within the sub-structure is to be amended enhanced_cp_matching_t (named structure 34831) This is a new sub-structure. Copyright 2014 ASX Limited ABN All rights reserved

13 participant_order_attribute_i counter_order_attributes_i uint32_t Reserved for future use. uint32_t Reserved for future use centre_point_order_t (named structure 34816) Changes are highlighted in bold. minimum_quantity_i mid_tick_c preference_only_c int64_t MAQ of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. Amending this field to zero means that the Centre Point Block or Limit Sweep order has no MAQ. If the current MAQ for the order should be retained this field has to be set to its current value. Must be set to zero for Centre Point orders (exch_order_type_n = 64 or 66). Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point ( dark limit order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price. 0 = not defined 1 = mid-tick attribute set on 2 = mid-tick attribute set off 3 = allowed for permitted prices in addition to mid-point ( dark limit order) 4 = allowed for permitted prices in addition to mid-point ( dark limit order), with mid-tick attribute set on. 5 = reserved for future Block Trading Enhancements (Q Release) 6 = reserved for future Block Trading Enhancements (Q Release) Limit Sweep orders fully integrate the liquidity in ASX Centre Point and ASX TradeMatch and will interact with both midpoint only and dark limit Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Limit Sweep orders cannot be amended to have their mid-tick attribute set to on. Specifies whether a Centre Point Order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only 0 or 2 are valid values. 0 = not defined or no, order is not a Preference and Kill order. 1 = yes, order is a Preference and Kill order. Time validity must be set to Fill and Kill or Fill or Kill for this option. Copyright 2014 ASX Limited ABN All rights reserved

14 single_fill_minimum_quantity_c filler_1_s 2 = no, order is not a Preference and Kill order. This variable cannot be amended. Specifies whether the MAQ (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not. 0 = not defined 1 = minimum acceptable quantity must be satisfied in a single fill 2 = minimum acceptable quantity may be satisfied in multiple fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0. char[1] Ignore. Used for byte alignment Changes to Existing Queries CQ110 Dedicated Trade Query A new variable counter_order_capacity_c has been added, replacing the existing filler_1_s field in cl_trade_asx_api_t (named structure 65). This structure is returned in the CA110 answer to the CQ110 Dedicated Trade query. The new variable returns the dealing capacity of the counter order for crossings CA110 - cl_trade_asx_api_t (named structure 65) New variables are highlighted in bold. party settlement_date_s trade_slip_number_i trade_condition_n party_t This is the declared counterparty for the other side of the trade. char[8] The settlement date for the trade. Format: YYYYMMDD. int32_t ASX Trade Slip number. Of the format 1OPNNNNNNN: 1 - always 1 O - last digit of the Ordinal date P - Instance number of DC NNNNNNN: Trade number. uint16_t The condition in which a trade was executed. Possible values include: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. Copyright 2014 ASX Limited ABN All rights reserved

15 ext_t_state_c counter_order_capacity_c Trade report codes. Possible value includes: 0 = Ignore, not relevant. For other values refer to ASX Trade Introduction and Business Information - Trade Report Types for more information. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned CQ111 Dedicated Historical Trade Query A new variable counter_order_capacity_c has been added, replacing the existing filler_1_s field in cl_trade_asx_api_t (named structure 65). This structure is returned in the CA111 answer to the CQ111 Dedicated Historical Trade query. The new variable returns the dealing capacity of the counter order for crossings CA111 - cl_trade_asx_api_t (named structure 65) New variables are highlighted in bold. party settlement_date_s trade_slip_number_i trade_condition_n ext_t_state_c counter_order_capacity_c party_t This is the declared counterparty for the other side of the trade. char[8] The settlement date for the trade. Format: YYYYMMDD. int32_t ASX Trade Slip number. Of the format 1OPNNNNNNN: 1 - always 1 O - last digit of the Ordinal date P - Instance number of DC NNNNNNN: Trade number. uint16_t The condition in which a trade was executed. Possible values include: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. Trade report codes. Possible value includes: 0 = Ignore, not relevant. For other values refer to ASX Trade Introduction and Business Information - Trade Report Types for more information. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned. Copyright 2014 ASX Limited ABN All rights reserved

16 CQ114 Initial Trade Reports Query A new variable counter_order_capacity_c and a filler_3_s field have been added in cl_trade_internal_asx_t (named structure 29). This structure is returned in the CA114 answer to the CQ114 Initial Trade Reports query. The new variable returns the dealing capacity of the counter order for crossings CA114 - cl_trade_internal_asx_t (named structure 29) trading_code user_code account give_up_member big_attention_u customer_info_s open_close_req_c trade_report_attribute_c order_type_c exch_order_type_c counter_order_capacity_c trading_code_t See trading_code_t sub structure below. user_code_t See user_code_t sub structure below. account_t See account_t sub structure below. give_up_member_t Used to indicate the participant ID that will be clearing this trade. See give_up_member_t sub structure below. uint32_t Further information on the trade. Possible values: 0 = Ignore 32 = Aggressive Order the trade is the part created by an incoming order as opposed to the part that was already stored in the order book. char[15] Customer information a free text field typically used to indicate to the participant their own order identifier. Ignore. Currently not used. Trade report attribute. Possible values: 0 = Initial trade report. Order Type a combination of this field and the premium_i field signify different types of orders. Possible values: 1 = Limit price order (premium_i = an integer) 2 = Market order (premium_i = 0) 3 = Market-to-Limit order (premium_i = 0) 17 = Best-Limit order (premium_i = 0, time_validity_n!= 0) 65 = Imbalance Limit order (premium_i = an integer). Used in conjunction with values in the field exch_order_type_n to determine Undisclosed, Centre Point, Centre Point Block and Sweep orders. uint16_t Exchange specific order types. 2 = Short Sell. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in Copyright 2014 ASX Limited ABN All rights reserved

17 filler_3_s capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned. char[3] Ignore. Used for byte alignment CQ1134 Dedicated Trade Query On Behalf A new variable counter_order_capacity_c has been added, replacing the existing filler_1_s field in cl_trade_asx_api_t (named structure 65). This structure is returned in the CA1134 answer to the CQ1134 Dedicated Trade On Behalf query. The new variable returns the dealing capacity of the counter order for crossings CA cl_trade_asx_api_t (named structure 65) New variables are highlighted in bold. party settlement_date_s trade_slip_number_i trade_condition_n ext_t_state_c counter_order_capacity_c party_t This is the declared counterparty for the other side of the trade. char[8] The settlement date for the trade. Format: YYYYMMDD. int32_t ASX Trade Slip number. Of the format 1OPNNNNNNN: 1 - always 1 O - last digit of the Ordinal date P - Instance number of DC NNNNNNN: Trade number. uint16_t The condition in which a trade was executed. Possible values include: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. Trade report codes. Possible value includes: 0 = Ignore, not relevant. For other values refer to ASX Trade Introduction and Business Information - Trade Report Types for more information. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned. Copyright 2014 ASX Limited ABN All rights reserved

18 CQ1135 Dedicated Historical Trade Query On Behalf A new variable counter_order_capacity_c has been added, replacing the existing filler_1_s field in cl_trade_asx_api_t (named structure 65). This structure is returned in the CA1135 answer to the CQ1135 Dedicated Historical Trade On Behalf query. The new variable returns the dealing capacity of the counter order for crossings CA cl_trade_asx_api_t (named structure 65) New variables are highlighted in bold. party settlement_date_s trade_slip_number_i trade_condition_n ext_t_state_c counter_order_capacity_c party_t This is the declared counterparty for the other side of the trade. char[8] The settlement date for the trade. Format: YYYYMMDD. int32_t ASX Trade Slip number. Of the format 1OPNNNNNNN: 1 - always 1 O - last digit of the Ordinal date P - Instance number of DC NNNNNNN: Trade number. uint16_t The condition in which a trade was executed. Possible values include: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. Trade report codes. Possible value includes: 0 = Ignore, not relevant. For other values refer to ASX Trade Introduction and Business Information - Trade Report Types for more information. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned MQ92 Own Orders Query A new sub-structure enhanced_cp_matching_t (named structure 34831) is available in the MA92 response to the MQ92 Own Orders query. This sub-structure is reserved for future use with Centre Point and Sweep orders and will be returned by the query if supplied with the original order MA92 - enhanced_cp_matching_t (named structure 34831) This is a new sub-structure. participant_order_attribute_i uint32_t Copyright 2014 ASX Limited ABN All rights reserved

19 counter_order_attributes_i Reserved for future use. uint32_t Reserved for future use MA92 - centre_point_order_t (named structure 34816) Changes are highlighted in bold. minimum_quantity_i mid_tick_c preference_only_c single_fill_minimum_quantity_c int64_t MAQ of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. 0 = no minimum acceptable quantity. Must be set to zero for Centre Point orders (exch_order_type_n = 64 or 66). Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point ( dark limit order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price. 0 = not defined 1 = mid-tick attribute set on 2 = mid-tick attribute set off 3 = allowed for permitted prices in addition to mid-point ( dark limit order) 4 = allowed for permitted prices in addition to mid-point ( dark limit order), with mid-tick attribute set on 5 = reserved for future Block Trading Enhancements (Q Release) 6 = reserved for future Block Trading Enhancements (Q Release) Limit Sweep orders fully integrate the liquidity in Centre Point and ASX TradeMatch and will interact with both mid-point only and dark limit Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Specifies whether a Centre Point order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only 0 or 2 are valid values. 0 = not defined or no, order is not a Preference and Kill order. 1 = yes, order is a Preference and Kill order. Time validity must be set to Fill and Kill or Fill or Kill for this option. 2 = no, order is not a Preference and Kill order. Specifies whether the minimum acceptable quantity (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not. 0 = not defined 1 = MAQ must be satisfied in a single fill Copyright 2014 ASX Limited ABN All rights reserved

20 filler_1_s 2 = MAQ may be satisfied in multiple fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0. char[1] Ignore. Used for byte alignment MQ476 Own Orders Query On Behalf A new sub-structure enhanced_cp_matching_t (named structure 34831) is available in the MA476 response to the MQ476 Own Orders On Behalf query. This sub-structure is reserved for future use with Centre Point and Sweep orders and will be returned by the query if supplied with the original order MA476 - enhanced_cp_matching_t (named structure 34831) This is a new sub-structure. participant_order_attribute_i counter_order_attributes_i uint32_t Reserved for future use. uint32_t Reserved for future use MA476 - centre_point_order_t (named structure 34816) Changes are highlighted in bold. minimum_quantity_i mid_tick_c int64_t MAQ of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. 0 = no minimum acceptable quantity. Must be set to zero for Centre Point orders (exch_order_type_n = 64 or 66). Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point ( dark limit order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price. 0 = not defined 1 = mid-tick attribute set on 2 = mid-tick attribute set off 3 = allowed for permitted prices in addition to mid-point ( dark limit order) 4 = allowed for permitted prices in addition to mid-point ( dark limit order), with mid-tick attribute set on 5 = reserved for future Block Trading Enhancements (Q2 Copyright 2014 ASX Limited ABN All rights reserved

21 preference_only_c single_fill_minimum_quantity_c filler_1_s 2015 Release) 6 = reserved for future Block Trading Enhancements (Q Release) Limit Sweep orders fully integrate the liquidity in Centre Point and ASX TradeMatch and will interact with both mid-point only and dark limit Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Specifies whether a Centre Point order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only 0 or 2 are valid values. 0 = not defined or no, order is not a Preference and Kill order. 1 = yes, order is a Preference and Kill order. Time validity must be set to Fill and Kill or Fill or Kill for this option. 2 = no, order is not a Preference and Kill order. Specifies whether the minimum acceptable quantity (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not. 0 = not defined 1 = MAQ must be satisfied in a single fill 2 = MAQ may be satisfied in multiple fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0. char[1] Ignore. Used for byte alignment MQ151 Firm Order Broadcast Query A new variable counter_order_capacity_c and a filler_3_s field have been added in order_trade_info_asx_t (named structure 34922). This structure is returned in the MA151 answer to the MQ151 Firm Order Broadcast query. The new variable returns the dealing capacity of the counter order for crossings. A new sub-structure enhanced_cp_matching_t (named structure 34831) is available in the MA151 response to the MQ151 Firm Order Broadcast query. This sub-structure is reserved for future use with Centre Point and Sweep orders and will be returned by the query if supplied with the original order MA151 order_trade_info_asx_t (named structure 34922) New variables are highlighted in bold. opposing_order_number_u quad_word Order number for the opposing order for this trade. Copyright 2014 ASX Limited ABN All rights reserved

22 trade_condition_n exch_order_type_n ext_t_state_c opposing_deal_source_c aggressive_c bid_or_ask_c trade_short_sell_quantity_i counter_order_capacity_c filler_3_s uint16_t The condition in which a trade was executed. Possible values: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. uint16_t Exchange specific order types. Ignore any values returned that are not in the list below: 2 = Short Sell order Can also be combined with other exchange specific order types/attributes) outlined below. 4 = Market Bid order 8 = Price Stabilisation/Green Shoe Order 32 = Undisclosed 64 = Centre Point Order 2048 = Sweep order 4096 = Centre Point Block order. Trade report code. Possible values: 0 = Ignore, not relevant. For other values see Trade Report Types in ASX Trade Introduction and Business Information for more information. Deal Source for the opposing side of this trade. An aggressive order is the order that immediately results in a trade. A passive order does not result in an immediate trade. Passive (Price taker) = 0 (zero) Aggressive (Price maker) = 1. Bid or Ask. Possible values: 1 = Bid 2 = Ask. int64_t Traded short sell quantity, i.e. the portion of the trade that was short. char[1] Dealing capacity of the counter order for crossings. For crossed trades, this returns the value provided in capacity_of_participant_s of the opposing order. For noncrossed trades, zero will be returned. char[3] Ignore. Used for byte alignment. Copyright 2014 ASX Limited ABN All rights reserved

23 MA151 - enhanced_cp_matching_t (named structure 34831) This is a new sub-structure. participant_order_attribute_i counter_order_attributes_i uint32_t Reserved for future use. uint32_t Reserved for future use MA151 - centre_point_order_t (named structure 34816) Changes are highlighted in bold. minimum_quantity_i mid_tick_c preference_only_c single_fill_minimum_quantity_c int64_t MAQ of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. 0 = no minimum acceptable quantity. Must be set to zero for Centre Point orders (exch_order_type_n = 64 or 66). Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point ( dark limit order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price. 0 = not defined 1 = mid-tick attribute set on 2 = mid-tick attribute set off 3 = allowed for permitted prices in addition to mid-point ( dark limit order) 4 = allowed for permitted prices in addition to mid-point ( dark limit order), with mid-tick attribute set on 5 = reserved for future Block Trading Enhancements (Q Release) 6 = reserved for future Block Trading Enhancements (Q Release) Limit Sweep orders fully integrate the liquidity in Centre Point and ASX TradeMatch and will interact with both mid-point only and dark limit Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Specifies whether a Centre Point order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only 0 or 2 are valid values. 0 = not defined or no, order is not a Preference and Kill order. 1 = yes, order is a Preference and Kill order. Time validity must be set to Fill and Kill or Fill or Kill for this option. 2 = no, order is not a Preference and Kill order. Copyright 2014 ASX Limited ABN All rights reserved

24 filler_1_s Specifies whether the minimum acceptable quantity (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not. 0 = not defined 1 = MAQ must be satisfied in a single fill 2 = MAQ may be satisfied in multiple fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0. char[1] Ignore. Used for byte alignment MQ154 Firm Order Broadcast Query On Behalf A new variable counter_order_capacity_c and a filler_3_s field have been added in order_trade_info_asx_t (named structure 34922). This structure is returned in the MA154 answer to the MQ154 Firm Order Broadcast On Behalf query. The new variable returns the dealing capacity of the counter order for crossings. A new sub-structure enhanced_cp_matching_t (named structure 34831) is available in the MA154 response to the MQ154 Firm Order Broadcast On Behalf query. This sub-structure is reserved for future use with Centre Point and Sweep orders and will be returned by the query if supplied with the original order MA154 order_trade_info_asx_t (named structure 34922) New variables are highlighted in bold. opposing_order_number_u trade_condition_n exch_order_type_n quad_word Order number for the opposing order for this trade. uint16_t The condition in which a trade was executed. Possible values: 0 = No Condition 2 = Internal Trade/Crossing 8 = Buy Write (Equity/Derivative Combination). This field acts as a bit mask. The binary AND operator can be used on the above possible values. uint16_t Exchange specific order types. Ignore any values returned that are not in the list below: 2 = Short Sell order Can also be combined with other exchange specific order types/attributes) outlined below. 4 = Market Bid order 8 = Price Stabilisation/Green Shoe Order 32 = Undisclosed 64 = Centre Point Order 2048 = Sweep order 4096 = Centre Point Block order. Copyright 2014 ASX Limited ABN All rights reserved