Transcript NYSE - Technology Forum, May 17, 1999

Front End Systemic Capture
Rule 123
David Bartges
Director
NYSE Technology Infrastructure
January 13, 2000
NYSE Business Goals

Address regulatory issues

Maximize operational efficiencies

Provide new customer services
2
Industry Drivers

Move towards straight through processing

Decrease comparison/settlement window

Rapidly changing competitive landscape
3
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
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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 member’s
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.
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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
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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-byorder); OATS is batch, file transfer
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FESC Message Formats
Dom Gallo
Director
Member Firm Customer Services
January 13, 2000
FESC Architecture
Member
Firms
MF Interface
Proprietary Order
Drop Copies
Common
Access
Point
Systematized
Orders
FIX Utility
CMS/SDOT
FESC Core
Surveillance
Systematized Orders &
Proprietary Order Drop Copies
FESC Database(s)
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Data Flow
Member Firm / Service Bureau
Telephone
CAP
FESC
Post DBK
NYSE SWOP
PSS
Systems
e-Broker
Telephone
BBSS
Proprietary System
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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
Code
Sequence
Number
AAA
nnnn
Line 1A:
Exchange
Code
Routing
Code
Competing
Specialist
Booth
Code ID
OL
RPX
RPVX
A
AV
OVR
OS
TS
AAAA
B-AA
NY
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Order Details (FCS Format)
Line 2:
Possible
Duplicate
POSS^DUPE
Lines 3 & 3C:
Quantity
nnnnnnn
Cancel
Order
Instruction
CXL
CXL^BAL
BUY
BUY^MINUS
SL
SL^PLUS
SSHRT
SSHRT^EXEMPT
Stock
Symbol
Suffix
XYZ
PRACL
+Valid for Odd Lots only
*Either version is acceptable for a
Stop Limit Order
Price
Delimeters
MKT
MKT^CLO
MKT^OB
+MKT^WOW
(price)
(price)^CLO
(price)^STP
*(price)^STP^(price)^LMT
*(price)^STP^(price)
(price)^OB
+WOW
+(price)^WOW
+BAS
+CLO
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Order Details (FCS Format)
Lines 3A & 3D:
All or
Time-InNone
Force
AON
GTC
DAY
OPG
OC
FOK
GTX
Do Not Reduce
Do Not Increase
Delivery
Instructions
Try to
Stop
Account
Type
DNR
DNI
CASH
ND
SELLER^nn
TTS
A
B
C
D
E
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
Instruction
Kind of Cancel
or Switch Order
OR
SW
or
CXL
or
CXL^BAL
BUY
BUY^MINUS
SL
SL^PLUS
SSHRT
SHRT^EXEMPT
CXL
(price)
(price)^STP
Line 3E:
Leaves
LVS^nnnnnnn
Time-InForce
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
Information
Branch &
Sequence
RE
AAA^nnnn
Field
Separator
/
Date
Miscellaneous
Information
MMDDYY
or
MMDDCCYY
Miscellaneous Data
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Order Details (FCS Format)
Line 4B:
Give Up
Information
Confirmation
Line
GU^AAAA
CFN^100^XYZ^10^1/2
Line 4C: (New Line)
Floor Available
Time
Write In
Time
As Of
Indicator
Sending
Time
Drop Copy
Flag
JJJJJ^HH:MM:SS
JJJJJ^HH:MM:SS
A
JJJJJ^HH:MM: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
GU^AAAA
Where AAAA is 1 to 4 alpha characters.
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Date and Time Format
JJJJJ^HH:MM:SS

DATE - (JJJJJ) the last five digits of the Julian date.

Today’s 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
JJJJJ^HH:MM:SS

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
JJJJJ^HH:MM:SS

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
JJJJJ^HH:MM:SS

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)
FIX Tag
55 & 65
76
11
49
38
54
40
44 and/or 99
59
18
18
18
60
58
9404
9405
52
9406
FIX Tag Name
Symbol & SymbolSfx
ExecBroker
CIOrdID
SenderCompID
OrderQty
Side
OrdType
Price, StopPx
TimeInForce
ExecInst
ExecInst
ExecInst
TransactTime
Text
WriteInTime
AsOfIndicator
SendingTime
DropCopyFlag
Drop Copy Field Name
Symbol
Clearing Organization
Order ID
Member Firm Organization
Quantity
Side of Market
Order Type
LMT Price and/or STP Price
Time In Force
Held or Not Held
Special Conditions
Special Instructions
Floor Available Time
(Optional) Data for New Orders
Write In Time (If Provided)
As Of Indicator (If Provided)
(Optional) Sending Time
Drop Copy Flag
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Drop Copy Cancel / Replace Order Details (FIX Format)
FIX Tag
41
38
54
40
44 and/or 99
59
18
18
18
58
60
9404
9405
52
9406
FIX Tag Name
OrigClOrdID
OrderQty
Side
OrdType
Price, StopPx
TimeInForce
ExecInst
ExecInst
ExecInst
Text
TransactTime
WriteInTime
AsOfIndicator
SendingTime
DropCopyFlag
Drop Copy Field Name
Original Order Unique Identifier
Quantity
Side of Market
Order Type
LMT Price and/or STP Price
Time In Force
Held or Not Held
Special Conditions
(Optional) Special Instructions
(Optional) Data for New Orders
Floor Available Time
Write In Time (If Provided)
As Of Indicator (If Provided)
(Optional) Sending Time
Drop Copy Flag
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FESC Reject Messages
FIX Reject Message
Req’d
Tag
Field Name
45
58
Standard Header
RefSeqNum
Text
Y
Y
N
Standard Trailer
Y
Comments
MsgType = 3
MesSeqNum of rejected message
Where possible, message to explain reason for
rejection
Note:
FESC will use the same format as the FIX Reject message, except that the Text field (Tag = 58) shall state the following:
FESC Reject, error code = nnn
Note: nnn = an appropriate code indicating the reason for the reject. A list of reject
codes will be provided.
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Common Access Point
(CAP)
Overview
Frank Candreva
Lead Technical Analyst
Member Firm Customer Services
January 13, 2000
Business Drivers

Fast and easy access to NYSE services

Leverage customer’s technology investments &
control costs

Provide customers additional connectivity
choices
36
Customers Served

NYSE Members

Sponsored non-members (e.g., institutions, broker /
dealers, individual investors)

Listed companies

Financial Service Bureaus

Vendors

Electronic Communication Networks (ECN’s)
37
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
39
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 SIAC’s authorization entitlement services

Ensure high availability of security services
40
Access Methods
Customer's
Network
Direct
Connection
Customer's
Network
Customer's
Network
Other
SIAC
Networks
Service
Bureaus
Public
Extranets
NYSE / SIAC
Common
Access
Point
Common Access Point
Central Services
(e.g., DNS,
FIX translation)
NYSE
Floor
Networks
Internet
Customer's
Network
NYSE Services, e.g.:
XPress, CMS, BBSS, FESC
Trading Floor
X-Terminal
Hand held
Terminal
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Access
Method
Name
Access
Method
Performance
Stability
Multicast
Capability
Requirement
for
Tunneling
Dialup
Capability
Access Method Capabilities
DC Access
Direct
Connection
to CAP
High
Yes
Low
No
SB Access
Financial
Service
Bureau
Varies by
Vendor
Possible
Moderate
Possible
EP Access
Public
Extranet
Provider
Varies by
Vendor
Possible
High
Possible
INT Access
Internet
Service
Provider
Best
Effort
No
High
Yes
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Protocols Supported
Message Format
FCS, FIX, HTML; future: XML and other
Application
& Session
SMTP, FIX, SSL, SSH, X11, DNS and other
Transport
TCP and UDP
Network
Internet Protocol (IP), ICMP, IP Multicast, and IPsec
Physical Access
Direct Connection
to CAP
Service
Bureau
Public Extranet
Provider
Internet Service
Provider
43
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
44
New Services - Target Rollout
2000
2001
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar

FIX to CMS

FCS (TCP/IP)

Front End
Systemic Capture

Institutional
XPress
Test
5
50
Test
5
50
Test
Test
5
1
25+
200
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Specifications

Information Memo #99-38 - FESC


CAP Network Interface Specification


issued 8/30/99, update due 12/31/99
FESC Drop Copy Application Specification


issued 7/30/99
issued 8/30/99
CAP Security Interface Specification

issued 12/14/99
Specs available at www.nyse.com/techspecs
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