SERVICE & TECHNICAL DESCRIPTION. Non-Member OTC Trade Reporting Service via FIX

Transcription

1 SERVICE & TECHNICAL DESCRIPTION Non-Member OTC Trade Reporting Service via FIX

2 CONTENTS 1. Service Description Monitoring Correction Process Publication Delay Trade Reporting Responsibility Market data Technical Description INTRODUCTION Readership SUMMARY OF TECHNICAL CHANGES SERVICE ACCESS Network Access Business Hours TRADE REPORT MAPPING Message Level Mapping Field Level Mapping TESTING REQUIREMENTS CONTACT DETAILS London Stock Exchange Page 2 of 30

3 1. Service Description Service Summary The Exchange will provide a pan-european OTC trade reporting service to allow non-member firms to meet their post-trade transparency obligations. The service will support publication for any unregulated trades executed away from the Exchange s markets. Key features: One stop shop pan-european service available from 07:15 to 17:15 UK time / 08:15 to 18:15 CET. Reports received outside these hours will be stored and then forwarded for publication once the system opens Open on all EU business days for the European Markets. The LSE Markets (including the UK and International trading services) will be open on all UK business days Designed for customers to meet their requirement for immediate real-time trade reporting with a backstop of three minutes Fully automated management of any publication delays applicable under MiFID Real-time price monitoring to uphold data integrity Venue ID displayed for each trade Publication to over 100,000 terminals, displayed in over 100 countries, and to over 150 vendors Delivered on the Exchange s next generation trading technology offering the highest levels of availability Global publication via our website showing delayed data free of charge 1 Trade Types & Venue ID Trade types will be used to demonstrate that a trade has been executed OTC rather than on Exchange. Customers will need to select the suitable trade type and report the transaction to the Exchange. The table below shows the trade types that will be offered for reporting OTC trades and the Venue ID that will be shown per trade type. We will 1 Data is delayed by 15 minutes and is non-chargeable London Stock Exchange Page 3 of 30

4 automatically populate the Venue ID field on the published trade report based on the selected trade type. Our current understanding is that the Venue ID should be a suitable Market Identifier Code (MIC) 2. Non-members reporting inter-fund crosses will be able to use a specific trade type to notify the market. Customers will automatically receive any applicable delay to their trade report. On Exchange TradElect Description Venue ID or OTC Trade Type OTC OT OTC trade immediate publication XOFF OTC TK OTC delayed publication XOFF OTC IF Inter fund cross publication XOFF Please note these trade types are only applicable to trade reports in European Regulated Market (EURM) securities. Subscription Non-member firms wishing to use the OTC reporting service will need to subscribe. The relevant form will be available via econtracts: FIX Connectivity The FIX Gateway is the Exchange s electronic messaging network for both buy and sell side firms. It is based on FIX 4.2 and is vendor and network neutral supporting connections via TNS, BT Radianz and Extranex, the Exchange s own network. The Gateway will be linked into TradElect for trade reporting purposes only and will support additional tags from FIX 4.4 and other industry standards to support the required information to enable a report to be fully populated. Testing will be available from mid-august and the service will go live during October Using the FIX Gateway in this manner allows non-member firms to take advantage of standardised FIX connectivity to access the Exchange s OTC trade reporting service via TradElect and take advantage of the same technological and data integrity surveillance benefits as offered to any on Exchange reports. Please contact your account manager if you are an existing customer and/or [email protected] for further information and the relevant documentation. 2 The MIC codes are subject to final confirmation from the FSA / CESR. London Stock Exchange Page 4 of 30

5 Stock Coverage & Other Features We estimate approximately 10,000-15,000 new securities will be traded on this service. The scalability of the Exchange s next generation trading technology means that this incremental service can be accommodated within system capacity. The table below sets out the segmentation of the stocks as set up in the Exchange s systems: UK OFF EXCHANGE OTC Trade Reporting Stock Coverage Timezone* (MiFID securities only) SETS FTSE All Share & some Fledgling UK (GMT / BST) SETSqx Remaining Fledgling & non-indexed equities on Main Market UK (GMT / BST) International ITBB International securities including Japan, Hong Kong & some EURM UK (GMT / BST) IRS Major European and US blue chip securities & some EURM UK (GMT / BST) European EuroSETS Dutch Liquids and all equities in AMX and AEX indices CET EQS EURM Liquid equities (non-uk / Dutch) CET ITR Remaining EURM, non-liquid equities CET NOTES * The trade time populated in a trade report must be specified in the applicable timezone ** Available for only the few MiFID securities / EURM securities which are in segment All EURM stocks The ETR off Exchange service supports trade reporting in all EURM securities and is available in the securities on the trading services (SETS, SETSqx, EQS, EUROSETS) as well as the MiFID regulated market segment of the International Bulletin Board (ITBB) and the International Retail Service (IRS). In addition, a new trade reporting only segment (International Trade Reporting ITR ) will be introduced for the remainder of EURM securities not traded on the above services. Market Segments & Sector Structure: the market segment structure is available at MiFID Service which contains full details on all these trading services. London Stock Exchange Page 5 of 30

6 Currency: the currency of trading for the respective securities will be determined on a security-by-security basis and will follow the Home Market. Due to the broad geographical spread of securities on the market, a wide range of international currencies will be represented. Trades executed in currencies that are not the Home Market currency will be converted by the reporting party into the Home Market currency for reporting purposes. Stock Suspension in the Home Market: where a stock is suspended on the Home Market for regulatory reasons, the FSA will ordinarily require all UK markets to also suspend trading, unless this would damage the interest of investors or the orderly functioning of the financial markets [Article 41(2) of MiFID]. Where trading is halted in the Home Market owing to technical reasons or pending news announcements, we will continue to operate our service unless instructed to do otherwise by the FSA. The most important distinction is between those securities that are UK listed ( UK and a few in the International segments) and the European securities that are not listed on a UK market. A trade must be reported in the local time relevant to each security. UK securities (including those trading on an International service) Time Zone: the market operates on GMT / BST - 07:15 to 17:15. Business Calendar: the market will be open each weekday with the exception of days that are public holidays within UK. The business calendar will be kept under review and will be published annually in Q4. European securities Time Zone: the market operates on CET - 08:15 to 18:15. Business Calendar: the market will be open each weekday with the exception of days that are public holidays within the entire EU. The business calendar will be kept under review and will be published annually in Q4. The public holidays for the European Market for the remainder of 2007 will be 25 and 26 December Monitoring The Exchange has supported the FSA and the EU in their efforts to seek an effective approach that maintains and promotes data integrity and identifies an effective way of enabling data to be consolidated. Our investment in a pan-european service means the level of quality can be achieved across all equities and will ensure we can comply with both MiFID s regulatory London Stock Exchange Page 6 of 30

7 standards and the FSA s Trade Data Monitor (TDM) guidelines for OTC reporting 3. OTC trade reports will be monitored in line with MiFID and the FSA s TDM guidelines. Monitoring will consist of at least the activities shown below. Real time price monitoring. TradElect rejects any outlier trade reports to prevent fat finger s being published to the market. Published trades will be monitored by our surveillance system to ensure data integrity, with firms disseminating corrections as required Correction Process Where a correction to a trade report is to be submitted within three days of publication of the trade report or, where the trade report will not be published within three days of submission of the trade report, the correction shall be effected by: cancelling the trade report (which will prevent an incorrect trade report publishing if this is done before a delayed report s delay has expired); and if correcting an in the trade report, submitting a new trade report Publication Delay Post-MiFID, the Exchange s service will be enhanced to offer a fully automated publication delay regime for all EURM securities. The delay will be calculated as per the regime specified in MiFID using the Average Daily Turnover (ADT) (see appendix B for further details). This regime will be used in MiFID and non-mifid securities with the exception of Gilts and Fixed Interest securities which will continue to operate as today. Gilts will continue to publish only if the consideration is less than 50,000 and risk trades in Fixed Interest securities will publish with a one-day delay. When a trade type offering delayed publication is used the system will check whether there is any applicable delay and apply this. The delay will follow the Business Calendar for the trading service on which the security is traded. EURM securities whether traded on the Exchange s Regulated Markets or as an MTF will have the ADT set by the relevant competent authority (e.g. FSA). Non-EURM securities traded on our markets will have the ADT 3 London Stock Exchange Page 7 of 30

8 calculated and set by the Exchange. This information will be included in the Exchange s reference data. Publication thresholds will be translated into the trading currency of the relevant security. These will be reviewed on an at least an annual basis and will be rounded to provide a suitable number of shares. The Exchange will use MiFID s methodology for publication delay in all equity markets (including the Main Market and AIM). For non-eurm securities, the Exchange will set parameters that are relevant for that specific market. These will be published in due course Trade Reporting Responsibility Where the transaction is executed outside the rules of a regulated market or an MTF, one of the participating investment firms shall, by agreement between the parties, arrange to make the information public. In the absence of an alternative agreement, the information shall be made public by the investment firm determined by proceeding sequentially from point (a) to point (d) until the first point that applies to the case in question. (a) the investment firm that sells the share concerned; (b) the investment firm that acts on behalf of or arranges the transaction for the seller; (c) the investment firm that acts on behalf of or arranges the transaction for the buyer; (d) the investment firm that buys the share concerned. London Stock Exchange Page 8 of 30

9 1.2 Market data The Exchange OTC market data service offering will be as follows: We will include the relevant and appropriate trade reports within existing UK and International on Exchange data channels for ease of implementation and use amongst current subscribers. New European OTC data will also be disseminated via the existing European channels. There will be no additional charge for receiving this OTC data within these existing data channels. In addition, we will offer a new service package (consisting of two core service channels: S21 and S22 in the diagram below) that is purely for off book trades data, covering existing UK, International, EUROSETS and new European off book trade reports. This will include both on Exchange and OTC trade reports. Note that we are renaming the DTS data service to European as it will not only include the EUROSETS (DTS) data as it does today but also the new European data generated in EQS and ITR. The new channels will be disseminated via the Exchange s highly reliable and resilient market data system, Infolect, and will be fully integrated within our feed to minimise the impact on customers wishing to take this additional data set. The diagram below shows the service channels which will disseminate off book trade reports in EURM securities post-mifid. On Exchange Trade Data refers to off book trades regulated by the Exchange s Rules. London Stock Exchange Page 9 of 30

10 UK OTC Trade Data S01 UK Level 1 UK On Book Trade Data UK OTC Trade Data UK On Exchange Trade Data Intl. OTC Trade Data S05 International Level 1 International On Intl. On Exchange Book Trade Data Trade Data Intl. OTC Trade Data EUROSETS OTC Trade Data TradElect Infolect S09 European Level 1 EUROSETS On Book EUROSETS On Trade Data Exchange Trade Data New European OTC Trade Data EUROSETS OTC Trade Data New European On Exchange Trade Data New European OTC Trade Data S21 Off Book Trade Data UK On Exchange Trade Data Intl. On Exchange Trade Data UK OTC Trade Data Intl. OTC Trade Data Existing Data New UK / Intl Data New European Data S22 European Off Book Trade Data EUROSETS On EUROSETS OTC Exchange Trade Data Trade Data New European On Exchange Trade Data New European OTC Trade Data London Stock Exchange Page 10 of 30

11 2. Technical Description 2.1 INTRODUCTION This section describes the technical aspects of the London Stock Exchange s FIX Trade Reporting Service that maps FIX Trade Report messages to the equivalent TradElect Trade Report messages. FIX Trade Report messages are routed to and from the London Stock Exchange s TradElect trading system via the existing London Stock Exchange FIX Gateway. The mapping information is based on the formats defined in the Exchange s Technical Specifications that are available at the link detailed in section Pre-requisites This section is aimed at readers requiring an understanding of the London Stock Exchange FIX Gateway, technical details of which are available on our website at: A basic understanding of the FIX Protocol specification is also required, and these can be found at the FIX Protocol website at: It is assumed that readers are familiar with TradElect and the Exchange s Technical Specifications that are available on our website at: Readers who want a more general understanding of the changes described below should refer to the service description section of this document. 2.2 SUMMARY OF TECHNICAL CHANGES A summary of the service that we are introducing is detailed below. Where possible, the Exchange has sought to leverage existing infrastructure and message types to minimise disruption and development cost for firms. The service is based on the Exchange's FIX Gateway product which uses a 4.2 FIX Session plus two custom FIX 4.4 messages to support Network Status Request. The service uses two FIX 4.4 messages to support Trade Reporting: the Trade Capture Report message (MsgType = AE) and the Trade Capture Report Ack (Msg Type= AR). In summary, the basic operation of a Trade Report submission will be as follows: London Stock Exchange Page 11 of 30

12 A FIX Trade Report message is sent to the FIX Gateway and received by this service. The equivalent TradElect Trade Report message is created and sent to the TradElect trading system. TradElect will acknowledge this Trade Report and send the appropriate response message back to the FIX Gateway.. The equivalent FIX Trade Report acknowledgment message is created and sent to the originator of the FIX Trade Report from the FIX Gateway. The service supports Over The Counter (OTC) business only. As a result, only the following trade types can be submitted using this service: FIX TrdType (828) TradElect Trade Type Description 1 0 OT OTC trade immediate publication 2 1 TK OTC delayed publication 2 42 IF Inter fund cross delayed publication For further information on these trade types, please refer to Section 1 Service Description. The diagram below shows the message flow through the services used by the FIX Trade Reporting Service. FIX Gateway Supporting FIX Message Types AE and AR FIX Interface AE Map FIX Trade Capture message to SETS Trade Report TradElect Interface 5ET / 5CN TradElect 4.2 FIX Session, Msg Types AE / AR AR Map SETS Response to FIX Trade Capture Ack message 5AT / 5PH / 5IC FIX Trade Reporting Service Infolect 4.2 FIX Session, Msg Types AE / AR Trade Report Customer #1 Trade Report Customer #2 Trade Report Customer #3 Level 1 Multicast Msg Type 5OZ London Stock Exchange Page 12 of 30

13 2.3 SERVICE ACCESS Network Access Connectivity to the FIX Gateway is currently available via the Exchange s own network (Extranex), or via third party Network Providers (such as Radianz or TNS). For the test service participants can also use the Internet. Extranex access to the FIX Gateway is via an address range allocated by the Exchange as part of the enablement process. For third party network providers, this will be allocated by the provider. Customers using Extranex can either use the native addressing scheme or use their own devices to network translate to and from the allocated addresses. For further information regarding the enablement process and the Exchange s Extranex service, please contact the Client Technology Group (see section 1.6 Contact Details) Business Hours Market Segment Rules determine the times during which trade reports may be entered on the trading system (07:00 to 17:15 UK time / 08:00 to 18:15 CET). TradElect system hours are from 07:00 to 20:00 UK time. The FIX Gateway operates 23.5 hours a day, 5 days a week. The FIX Gateway is closed for maintenance daily between 22:30 and 23:00 UK time. As a result, the FIX Trade Reporting session will open as soon as this service is started and any Trade Report messages received while TradElect is unavailable will be stored by this service for passing on to TradElect when it becomes available. Please note that all trades should be submitted with a trade time specified in UTC. This service will be responsible for any conversion to local time. 2.4 TRADE REPORT MAPPING This section describes the FIX and TradElect messages that require mapping, and the specific field mappings that have been identified Message Level Mapping There are 2 FIX messages and 5 TradElect messages involved with this service. These are listed in the table below. From Message Description To Message Description 1 FIX AE Trade Capture Report for New Trade TradElect 5ET (AD) Enter Trade Report 2 FIX AE Trade Capture Report for Cancel Trade TradElect 5CN (AB) Cancel Trade Report London Stock Exchange Page 13 of 30

14 3 TradElect 5AT (AB) Acknowledge Trade Report 4 TradElect 5PH (AB) Acknowledge Cancel Trade Report 5 TradElect 5IC (AA) Invalid Command FIX AR Trade Capture Report Ack FIX AR Trade Capture Report Ack FIX AR Trade Capture Report Ack Field Level Mapping This section describes the field mapping between the FIX and TradElect messages. This document uses the term primary key to mean the message field(s) that uniquely identifies a Trade Report. On the FIX side, the primary key that uniquely identifies a Trade Report is the following pair of FIX fields, both of which are set by the sender of the FIX Trade Report message: CompID and TradeReportID where CompID is the original sender. Duplicate detection is carried out on incoming Trade Report messages by comparison of these two FIX primary key fields. Please note that the TradeReportID that is sent in by the customer should always be unique. This uniqueness should last forever. If a duplicate TradeReportID is provided, the Acknowledge Trade Report message that is returned will be the same message that was returned for the initial Trade Capture Report with the same TradeReportID (even if it s contents are different). On the TradElect side, the primary key that identifies a Trade Report is the Trade Code. In TradElect, all instruments are uniquely identified by the use of a 4 way key consisting of: Tradable Instrument Code Currency Code Segment Code Country of Register Any Trade Report sent to TradElect must provide all of these fields. Ideally, a FIX customer would supply each of them; however, the minimum that the FIX customer will need to supply is the ISIN and currency code. Customers should use Exchange reference data to guarantee accurate use of the 4 way key, specifically Segment Code and Country of Register. Customers who would like to know how they can obtain Exchange reference data should contact the Client Technology Group (see section 1.6 Contact Details for further information) FIX AE Trade Capture Report for New Trade TradElect 5ET Enter Trade Report The table below outlines the field mappings required for submitting a Trade Report to TradElect via the FIX Gateway. The FIX Trade Report Capture message (message type AE with an ExecType value of 0 (zero)) is mapped to a TradElect 5ET Enter Trade Report message. London Stock Exchange Page 14 of 30

15 Note that grey fields indicate that there is no corresponding field on the FIX or TradElect side. An Arrow indicates that the field is part of a group. The Mand column indicates mandatory FIX fields. FIX Field (tag) Req d Usage TradingSessionID (336) N To contain LSE Segment Code (if known) TradeReportID(571) Y Together with CompID, this field uniquely identifies an incoming trade report. ExecType(150) Y Must be 0 (zero) for New Trade PreviouslyReported (570) Y N if not previously reported, Y if this is this report is a repeat. TradElect Field Service Code Segment Code Trader Group Message Type Message Version Trader Group Sequence Number Trader ID Unsolicited Connection Status Message Reference Number Source Set to T04. Obtained from TradElect reference data. From database lookup by CompID. 5ET AD Unused, set to blank Set to blank Set to blank. Generated by this service. Unique value London Stock Exchange Page 15 of 30

16 FIX Field (tag) Req d Usage SecurityID(48) Y ISIN of security SecurityIDSource(22) Y FIX always sets code 4 meaning ISIN 4 AgreementCurrency(918) Y ISO 4217 code LastPx(31) Y Format is Float LastQty(32) Y Format is Float TransactTime(60) Y Datetime in YYYYMMDD - HH:MM:SS format CountryOfIssue (470) N ISO 3166 code of issuing country (if available) NoSides (552) Y May be 0, 1 or 2. See Buy/Sell Member IDs. Side (54) Y Value 1 = Buy, 2 = Sell OrderID (37) Y Original order id for TradElect Field Tradable Instrument Code Currency Code Trade Price Trade Size Source per Enter Trade Report. Must be an ISIN. ISO 4217 code copied from FIX field. Format is 18.8 Quantity: signed numeric, 13 chars. Trade Date Format CCYYMMDD. Extracted from FIX TransactTime Trade Time Country of Register Format HHMMSS. Extracted from FIX TransactTime Country of the instrument. ISO 3166 code. If not supplied, lookup via reference data 4 Trade Reporting bridge will verify this incoming value. London Stock Exchange Page 16 of 30

17 FIX Field (tag) Req d Usage the side NoPartyIDs (453) Y Always 1 for each side PartyID (448) Y LSE PartyIDSource (447) Y Member ID Always code C = Exchange supplied PartyRole (452) Y Always value 27 = buyer/selle r AccountType (581) OrderCapacity (528) 1 = Client, 3 = House Y A = agency, P = principal, R = riskless principal TrdType (828) Y 42= Portfol io Transfer SettlDate (64) Y Format YYYYMMD D TradElect Field Settlement Account. Capacity Member ID Buy Member ID Sell Trade Type Indicator Settlement Due Date Converted Price Indicator Source Set to C for Client or H for House. Obtained from reference data if not supplied In FIX message. Code A is Agent P is Principal S is Riskless Principal. Obtained from reference data if not supplied In FIX message. See Buy/Sell Member IDs. See Buy/Sell Member IDs. IF is Interfund Format CCYYMMDD, the date that the transaction is due to settle. Set to N. Settlement Set to (3 London Stock Exchange Page 17 of 30

18 FIX Field (tag) Req d Usage TradElect Field Venue. Trade Request Status Reason Text Source blanks) Set to (blank) for single sided. Left empty. London Stock Exchange Page 18 of 30

19 TradElect 5AT Enter Trade Report Acknowledgment FIX AR Trade Capture Report Ack A TradElect 5AT Enter Trade Report Acknowledgment message will be mapped to a FIX Trade Report Capture Ack message (message type AR ). TradElect Field Usage FIX Field (tag) Source Application Advisory Code Non-blank to indicate an condition. See mapping description below. Trade Code Code allocated to the trade by TradElect Trade Status S indicates a single sided trade TradeReportID (571) Sourced from database. ExecType (150) TrdRptStatus (939) TradeReportRejectReason (751) 0 (zero) 0 (zero) for success or 1 for rejection Error number (if this is a rejection) SecurityID (48) ISIN of Security SecurityIDSource (22) Code 4 meaning ISIN Text (58) Error message (if this is a rejection) The FIX message is routed to the FIX CompID that sent in the original Trade Report. If the Trade Report has been successfully entered into TradElect, the TrdRptStatus field is set to 0 (zero) and the Text field is empty. If a failure has occured, the TrdRptStatus field is set to 1 and the TradeReportRejectReason and Text fields contain an number and message according to the TradElect Application Advisory Code. London Stock Exchange Page 19 of 30

20 FIX AE Trade Capture Report for Cancel Trade TradElect 5CN Cancel Trade Report A FIX message indicating a cancel trade will be mapped to a TradElect 5CN Cancel Trade Report message. This Trade Code (required by TradElect) will be obtained by using a combination of the TradeReportID and CompID fields. FIX Field (tag) Req d Usage TradElect Field Service Code Segment Code TradeReportID(571) Y Together with CompID, this field uniquely identifies an incoming trade report. ExecType(150) Y Must be H for Cancel Trade Trader Group Message Type Message Version Trader Group Sequence Number Trader ID Unsolicited Connection Status Message Reference Number Trade Code Source Set to T04. Sourced from the database row that was populated for the original 5AT From reference data. 5CN AB Unused, set to blank Set to blank Set to blank. Generated by this service. Unique value per Cancel Trade Report. Sourced from the database row that was populated for the original 5AT London Stock Exchange Page 20 of 30

21 FIX Field (tag) Req d Usage TradElect Field Tradable Instrument Code Country of Register Currency Code Reason Text Source Sourced from the database row that was populated for the original 5AT Sourced from the database row that was populated for the original 5AT Sourced from the database row that was populated for the original 5AT Set to Cancelled by FIX customer TradElect 5PH Acknowledge Cancel Trade FIX AR Trade Capture Report Ack This TradElect message results in a FIX AR message and is mapped in the same way as for a 5AT Enter Trade Report Acknowledgment TradElect message TradElect 5IC Invalid Command FIX AR Trade Capture Report Ack In certain circumstances, for example if an invalid segment is provided in a Trade Capture Report for New Trade, a TradElect 5IC Invalid Command message will be returned by TradElect to the FIX Gateway. This TradElect message contains only the Architecture and Business Headers and the cause of the is indicated by the Session Error Code field. Handling will be the same as a TradElect 5AT Enter Trade Report Acknowledgment message but based on this Session Error Code field value rather than the Application Advisory Code field Error Handling In the event that the original FIX message contained missing or incorrect values, the FIX customer will be informed of the by use of the TradeReportRejectReason and Text tags in the returned AR message. They should take the appropriate action and then re-enter the trade report. Note in the event that a Trade Report is sent to the FIX Gateway at a time when the TradElect system is unavailable, this will not result in an message being returned to the FIX customer since this service stores the details from the FIX London Stock Exchange Page 21 of 30

22 message and passes them on at a later time when the TradElect system becomes available. In this scenario an interim acknowledge will be sent and will show the FIX customer that the Trade Report has been received but not acknowledged (positively or negatively) by TradElect yet. If the TradElect connection is available, this interim FIX acknowledge is not sent to the FIX customer. It will consist of a FIX Trade Report Capture Ack message (message type AR ) as in section London Stock Exchange Page 22 of 30

23 TradElect 5AT Enter Trade Report Acknowledgment FIX but with the following differences: The ExecType field is set to A meaning Pending New. The TrdRptStatus field omitted, as it is optional. If this service is not available for any reason but the FIX Gateway is up, then standard FIX Store&Forward functionality will be used to hold on to the message until the Trade Report Service returns. If the service does not return before the end of the day, then the trade report will be returned using a Business Reject message. Customers will be able to see this happening because they will not receive any ack for the trade report (interim or otherwise). Note Store&Forward will depend on individual customer settings. If a customer has requested that Store&Forward not be configured for them, then trade reports will be immediately returned if the Trade Reporting Service is off-line. Customers can confirm this through the Network Status Message or using the Network Status Web Site. Please see the FIX Gateway Technical Guide for further information on these services. If an occurs internally before the incoming FIX Trade Report is committed, a FIX Trade Report Capture Ack message will be sent to the FIX customer with a reject status indicating the reason as an internal problem. For each, the possible handling implications are: Client indicating that the original FIX message contained missing or incorrect values that were mapped, unchanged, to the TradElect message. In this case, the submitter will be informed and should re-enter the trade report. indicating that the mapping itself failed. An message is sent to the submitter, who should then contact the Service Support team for further information as to what the problem is. Availability indicating that the TradElect system is unavailable at the present time. Note that this does not actually cause an message return of any kind to the FIX customer since the service stores the details from the FIX message and passes them on at a later time when the TradElect system becomes available. Error Code Q002I Q008I Q104I Meaning Notes Handling Method Period authorisation failed Segment does not match Participant suspended in Exchange system is closed Incorrect segment Availability Error Example Client Error Message Reject Reason Number London Stock Exchange Page 23 of 30

24 segment Q107I Participant not found in segment Q112I Inst/seg/curr combination invalid Could be a customer or mapping problem /Client Q113I Mandatory fields not specified Q115I Numeric fields contains nonnumeric Q134I Message contains invalid field Q137I Field must be blank Q156I Participant sell Incorrect sell not in member code. /Client segment Q157I Participant Incorrect buy buy not in member code. /Client segment Q189I Trade date/time invalid Q197I Invalid trade type indicator Q203I Size must be greater than zero Q217I Not in trade Availability reporting period Q218I Rules prevent participant trade message Q219I No trade report exists for trade code Q244I Trade report Client cannot be cancelled Q248I Trade date invalid Q249I Trade time invalid Q250I Buy Values must be participant different equals sell participant Q326I Capacity Security and currency do not match Trade report can no longer be cancelled London Stock Exchange Page 24 of 30

25 invalid Q327I Client ref must be entered Q328I Client ref sell must be entered Q330I Converted price indicator invalid Q331I Settlement due date invalid Q430I Segment code not equal to original segment code Q448A Segment does not exist Q452I Inst/seg/curr combination does not match Q460I Tradable instrument not enabled for capacity Q461I Participant not enabled for capacity Q462I No unsuspended role for segment Q468I Trade request status invalid Q469I Tradergroup invalid for member Q470I Settlement venue/account invalid Q471I Trader ID not populated Q472I Trader ID not valid for tradergroup Q477I Trader ID suspended Q479I Trade size invalid Q481I Consideration invalid Q482I Trader group ID suspended Invalid date. Instrument/currency mismatch /Client Client Security and currency do not match LastQty is invalid London Stock Exchange Page 25 of 30

26 Q483I Q491I Q500I Q503I Q505I Q508I Q509I Q510I for member No role for trade type Consideration must be greater than or equal to minimum Settlement venue suspended for security Trade price outside threshold Trade date outside allowable range Settlement venue, account, capacity invalid for tradergroup Settlement venue, account, capacity suspended for tradergroup Invalid capacity for trade type in segment Client Client Client Client Client Client LastQty is invalid Settlement venue suspended LastPx is outside threshold TransactTime is outside allowable range (to be confirmed) (to be confirmed) For the user of this service, the following behaviour would be observed for each handling method: Handling Method Availability Client Behaviour No immediate visibility. The TradElect connection is logged-off. The submitter will have received an interim acknowledge. When the TradElect connection is reestablished, the Trade Report is sent again. A Trade Capture Report Ack message (msgtype AR ) is received by the submitter. The value in the Text field of the message is sourced depending on the TradElect code. The user is then expected to correct the. A Trade Capture Report Ack message (msgtype AR ) is received by the submitter. The value in the Text field of the message is. The FIX customer can contact the Service Support desk if further information is required. London Stock Exchange Page 26 of 30

27 Buy/Sell Member IDs The Member ID Buy and Member ID Sell fields in an Enter Trade Report message to TradElect cannot be blank and must have values entered. If the incoming FIX message has one or both of these values present, that value will be used. They are supplied in nested fields within a Party block which, in turn, is nested within a Side block. The FIX message may contain 0, 1 or 2 Side blocks each of which should have a single Party block containing a PartyID field. The PartyID field (tag 448) should contain the Member ID as defined by the London Stock Exchange. (The PartyIDSource field (tag 447) should be value C indicating that the PartyID code is an Exchange-supplied code). The TradElect MemberID, Settlement Account and Capacity resolution for the three differing combinations of sides (0, 1 or 2 present) are processed as below. Zero Sides supplied in Fix Trade Report message A lookup by CompID is used to determine Member ID, AccountType and OrderCapacity. The MemberID found there is used as the Member ID for the seller side of the trade report - this follows the MiFID standard. "NONMEMBER01" is used as the Member ID for the buyer side of the trade report. One Side supplied in Fix Trade Report message The base assumption is that the trade report is one where the report has the same member on both sides (as implemented when zero sides are supplied). If a single side is supplied then it could be for one of two reasons: 1. The submitter wishes to submit a non-default value for AccountType and/or OrderCapacity, or the submitter wishes to indicate that they were the buyer, not the seller a. In this case the PartyID (if present) will match MemberID will be the value mapped from the CompID. This case is also assumed if no PartyID is present in the FIX side. The values for AccountType and OrderCapacity in the side are used, if one or both is present. If not present, then the value(s) looked up by the CompID are used. The MemberID Buy/Sell should match the Side of the trade report. b. "NONMEMBER01" is used as the Member ID for the other side of the trade report 2. The submitter wishes to report a trade with someone else a. In this case, the PartyID on the side will be different from the one associated with the CompID. This MemberID is used in the appropriate side of the trade report, but the AccountType and OrderCapacity must be the default ones associated with the CompID, which will also provide the MemberID for the other side of the Trade Report. Two Sides supplied in Fix Trade Report message The "normal case" here is that the CompID is trying to report a trade with another entity and that when the sides are reviewed, one will be for the MemberID associated London Stock Exchange Page 27 of 30

28 with the CompID and one will be for another MemberID. The two PartyIDs/MemberIDs from the sides should be used as appropriate in the trade report and the AccountType and OrderCapacity should be taken from the side where the MemberID matches the one associated with the CompID - if they are present, and from the default if they are not. There are two conditions where 2 sides are supplied: 1. Both sides hold the same MemberID. This is invalid, irrespective of whether it is the one associated with the CompID. The correct approach is to report just 1 side as shown above. 2. Neither of the MemberIDs from the Sides is for the MemberID associated with the CompID. This means that the trade report did not involve the reporter. This is not the normal model and so returns an since valid (or even default) values for AccountType and OrderCapacity cannot be established. 2.5 TESTING REQUIREMENTS In order to connect to the FIX Gateway a participant will need to undergo a small amount of testing to confirm connectivity prior to going live. All Customers will be required to demonstrate that their FIX Gateway applications can connect successfully to the Exchange over the Third-Party Infrastructure (or via the Internet, for the Customer Development Service - CDS only) by undergoing a FIX Connectivity Testing (FCT). No customers will be enabled for access to the Production FIX Gateway environment without passing a FIX Live Connectivity (FCON) test. FIX Connectivity Testing (FCT) is designed to give customers the opportunity to resolve any network or application level issues with direct Exchange and Third-Party Network support. Connectivity testing is carried out using the FIX Gateway Test Service. The FIX Live Connectivity (FCON) testing follows exactly the same format as the FCT and is designed to demonstrate that customers can connect to the Production FIX Gateway service without any issues that may impact live service. Customers will also be required to perform functional testing against the FIX Gateway CDS environment to demonstrate that they can send and receive Trade Capture Reports without experiencing any issues. Testing can be arranged by contacting Service Support (see section 2.6 for details) CONTACT DETAILS The Exchange recognises the importance of supporting a customer throughout the implementation of the service detailed in this document. The current support mechanisms will continue to be available to provide assistance throughout your design, development through to live service. Please find below the contact details of the teams who would interact with you during the course of an implementation: London Stock Exchange Page 28 of 30

29 Client Technology Group (CTG) CTG would provide technical support during an implementation, and can be contacted via: The Technical Information Desk - Tel: +44 (0) , STX Client Technology Group at: [email protected] Questions regarding of a technical nature may also be raised directly through your Technical Account Manager. Client Implementation Team (CIT) CIT are responsible for co-ordinating the implementation of a customer s FIX Gateway enablements and may be contacted via: Client Implementation Team - Tel: +44 (0) , STX Client Implementation Team at: [email protected] Implementation queries may also be raised directly through your Client Implementation Consultant. Other key contacts Please contact the following people directly for all other queries of a commercial and/or business nature. Business Manager Tom O Brien Tel: +44 (0) [email protected] Investment Management Sales David Letton Tel: +44 (0) [email protected] Broker Sales Nirosh Wijewardene Tel: +44 (0) [email protected] Other non member firm queries Alex Dalley Tel: +44 (0) [email protected] London Stock Exchange Page 29 of 30

30 Service support Live Service Support for the FIX Gateway is available 24/7 via the London Stock Exchange Helpdesk on +44 (0) London Stock Exchange Page 30 of 30