Front End Systemic Capture Rule 123

1
Front End Systemic Capture Rule 123

• David Bartges
• Director
• NYSE Technology Infrastructure
• January 13, 2000

2
NYSE Business Goals

• Address regulatory issues
• Maximize operational efficiencies
• Provide new customer services

3
Industry Drivers

• Move towards straight through processing
• Decrease comparison/settlement window
• Rapidly changing competitive landscape

4
Program Components

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

5
Rule 123 Summary

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

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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.

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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 members 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

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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

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FESC Message Formats

• Dom Gallo
• Director
• Member Firm Customer Services
• January 13, 2000

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FESC Architecture
Member Firms
Proprietary Order Drop Copies
MF Interface
Common Access Point
Systematized Orders
FIX Utility
CMS/SDOT
FESC Core
Surveillance
Systematized Orders Proprietary Order Drop
Copies
FESC Database(s)
14
Data Flow
Member Firm / Service Bureau
Telephone
CAP
NYSE SWOP Systems
PSS
FESC
Telephone
e-Broker
Proprietary System
BBSS
Post DBK
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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

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Optional FESC Order Details

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

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Order Details (FCS Format)
Line 0 Firm Identifier AAAA
Line 1 Branch Sequence Code Number AAA nnnn
Line 1A Exchange Routing Competing Booth Code
Code Specialist Code ID NY OL AAAA B
-AA RPX RPVX A AV OVR OS TS
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Order Details (FCS Format)
Line 2 Possible Cancel Order Duplicate Instr
uction POSSDUPE CXL BUY CXLBAL BUYMINUS
SL SLPLUS SSHRT SSHRTEXEMPT
Lines 3 3C Quantity Stock Suffix Price Sym
bol Delimeters nnnnnnn XYZ PRACL MKT
MKTCLO MKTOB
MKTWOW (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
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Order Details (FCS Format)
Lines 3A 3D All or Time-In- Do Not
Reduce Delivery Try to Account None Force Do
Not Increase Instructions Stop Type AON GTC DNR
CASH TTS A DAY DNI ND B OPG SELLERnn C
OC D FOK E GTX F H
I J K L M
N O P R T
U W X Y Z
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Order Details (FCS Format)
Line 3B Additional Order Kind of
Cancel Instruction or Switch Order OR SW BUY
or BUYMINUS CXL SL or SLPLUS CXLBAL SSHR
T SHRTEXEMPT CXL (price) (price)STP
Line 3E Leaves Time-In- Force LVSnnnnnnn DAY
GTC OPG FOK OC GTX
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Order Details (FCS Format)
Line 3F Double Slash Miscellaneous Order
Information //(miscellaneous order information)
Line 4 Miscellaneous Information Miscellaneous
Data
Line 4A Reference Branch Field Date
Miscellaneous Information Sequence
Separator Information RE AAAnnnn
/ MMDDYY Miscellaneous Data
or MMDDCCYY
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Order Details (FCS Format)
Line 4B Give Up Confirmation Information Line G
UAAAA CFN100XYZ101/2
Line 4C (New Line) Floor Available Write In As
Of Sending Drop Copy Time Time Indicator Time
Flag JJJJJHHMMSS JJJJJHHMMSS A JJJJJHHMM
SS D (system produced) (system produced)
(system produced)
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Line 4B - Give up Information

• The Give up (i.e., mnemonic of the Clearing Firm)
  must be present on all Drop Copies.
• FORMAT
• GUAAAA
• Where AAAA is 1 to 4 alpha characters.

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Date and Time Format

• JJJJJHHMMSS
• DATE - (JJJJJ) the last five digits of the Julian
  date.
• Todays 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.

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Line 4C - Field 1

• Floor Available Time (required field)
• FORMAT
• JJJJJHHMMSS
• 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.

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Line 4C - Field 2

• Write In Time (optional field)
• FORMAT
• JJJJJHHMMSS
• 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.

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Line 4C - Field 3

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

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Line 4C - Field 4

• Sending Time (optional field)
• FORMAT
• JJJJJHHMMSS
• 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.

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Line 4C - Field 5

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

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FIX Messages

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

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Drop Copy Order Details (FIX Format)
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Drop Copy Cancel / Replace Order Details (FIX
Format)
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FESC Reject Messages
FIX Reject Message
Note FESC will use the same format as the FIX
Reject message, except that the Text field (Tag
58) shall state the following
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Common Access Point (CAP)Overview

• Frank Candreva
• Lead Technical Analyst
• Member Firm Customer Services
• January 13, 2000

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Business Drivers

• Fast and easy access to NYSE services
• Leverage customers technology investments
  control costs
• Provide customers additional connectivity choices

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Customers Served

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

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Design Objectives

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

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Key Features

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

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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 SIACs authorization entitlement
  services
• Ensure high availability of security services

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Access Methods
Other
SIAC
Networks
Common Access Point
NYSE / SIAC
Central Services
(e.g., DNS,
Common
FIX translation)
Access
Point
NYSE
Floor
Networks
NYSE Services, e.g.
XPress, CMS, BBSS, FESC
Trading Floor
Hand held
X-Terminal
Terminal
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Access Method Capabilities
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Protocols Supported
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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

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

• Information Memo 99-38 - FESC
• issued 7/30/99
• CAP Network Interface Specification
• issued 8/30/99, update due 12/31/99
• FESC Drop Copy Application Specification
• issued 8/30/99
• CAP Security Interface Specification
• issued 12/14/99

Specs available at www.nyse.com/techspecs
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