1) Tick
Size
Pilot
Program
CHX
Market
Maker
Transaction
Data
Technical
Specification
Version 1.0
September 24, 2015
2) Table of Contents
REVISION HISTORY ............................................................................................................................................................... 4
1.
TICK SIZE PILOT MARKET MAKER REPORTING FILE FORMAT SPECIFICATION .................................. 5
1.1.
FILE SUBMISSION LOCATION .......................................................................................................................................... 5
1.2.
FILE SUBMISSION TIMING ............................................................................................................................................... 6
1.3.
FILE FORMATTING RULES .............................................................................................................................................. 6
1.4.
FILE PREPARATION ......................................................................................................................................................... 6
1.5.
FILE DELIMITED FORMAT ............................................................................................................................................... 7
1.6.
FILE REQUIREMENTS ...................................................................................................................................................... 7
1.7.
FILE DESCRIPTIONS ........................................................................................................................................................ 9
1.7.1.
Tick Size Submission File
9
1.7.1.1.
File Header Record Layout
9
1.7.1.2.
File Trailer Record Layout
9
1.7.2.
Market Maker Transaction Data Record Layout
9
1.7.2.1.
Market Maker Transaction Data Text Definitions
10
1.7.2.2.
Notes on Cancellations and Corrections
11
1.7.3.
CHX Response File Format
13
1.7.3.1.
CHX Response File Locations
13
1.7.3.2.
CHX Response File Timing
14
1.7.3.3.
CHX Response Header Record Layout
14
1.7.3.4.
CHX Response Trailer Record Layout
14
1.7.3.5.
CHX Response Body Layout
14
1.8.
REJECT DESCRIPTIONS ................................................................................................................................................. 15
2.
CHX CONTACTS ............................................................................................................................................................ 16
3) Revision History
Date
9/24/2015
Revision Number: 1
Version
1.0
Description
Initial Release
CHX Proprietary & Confidential (See Page ii)
Page 4
4) Tick Size Pilot
Market Maker Transaction Data Technical Specification
1. Tick Size Pilot
Specification
Market
Maker
Reporting
File
Format
This specification is being published to collect certain transaction data from Market Makers who are
required to submit data pursuant to Appendix B.IV and C under the Plan to Implement a Tick Size
Pilot Program (“Plan”) and whose Designated Examining Authority (“DEA”) is CHX (“Tick Size
Market Makers”). CHX plans to file a proposed rule change in coordination with FINRA, requiring
Market Makers in Tick Size Pilot securities to comply with the Data Collection requirements
contained in Item IV of Appendix B and Item C of the Plan by complying with the market maker
transaction reporting requirements included in this Market Maker Transaction Data Technical
Specification. CHX will use the detail transaction data provided by Tick Size Market Makers to
compile the data required pursuant to Item IV of Appendix B and Item C of the Plan.
Market Maker Transaction Files submitted to CHX shall be uniquely identified and submitted based
on the CHX MM Identifier. The CHX MM Identifier is a CHX assigned unique four-character
identifier that identifies a Market Maker Account. Each Market Maker shall submit their files
containing trade data on a daily basis to CHX as defined herein.
The following Market Maker Transaction Data Reporting Specification provides firms with
information needed to prepare, format and submit files to CHX, as well as receive the response
files from CHX.
1.1.
File Submission Location
Files should be submitted to CHX using the secure SFTP Protocol as a complete file for each
submission. Firms must be authorized by CHX prior to submitting files.
Firms with an existing File Transfer FTP User Id may add the Tick Size Market Maker permission
in order to submit files. Firms without existing permissions will have to request a new User Id from
CHX.
Firms will be required to drop their files on hostname: sftp.chx.com depending on their connectivity
options -- via the Internet as outlined below.
a. Connection can be made via SFTP ( port 22 ).
b. Connection can be made via https ( port 443 ).
IP Address: 67.208.64.237
Server Name: sftp.chx.com
Directory for dropping off files: tick/’CHX MM ID’
Directory for picking up response files: tick/’CHX MM Id’
NOTE: CHX MM Id is the 4 character Market Maker ID as assigned by CHX.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
5) Tick Size Pilot
Market Maker Transaction Data Technical Specification
1.2.
File Submission Timing
Firms will be required to submit their files no later than 12:00 p.m. (Noon) Central Time the fourth
business day following the trade date.
Files may be submitted during the following times Monday - Friday: Start of day 7:00 a.m. Central
Time to the End of day 4:00 p.m. Central Time.
Firms may attempt to submit the files on non-business days or outside of these hours; however,
due to system maintenance which occurs off-hours and on weekends it is possible firms will not
have success with a submission.
1.3.
File Formatting Rules
Multiple records will be combined into a single file, and must be assembled in the prescribed
sequence: <header>< data records><trailer>. The header record is required to be the first record,
and the trailer record is required to be the last record. The rest of the records may be included in
any order.
The following rules apply to the formatting of the files:
•
•
Each file must contain a trailer record as the last record.
•
Failure to pass validation on the header or trailer values will result in rejection of the entire
file.
•
1.4.
Each file must contain a header record as the first record.
Data records within the file may be in any sequence.
File Preparation
Each file submitted to CHX must have a unique filename and must contain the CHX Trading
Account Identifier, Year-Month-Day and File Type. The Year-Month-Day and File Type must match
the Year-Month-Day and File Type contained in the Header.
File Type values:
Market Maker Transaction Data - MMT
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
6) Tick Size Pilot
Market Maker Transaction Data Technical Specification
File naming convention:
<CHX MM Identifier>_<YYYY-MM-DD>_<File Type>.txt
For example, where CHX MM Identifier would be ‘ABCD’:
ABCD_2015-06-01_MMT.txt
Note: File name format is case sensitive and must conform to the example above.
1.5.
File Delimited Format
The Tick Size Pilot Files must be submitted in pipe delimited text format (decimal 124; ASCII |).
•
The delimiter marks the end of the current field and the beginning of the next field.
•
Each field is identified by its relative position within each record.
•
The sequence of the fields within each record must be exactly as stated in the record
layouts that follow.
•
Fields may be zero length.
•
Fields may not have leading zeros.
•
Fields may only contain ASCII characters in the range of decimal 32 to decimal 126,
inclusive, and excluding decimal 124 (the pipe character itself).
Additionally, each line must be terminated using the same method; either a carriage return
(decimal13; ASCII CR) or a carriage return followed by a linefeed (decimal13,10; ASCII CR,LF).
1.6.
File Requirements
This section discusses certain file requirements for your reference.
•
A Market Maker is only required to include records for a designated Pilot Security on the
days where it is an active, registered market maker on one or more national securities
exchanges or is a registered display Market Maker on the ADF.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
7) Tick Size Pilot
Market Maker Transaction Data Technical Specification
•
CHX will return a Response file in all cases for each file a Market Maker submits even when
there are no rejects. In this case the file will contain only a Header and Trailer.
•
A Response file from CHX may contain rejected records for an individual file.
•
A Market Maker will be required to resubmit corrected records returned in the Response file
as rejects from CHX. The corrected records must be part of a new, complete file for the
day. Delta files are not supported.
•
In the event multiple complete files are received for a single day, CHX will use the last file
received based on the file receive timestamp by CHX.
•
Test securities must be excluded from the file.
•
Issue symbols must be in the Tick Size Pilot Security List.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
8) Tick Size Pilot
Market Maker Transaction Data Technical Specification
1.7.
File Descriptions
1.7.1. Tick Size Submission File
1.7.1.1. File Header Record Layout
All fields within the Header are required.
Field Name
Record Type Code
File
Submission
Date/Time
CHX MM Identifier
Description/Allowable Values
Populate with #TH# to identify the record as the header.
The date and time that the file is being reported in
YYYY-MM-DD HH:MM:SS format.
CHX assigned Identifier for the Market Maker
File Type
Identifies file as containing Market Maker Transaction Data (MMT)
Year-Month-Day
The year-month-day that the file is being submitted for in YYYY-MMDD format.
The date and time that the file is being retransmitted in
YYYY-MM-DD HH:MM:SS format. Filled in only if this file is being
resubmitted; otherwise this field will be blank.
File Retransmission
Date/Time
1.7.1.2. File Trailer Record Layout
All fields within the Footer are required.
Field Name
Record Type Code
Record Count
Description/Allowable Values
Populate with #TT# to identify the record as the trailer.
The number of data records contained in the file. Do not include the
header or trailer records in the record count. If the record count does
not match the actual number of data records in the file, the file will be
rejected in its entirety.
1.7.2. Market Maker Transaction Data Record Layout
Field
Record Type Code
CHX MM Identifier
Revision Number: 1
Validation
Populate with #TR# to identify the record as a
“data event” (trade record).
Alphanumeric
CHX Proprietary & Confidential (See Page ii)
Max Size
4
4
9) Tick Size Pilot
Market Maker Transaction Data Technical Specification
Trade Date
Symbol
Trading Center
Exchange Provided
Execution Identifier
Exchange Provided Order
Identifier
Execution Time
Shares Executed
Execution Price
Buy/Sell/Short Sell
Cancelation
Original Trade Date for
Report Being Cancelled
Original Execution Time for
Report Being Cancelled
YYYY-MM-DD
Alphanumeric
Alphanumeric
Alphanumeric
10
14
6
40
Alphanumeric
40
HHMMSSMMMmmm
Numeric
Numeric
Alphanumeric
Numeric
YYYY-MM-DD
12
19
7.6
2
1
10
HHMMSSMMMmmm
12
1.7.2.1. Market Maker Transaction Data Text Definitions
Field
Record Type Code
CHX MM Identifier
Trade Date
Symbol
Trading Center
Definition
Populate with #TR# to identify the record as a “data event” (trade
record).
The CHX assigned Identifier for the market maker.
The execution date attributed to this record
Pilot Stock Symbol
The Trading Center where the trade was executed. For exchange
Trading Centers, the following values must be used:
A NYSE MKT
B NASDAQ OMX BX
C National Stock Exchange
F Non–Us Exchange
I International Securities Exchange
J EDGA Exchange
K EDGX Exchange
M Chicago Stock Exchange
N New York Stock Exchange
P NYSE Arca
Q The NASDAQ Stock Market
W CBOE Stock Exchange
X NASDAQ OMX PHLX
Y BATS BYX Exchange
Z BATS BZX Exchange
For over-the-counter Trading Centers, please provide the CHX MM
Identifier of the CHX member executing the trade.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
10) Tick Size Pilot
Market Maker Transaction Data Technical Specification
Exchange Provided
Execution Identifier
Exchange Provided
Order Identifier
Execution Time
Shares Executed
Execution Price
Buy/Sell/Short Sell
Cancellation
The execution identifier provided by the exchange to the market maker
upon acceptance of the order.
The order identifier provided by the exchange to the market maker upon
acceptance of the order.
The execution time of the trade. The granularity of the execution time
(i.e., microseconds, milliseconds, etc.,) is based on the requirements of
the Exchange or CHX rules where the trade is executed.
The number of shares executed
The execution price of the trade
The buy, sell or short sell code from the perspective of the submitting
Market Maker. Valid values are:
B – Buy
S – Sell
SS – Short Sell
The Cancellation field should only be populated when a firm is cancelling
a trade on T+4 or beyond.
Valid values are:
Blank – the trade does not represent a cancellation.
1 – The trade cancellation of a trade on T+4 or beyond.
Original Trade Date
for Report Being
Cancelled
Original Execution
Time for Report
Being Cancelled
See 1.7.2.2 for further information on cancellations and corrections.
This field is required when the Cancellation field is populated with a 1.
The date in this field must represent the trade date of the original
execution that is being cancelled.
This field is required when the Cancellation field is populated with a 1.
The time in this field must represent the execution time of the original
trade for which this cancellation report is being submitted.
1.7.2.2. Notes on Cancellations and Corrections
Reporting Cancellations and Corrections up to and including T+3
If a market maker executes and fully cancels a trade report in the same day or up to and including
T+3, neither the original execution nor the cancellation should be reported.
If a market maker executes and partially cancels a trade report in the same day or up to and
including T+3, only the final valid state of the trade should be reported. For example:
•
10:00:00 a.m. – MM purchases 300 shares of ABCD.
•
10:00:05 a.m. – MM partially cancels 100 shares of the 10:00:00 a.m. trade.
•
The MM should only report one trade for the purchase of 200 shares executed at 10:00:00
a.m. The Cancellation field for this report will be blank.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
11) Tick Size Pilot
Market Maker Transaction Data Technical Specification
If a market maker executes and corrects a trade report on the same day or up to and including T+3,
only the final valid corrected state of the trade should be reported. For example:
•
On trade date 1/5/15 at 10:00:00 a.m. – MM purchases 300 shares of ABCD.
•
On trade date 1/7/15 at 10:00:05 a.m. – MM corrects the 10:00:00 a.m. execution from
1/5/15 to indicate only 200 shares were executed.
•
When the transactions are reported and submitted with all the other market maker’s trades
executed on 1/5/15, the MM should only report one trade for the purchase of 200 shares
executed at 10:00:00 a.m. on 1/5/15. The Cancellation field for this report will be blank.
Reporting Cancellations and Corrections on T+4 or Beyond
The Cancellation field should only be populated when a firm is cancelling a trade on T+4 or beyond.
For example:
•
On trade date 1/5/15 at 10:00:00 a.m. MM purchases 300 shares of ABCD.
•
This original execution will be reported and submitted with all of the other market maker’s
trades executed on 1/5/15 by 12 noon on 1/9/15. The Cancellation field for this report will
be blank.
•
On trade date 1/12/15 at 9:45:00 a.m. MM cancels the 300 share execution that was
originally executed on 1/5/15 at 10:00:00 am.
•
This cancellation will be reported with:
o A Cancellation field value of 1.
o An Original Trade Date for Report Being Cancelled value of 2015-01-05.
o An Original Execution Time for Report Being Cancelled value of 10:00:00.
o A Trade Date value of 2015-01-12.
If a market maker corrects a trade executed on T+4 or beyond, they must submit a cancellation of
the original trade and a new trade report. For example:
•
On trade date 1/5/15 at 10:00:00 a.m. MM purchases 300 shares of ABCD.
•
This original execution will be reported and submitted with all of the other market maker’s
trades executed on 1/5/15 by 12 noon on 1/9/15. The Cancellation field for this report will
be blank.
•
On trade date 1/12/15 at 9:45:00 a.m. MM corrects the 300 share execution that was
originally executed on 1/5/15 at 10:00:00 am to indicate that only 200 shares were executed.
•
This correction should be reported with two reports.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
12) Tick Size Pilot
Market Maker Transaction Data Technical Specification
•
First, a cancellation will be reported with the 1/12/15 file, with:
o A Cancellation field value of 1.
o An Original Trade Date for Report Being Cancelled value of 2015-01-05.
o An Original Execution Time for Report Being Cancelled value of 10:00:00.
o A Trade Date value of 2015-01-12.
o A Shares Executed value of 300.
•
Second, a trade report will be submitted with the 1/12/15 file. This trade will be reported
with:
o A Cancellation field value of blank.
o A Trade Date value of 2015-01-05.
o An Execution Time value of 10:00:00.
o A Shares Executed value of 200.
1.7.3. CHX Response File Format
CHX will process the files submitted by firms in the order the files were received. A response file
will be generated by CHX for each file received and processed. A response may contain only a
Header and Trailer which reflects no rejects for a file.
In the event of Header or Trailer mismatches, the response file will contain a single reject record.
Each file generated by CHX will have a unique filename and must contain the CHX assigned MM
Identifier, Year-Month-Day and File Type as submitted in the file
The file naming convention CHX will use is:
<CHX MM Identifier>_<YYYY-MM-DD >_<File Type>_Response.txt
For example:
ABCD_2016-06-01_MMT_Response.txt
1.7.3.1. CHX Response File Locations
Firms will be required to pick up their response file(s) on hostname: sftp.chx.com. A “tick/’CHX
MM Id” directory will be made available where Firms can get their files.
NOTE: CHX MM Id is the 4 character Market Maker ID as assigned by CHX.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
13) Tick Size Pilot
Market Maker Transaction Data Technical Specification
1.7.3.2. CHX Response File Timing
Response files will be generated by CHX and made available for Firms to pick up by 12:00 p.m.
(Noon) Central Time on the following business day after file submission.
In the event a response file is sent with a non-zero number of detail records, CHX will have rejected
the file and will not ingest or process any of the file’s contents. It is incumbent on the Market Maker
to correct the file’s deficiencies and resubmit the file to CHX.
1.7.3.3. CHX Response Header Record Layout
Field Name
Record Type Code
File
Response
Date/Time
CHX MM Identifier
Description/Allowable Values
Populate with #RH# to identify the record as the header.
The date/time of the file response, in YYYY-MM-DD HH:MM:SS format.
File Type
Identifies file as containing Market Maker Transaction Data (MMT)
Year-Month-Day
The Year-Month that the file was submitted for in YYYY-MM-DD
format.
CHX assigned MM Identifier
1.7.3.4. CHX Response Trailer Record Layout
Field Name
Record Type Code
Record Count
Description/Allowable Values
Populate with #RT# to identify the record as the trailer.
The number of trade records contained in the response file. The header
and trailer records are excluded from the count.
1.7.3.5. CHX Response Body Layout
Field Name
Record Type Code
Line Number
Reject Reason
Reject Description
Line Text
Revision Number: 1
Description/Allowable Values
Populated with #RR# to identify the record as a response to the “data
event” (data record).
Line number in the submitted file. Will be 1 for a problem with the
header.
The reason this line is being rejected.
Description of reject.
The text of the line being rejected.
CHX Proprietary & Confidential (See Page ii)
14) Tick Size Pilot
Market Maker Transaction Data Technical Specification
1.8.
Reject Descriptions
A description of the reject reason will be provided back to the user for each record that fails
validation. In the event there is a Header or Footer mismatch the entire file will reject. A maximum
of 25 characters will be utilized for the reason describing the CHX reject.
A table of reject reason codes will be provided at a later point in time.
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)
15) Tick Size Pilot
Market Maker Transaction Data Technical Specification
2. CHX Contacts
This section includes contact information that you may need.
•
CHX Control Room Operations
o ControlRoom@hx.com
o (312)663-2606
•
CHX Trading Operations
o (312)663-2038
•
CHX Trouble Desk
o CTrbldesk2@hx.com
o (312)663-2111
Revision Number: 1
CHX Proprietary & Confidential (See Page ii)