OPTIONS PRICE REPORTING AUTHORITY DATA RECIPIENT INTERFACE SPECIFICATION TABLE OF CONTENTS

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1 OPTIONS PRICE REPORTING AUTHORITY DATA RECIPIENT INTERFACE SPECIFICATION May 27, 20 Version.9 BATS Options C2 Options Exchange, Incorporated Chicago Board Options Exchange, Incorporated International Securities Exchange, LLC NASDAQ OMX BX, Inc. The NASDAQ Stock Market, Inc. NASDAQ OMX PHLX, Inc. NYSE AMEX LLC NYSE Arca, Inc. Joseph P. Corrigan Executive Director Phone: (32) Fax: (32)

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3 TABLE OF CONTENTS.0 INTRODUCTION BACKGROUND SCOPE GENERAL DESIGN OF DATA DISTRIBUTION NETWORK TRANSMISSION CHARACTERISTICS TRANSMISSION BLOCK SOH AND ETX US BLOCK TEXT BLOCK TEXT FORMAT DATA FORMAT CHARACTER SET RETRANSMISSION CAPABILITY OPRA TRAFFIC DISTRIBUTION MESSAGE HEADER MESSAGE HEADER FIELD DESCRIPTIONS PARTICIPANT ID RETRANSMISSION REQUESTER MESSAGE IDENTIFICATION MESSAGE SEQUENCE NUMBER (MSN) TIME MESSAGE FORMATS MESSAGE FORMAT FIELD DESCRIPTIONS SCHEDULE OF DAILY OPRA MESSAGES BEST BID AND BEST OFFER (BBO) OVERVIEW SUMMARY OF MESSAGE CATEGORIES AND TYPES EQUITY AND INDEX LAST SALE EQUITY AND INDEX QUOTE WITH SIZE BEST BID APPENDAGE BEST OFFER APPENDAGE OPEN INTEREST UNDERLYING VALUE LAST SALE UNDERLYING VALUE BID AND OFFER EQUITY AND INDEX END OF DAY SUMMARY FIELD DESCRIPTIONS BBO INDICATOR (BEST BID AND BEST OFFER INDICATOR) BEST BID PARTICIPANT ID BEST OFFER PARTICIPANT ID BEST BID PREMIUM PRICE DENOMINATOR CODE BEST OFFER PREMIUM PRICE DENOMINATOR CODE BEST BID PRICE BEST BID SIZE BEST OFFER PRICE BEST OFFER SIZE BID INDEX VALUE BID PRICE BID SIZE May 24, 20 3

4 7.3 EXPIRATION DATE (REDEFINED) EXPIRATION MONTH PUT/CALL INDICATOR (RENAMED) EXPLICIT STRIKE PRICE HIGH PRICE INDEX SYMBOL INDEX VALUE LAST PRICE LOW PRICE NET CHANGE NET CHANGE INDICATOR NUMBER OF INDICES IN GROUP OFFER INDEX VALUE OFFER PRICE OFFER SIZE OPEN INTEREST VOLUME OPEN PRICE PREMIUM PRICE PREMIUM PRICE DENOMINATOR CODE RESERVED SECURITY SYMBOL SESSION INDICATOR STRIKE PRICE CODE /NO LONGER SUPPORTED STRIKE PRICE DENOMINATOR CODE UNDERLYING PRICE DENOMINATOR CODE UNDERLYING STOCK PRICE VOLUME YEAR FIELD APPEARANCES WITHIN MESSAGES ADMINISTRATIVE MESSAGES ADMINISTRATIVE MESSAGE (UNFORMATTED) CATEGORY C, TYPE = (SPACE FILLED) ADMINISTRATIVE MESSAGE LENGTH ADMINISTRATIVE MESSAGE TEXT ALERT ALERT ALERT ADMINISTRATIVE MESSAGE ADMINISTRATIVE EQUITY AND INDEX FLEX MESSAGE STANDARDS CONTROL MESSAGES CONTROL MESSAGE SUMMARY CONTROL MESSAGE DESCRIPTIONS TEST CYCLE COMMENTS START OF TEST CYCLE CATEGORY H, TYPE A END OF TEST CYCLE - CATEGORY H, TYPE B START OF DAY CATEGORY H, TYPE C GOOD MORNING - CATEGORY H, TYPE D START OF SUMMARY - CATEGORY H, TYPE E END OF SUMMARY - CATEGORY H, TYPE F EARLY MARKET CLOSE - CATEGORY H, TYPE G END OF TRANSACTION REPORTING - CATEGORY H, TYPE H GOOD NIGHT - CATEGORY H, TYPE I END OF DAY - CATEGORY H, TYPE J RESET SEQUENCE NUMBER - CATEGORY H, TYPE K START OF OPEN INTEREST - CATEGORY H, TYPE L END OF OPEN INTEREST - CATEGORY H, TYPE M LINE INTEGRITY MESSAGE - CATEGORY H, TYPE N May 24, 20 4

5 APPENDIX A: OPRA CONFIGURATION APPENDIX B: OPRA TRAFFIC DISTRIBUTION APPENDIX C: SCHEDULE OF DAILY OPRA MESSAGES APPENDIX D: BEST BID AND BEST OFFER (BBO) OVERVIEW APPENDIX E: SAMPLE TEST CYCLE MESSAGES ADDENDUMS. COMMON IP MULTICAST DISTRIBUTION NETWORK RECIPIENT INTERFACE SPECIFICATION 2. AUTOMATED RETRANSMISSONS (Enhanced Autolink Facility User guide) 3. FAST FOR OPRA THE ADDENDUMS ARE AVAILABLE FROM UNDER OUTPUT SPECIFICATIONS. May 24, 20 5

6 SUMMARY OF CHANGES All PAGE(S) VERSION.0 SEPTEMBER 9, 2002 DESCRIPTION Specification Re-write All All PAGE(S) PAGE(S) VERSION. DECEMBER 2, 2002 DESCRIPTION Inclusion of Best Bid and Best Offer (BBO): changes in background, formats, field descriptions and field appearances within messages, addition of Best Bid and Best Offer Overview and Kill procedures VERSION.2 MARCH 7, 2003 DESCRIPTION Completion of Re-write VERSION.3 DECEMBER 3, 2004 PAGE(S) DESCRIPTION 4, 5, 5, 83 Change in definition of Category a and O, Type Code P. Update of Common IP Multicast Distribution Network to reflect SFTI. Change in equity and index option traffic distribution. SECTION Table of Contents, 4.05 VERSION.4 FEBRUARY 22, 2005 DESCRIPTION Update of Common IP Multicast Distribution Network Specification to reflect new addresses. (version.25). Change in point 2, Section 4.05 reset to instead of zero. SECTION(S) Appendix B and F VERSION.5 MARCH 3, 2005 DESCRIPTION Change in Equity and Index option traffic distribution. Change in sample test cycle messages to reflect new traffic distribution. May 24, 20 6

7 SECTION(S) Table of Contents and Appendix B Appendix A Appendix C Appendix D Appendix F VERSION.6 DECEMBER 2, 2005 DESCRIPTION Update Addendums Change in messages available after sequence number rollover Additional output lines and change in line assignment BSE active Update codes Quote message = k Definition of space Change in note Correction in usage Updated Updated Change from five cents to one cent Test messages updated SECTION(S) 6.0 Appendix A Appendix B Appendix C VERSION.7 MARCH 29, 2006 DESCRIPTION Correct typo Updated 24 line traffic distribution Change in closing time for equity options May 24, 20 7

8 SECTION(S) Appendix C VERSION.8 NOVEMBER, 2006 DESCRIPTION Change Opening time for FCO products SECTION(S) Appendix B VERSION.9 DECEMBER 20, 2006 DESCRIPTION Change in Traffic Distribution SECTION(S) Appendix B VERSION.0 JANUARY 0, 2007 DESCRIPTION Change in Traffic Distribution incorporating January 0, 2007 notice. (January 9, 2007 notice never put in specification.) SECTION(S) Table of Contents VERSION. JULY 5, 2007 DESCRIPTION. Version.29 OPRA Multi Cast added 2. Addendum 3 added FAST for OPRA Version March 26, and 0.0 Appendix E New participant code for NYSE Arca and NASDAQ Additional strike price tables May 24, 20 8

9 SECTION(S) Table of Contents VERSION.2 AUGUST 24, 2007 DESCRIPTION Addendum 2 updated to reflect Autolink version..6 Appendix B Change in traffic distribution, effective September 7, 2007 SECTION(S) Appendix B VERSION.3 JULY 24, 2008 DESCRIPTION Change in traffic distribution, effective August 25, 2008 May 24, 20 9

10 VERSION.4 APRIL 23, 2009 SECTION(S) DESCRIPTION All Support for reserved fields and FCO messages removed 3.08 Retransmissions - updated 4.00, 4.05, Expanded Message Header: Increased message 4.06, sequence number; Milliseconds in time-stamp 4.04 Type codes updated 6.0, 6.02, Updated Equity/Index messages to reflect 6.05, 6.08 interim and final Symbology changes 6.06, 6.07, Removed reference to additional index groups Sections 7 and 8 Various Items Sections 6, 7 Support for FCO s will no longer be provided and 8 Various Items 7.3, 7.4 Redefined/Renamed Expiration Date and Expiration Month fields 7.5, 7.35 Explicit Strike Price reduced to 6 bytes 7.32 Security symbol is alpha numeric 7.39 Year field expanded to 2 bytes 9.05 FLEX messages updated for symbology changes 0.7 Added support for Line Integrity message Category H Type N Various Updated Participants Appendix B Old line split removed and routing of administrative messages corrected Appendix C Schedule updated May 24, 20 0

11 SECTION(S) TC Section 3.08 Section 4.02 and 0.0 Section 4.03 Section 0.06 Appendix B VERSION.5 JANUARY 2, 200 DESCRIPTION Addendum section updated Retransmission update C2 and BATS added Enhanced auto link details added Sequence number use changed October 5, 2009 line split and alpha numeric symbol routing SECTION(S) 3.08, 4.03 Appendix B Appendix C Appendix E Appendix F VERSION.6 JUNE 28, 200 DESCRIPTION Retransmission processing updated Line split updated Schedule updated Strike price tables removed Renamed Appendix E 3.09 SECTION(S) Appendix B VERSION.7 AUGUST 23, 200 DESCRIPTION Expansion to 48 line network Expansion to 48 line network May 24, 20

12 SECTION(S) Appendix D Appendix C VERSION.8 NOVEMBER 0, 200 DESCRIPTION Type Codes X and Y added for Category k message Type Codes X and Y added for Category k message Type Codes X and Y added for Category k message Type Codes X and Y added for Category k message C2 added to schedule 6:5 a.m. PHLX Good Morning SECTION(S) 3.09 Appendix B Appendix C Appendix D VERSION.9 MAY 24, 20 DESCRIPTION Revised from 24 multicast lines to 48 Updated traffic distribution and added a notation for routing Index messages Added test time frame notation Corrected BBO-Eligible Message Types C and O May 24, 20 2

13 .0 INTRODUCTION The Securities Industry Automation Corporation (SIAC) serves as the Processor for the Options Price Reporting Authority (OPRA). In fulfilling its role as the Processor, SIAC plans, develops, operates and maintains the OPRA system..0 BACKGROUND OPRA is a computer system that disseminates, on a current and continuous basis, information about transactions that occurred on the options markets. OPRA receives options transactions generated by participating U.S. Options Participants. In addition, OPRA calculates and identifies the Best Bid and Best Offer (BBO highest bid and lowest offer). OPRA consolidates this information and disseminates it via computer-to-computer linkages to the financial community in the U.S. and abroad. Essential in ensuring the timely reporting of option equity/index transactions are the OPRA IP multicast data streams. OPRA has a unique set of multicast addresses assigned to each of its data lines. Options market data generated by each Participant is assembled in prescribed message formats and transmitted to the appropriate TCP/IP Processor address via the Participants private communications facility. As each message is received, it is merged with messages received from all Participants, and the consolidated message stream is transmitted simultaneously to all data recipients via their private communications facilities. Approved data recipients of the OPRA service can redistribute OPRA data worldwide to their customers as part of their individual services or use the data for their own purposes. Computer systems that support the processing and dissemination of option transactions are operational at two sites. The two sites provide back-up capability in the event of a disaster at either location. Through computerized communications equipment, OPRA transaction data is simultaneously disseminated from both sites. If a disaster should occur at one of the locations, all of the computer processing operations in support of options reporting would be transferred to the surviving site. An OPRA dual site configuration is illustrated in Appendix A. May 24, 20 3

14 .02 SCOPE This specification defines the interface specification and message format requirements for data recipients (vendors, broker/dealers or others who receive the data feed) connecting to the National Market System (NMS) IP multicast distribution network. 2.0 GENERAL DESIGN OF DATA DISTRIBUTION NETWORK The NMS IP multicast distribution network disseminates all market data and Time Beacon information in the form of multicast addressed IP datagrams. Data available via the NMS IP multicast distribution network includes: OPRA Real-Time Production Data A copy of each OPRA real-time production message is available from both of SIAC s operational sites. These redundant copies are delivered via two distinct multicast data streams. OPRA Real-Time Retransmission Data The retransmission data streams are available from both sites, but are not delivered via redundant data streams. The data recipient may choose to receive the retransmission data from either or both sites. OPRA After-Hours Playback Data There are two sets of IP multicast data feeds dedicated for after hours playback test data. One set of IP multicast data feeds supports the playback of production messages and the other set supports the playback of test messages. This playback data is made available via a single set of multicast data feeds and can be obtained from either site. Dual sited redundant after hours playback via the production system is also available. Time Beacon Selected nodes that source multicast data within the NMS IP multicast distribution network generate a single Time Beacon packet once a minute. Time Beacon nodes are located at each site. Each set of nodes will issue a Time Beacon packet to the same multicast group. May 24, 20 4

15 GENERAL DESIGN OF DATA DISTRIBUTION NETWORK (con t) IP MULTICAST NETWORK INTERFACE The requirements for the NMS IP multicast distribution network interface are defined in the addendum to this document, Common IP Multicast Distribution Network Recipient Interface Specification. This is available from TRANSMISSION CHARACTERISTICS 3.0 TRANSMISSION BLOCK Encapsulated within each IP packet is a transmission block. One type of transmission block is used for all types of messages: S O H BLOCK TEXT E T X < TRANSMISSION BLOCK > A block can have a maximum of,000 characters inclusive of text SOH AND ETX The Start of Header (SOH) control character (x0) indicates the beginning of the block, whereas an End of Text (ETX) control character (x03) signifies the end of the block US The Unit Separator (US) control character (xf) is needed in multiple message blocks to signify the end of the preceding message but not the end of the block. May 24, 20 5

16 3.04 BLOCK TEXT The block text can consist of multiple messages. A message is a unit of data that can be processed by the receiving station independently of other data. A message may not span a block boundary. A message consists of a Message Header, which is of fixed length and format, and a Message Text segment that is variable in length and format. A US character delimits each message, while an ETX character delimits the last message in the block BLOCK TEXT FORMAT The block text consists of multiple messages with each message consisting of a Message Header and, with the exception of certain control messages, message text. The block text is depicted below: S O H MESSAGE HEADER & TEXT U S MESSAGE 2 HEADER & TEXT U S ~ ~ ~ ~ MESSAGE v HEADER & TEXT E T X < BLOCK TEXT > 3.06 DATA FORMAT ASCII filler characters are inserted, as required, in accordance with the following rules:. Zeros (hex 30) are inserted in Numeric fields. All Numeric fields are right justified, as required. 2. Spaces (hex 20) are inserted in Alphabetic fields. All Alphabetic fields are left justified, as required. 3. Spaces (hex 20) are inserted in Alphanumeric fields. All Alphanumeric fields are right or left justified, as required. May 24, 20 6

17 3.07 CHARACTER SET All transmissions are in standard 8-bit ASCII code RETRANSMISSION CAPABILITY If data recipients do not receive a message(s), a retransmission of a message(s) can be requested. The following Message Category and Types (included in the Message Identification field of the Message Header) are not included in retransmissions: MESSAGE IDENTIFCATION CATEGORY MESSAGE IDENTIFICATION TYPE DESCRIPTION H A Start of Test Cycle H B End of Test Cycle H C Start of Day H N Line Integrity Cycles of test messages are not available for retransmissions. The Enhanced AutoLink Facility, is utilized for automatically receiving and processing OPRA message retransmission requests. The Enhanced AutoLink Facility works in conjunction with the Retransmission and Playback System (RAPS), a server associated with the OPRA host, which supports OPRA retransmissions. In addition, RAPS provides data playback capability facilitating test requirements to IP multicast data recipients. A data recipient may request automated retransmission(s) by connecting directly through SFTI to the Enhanced Autolink Facility via TCP/IP addresses and ports. A Data Recipient is required to enter their assigned user ID and password along with system, line, and sequence number information. The request will be forwarded to the Enhanced AutoLink Facility, then to a RAPS server associated with the OPRA host, and out to the proper IP multicast groups. An Enhanced AutoLink Facility Users Guide for automated retransmission requests is provided as an addendum to this document. May 24, 20 7

18 RETRANSMISSION CAPABILITY (continued) All retransmitted OPRA messages contain only the alphabetic upper case character V in the Retransmission Requestor field of the Message Header. The Message Sequence Number field in the Message Header of each message retransmitted contains the original message sequence number. Retransmissions requested by a multicast customer will be generated over dedicated retransmission lines. Retransmissions generated by the OPRA host will be retransmitted over the production lines If the Message Sequence Number counter for a line has been reset to One, no messages transmitted after reset are available for retransmission. Retransmissions are sent at a lower message rate in order not to delay transmission of current messages. Retransmitted messages are never combined with original messages in the same block. The total number of retransmissions requested at any one time by a particular data recipient may be divided into several smaller message blocks. After each block is transmitted, requests for retransmissions from other data recipients are accepted in turn. Messages retransmitted to each data recipient are transmitted in separate message blocks and are not intermingled with retransmissions to other data recipients. Retransmission requests are accepted after the period following transmission of the Category H, Type C (Start of Day) message. An Enhanced AutoLink Facility Users Guide for automated retransmission requests is provided as an addendum to this document. This is available from Note: It is the responsibility of the data recipient to ignore retransmitted messages not requested by them. May 24, 20 8

19 3.09 OPRA TRAFFIC DISTRIBUTION OPRA messages are disseminated over multiple IP multicast lines designated as OPRA through 48. For current distribution of traffic, refer to Appendix B. 4.0 MESSAGE HEADER The Message Header supplied on each message contains a total of 23 Bytes and conforms in all cases to the following data fields: OUTPUT MESSAGE HEADER OUTPUT MESSAGE HEADER 23 Bytes PARTICIPANT ID RETRANSMISSION REQUESTER MESSAGE IDENTIFICATION MESSAGE SEQUENCE NUMBER TIME HHMMSSsss BYTES May 24, 20 9

20 4.0 MESSAGE HEADER FIELD DESCRIPTIONS 4.02 PARTICIPANT ID The Participant ID field is a Byte, Alphabetic character that identifies the Participant or Processor that initiated the message: Note: CODE VALUE A NYSE AMEX B Boston Stock Exchange C Chicago Board Options Exchange I International Securities Exchange N NYSE ARCA O Options Price Reporting Authority Q NASDAQ Stock Market W C2 X NASDAQ OMX PHLX Z BATS Messages with PARTICIPANT ID Code O, Options Price Reporting Authority (OPRA), are sent by SIAC on behalf of OPRA RETRANSMISSION REQUESTER Auto Link (Enhanced) All retransmitted messages will contain the upper case character V in the retransmission request field. Original messages will contain a space character in the field. Note: It is the responsibility of the data recipient to ignore retransmitted messages not requested by them. May 24, 20 20

21 4.04 MESSAGE IDENTIFICATION The Message Identification field is a 2 Byte, Alphabetic upper or lower case character, Space filled field. The first character entered in the Message Identification field identifies the Message Category. The second character entered in the Message Identification field identifies the Message Type. The Message Type character is Space filled to either indicate a specific value, or that a Message Type is not applicable to a specified Message Category. MESSAGE IDENTIFICATION - Message Category (first alpha character): LOWER CASE CODE a d f k UPPER CASE CODE C H Y VALUE EQUITY AND INDEX LAST SALE OPEN INTEREST EQUITY AND INDEX END OF DAY SUMMARY EQUITY AND INDEX QUOTE WITH SIZE VALUE ADMINISTRATIVE CONTROL UNDERLYING VALUE MESSAGE May 24, 20 2

22 MESSAGE IDENTIFICATION - Message Type (second alpha character): The following Message Types, all mutually exclusive, apply to Category a Equity and Index Last Sale. Chart on following 2 pages. May 24, 20 22

23 CODE Space Filled A B C D E F G H I OPRA REG- ULAR CANC OSEQ CNCL LATE CNCO OPEN CNOL OPNL AUTO VALUE Indicates that the transaction was a regular sale and was made without stated conditions. Transaction previously reported (other than as the last or opening report for the particular option contract) is now to be cancelled. Transaction is being reported late and is out of sequence; i.e., later transactions have been reported for the particular option contract. Transaction is the last reported for the particular option contract and is now cancelled. Transaction is being reported late, but is in the correct sequence; i.e., no later transactions have been reported for the particular option contract. Transaction was the first one (opening) reported this day for the particular option contract. Although later transactions have been reported, this transaction is now to be cancelled. Transaction is a late report of the opening trade and is out of sequence; i.e., other transactions have been reported for the particular option contract. Transaction was the only one reported this day for the particular option contract and is now to be cancelled. Transaction is a late report of the opening trade, but is in the correct sequence; i.e., no other transactions have been reported for the particular option contract. Transaction was executed electronically. Prefix appears solely for information; process as a regular transaction. J REOP Transaction is a reopening of an option contract in which trading has been previously halted. Prefix appears solely for information; process as a regular transaction. K AJST Transaction is an option contract for which the terms have been adjusted to reflect a stock dividend, stock split, or similar event. Prefix appears solely for information; process as a regular transaction. Transaction represents a trade in two options in the same class (a buy and a sell in the same class). Prefix appears solely for information; process as a L SPRD regular transaction. M STDL Transaction represents a trade in two options in the same class (a buy and a sell in a put and a call). Prefix appears solely for information; process as a regular transaction. N STPD Transaction is the execution of a sale at a price agreed upon by the floor personnel involved, where a condition of the trade is that it reported following a non-stopped trade of the same series at the same price. O CSTP Cancel stopped transaction. P BWRT Transaction represents the option portion of an order involving a single option leg (buy or sell of a call or put) and stock. Prefix appears solely for information: process as a regular transaction. Q CMBO Transaction represents the buying of a call and the selling of a put for the same underlying stock or index. Prefix appears solely for information; process as a regular transaction. R SPIM Transaction was the execution of an order which was stopped at a price that did not constitute a Trade-Through on another market at the time of the stop. Process like a normal transaction except don t update last. May 24, 20 23

24 CODE VALUE S ISOI Transaction was the execution of an order identified as an Intermarket Sweep Order. Process like normal transaction. T BNMT Transaction reflects the execution of a benchmark trade. A Benchmark Trade is a trade resulting from the matching of Benchmark Orders. A Benchmark Order is an order for which the price is not based, directly or indirectly, on the quote price of the option at the time of the order s execution and for which the material terms were not reasonably determinable at the time a commitment to trade the order was made. Process like a normal transaction except don t update last. X XMPT Transaction is Trade Through Exempt. The transaction should be treated like a regular sale. May 24, 20 24

25 MESSAGE IDENTIFICATION- Message Type (second alpha character): The Message Type character for the Category C Administrative, Category f Equity and Index End of Day Summary and Category d Open Interest messages are Space filled. The following Message Types apply to Category H Control messages. Refer to Control Message Descriptions section for definition of values: CODE A B C D E F G H I J K L M N VALUE Start of Test Cycle End of Test Cycle Start of Day Good Morning Start of Summary End of Summary Early Market Close End of Transaction Reporting Good Night End of Day Reset Sequence Number Start of Open Interest End of Open Interest Line Integrity May 24, 20 25

26 MESSAGE IDENTIFICATION- Message Type (second alpha character): The following Message Types apply to Category k Equity and Index Quote With Size: CODE VALUE Space filled Regular Trading F Non-Firm Quote R Rotation T Trading Halted A Eligible for Automatic Execution B Bid contains Customer trading interest O Offer contains Customer trading interest C Both Bid and Offer contain Customer trading interest X Offer side of Quote Not Firm; Bid Side Firm Y Bid Side of Quote Not Firm; Offer Side Firm The following Message Types apply to the Category Y Underlying Value message: CODE Space filled I VALUE Index based on Last Sale Index based on Bid and Offer Note: Additional Message Category(s) and Message Type(s) will be implemented as required. If data recipients are not prepared to process new Message Category(s) and/or New Message Type(s) when implemented, they should be able to handle them to the extent that they do not impact their normal data processing. May 24, 20 26

27 4.05 MESSAGE SEQUENCE NUMBER (MSN) The Message Sequence Number (MSN) is an 0 Byte, Numeric, Right Justified, Zero filled field. Currently, the number rollover after,999,999,999. All messages are assigned a sequence number. On a per line basis, the MSN on the lines are set to Zero at the start of each day and are incremented by one each time a message (other than a Retransmission or Reset Message Sequence Number message) is transmitted. The following exceptions or special considerations should be noted:. Retransmitted messages contain the MSN of the original message. 2. The MSN field in the Message Header of a Category H, Type K Reset Sequence Number message contains the number to which the MSN counter is to be reset. This number is either one () in the event the sequence numbers rolls over from,999,999,999 or a number greater than the highest number previously transmitted. 3. The Category H, Type C Start of Day message contains a Zero message sequence number. Should OPRA experience a line failure and recovery, the message sequence number for the recovered line(s) is reset to a multiple of 00,000 greater than the last number transmitted and message transmission is resumed TIME The Time (Eastern Time) field is a 9 Byte, Numeric Character, Zero filled field. Format is (Military) HHMMSSsss where HH=Hour, MM=Minute, SS=Second, and sss=milliseconds. Indicates the Time that a transaction is disseminated. For Retransmissions, the Time will contain the original Time that the transaction was disseminated. Additional detail on Time is available from Common IP Multicast Network Recipient Interface Specification. May 24, 20 27

28 5.0 MESSAGE FORMATS Each message transmitted by OPRA consists of a Message Header and Message Text. The particular Message Category and Message Type entered in the Message Identification field of the Message Header determines the format of the text. Message formats are fixed field formats (with the exception of Administrative messages which have unformatted text). Control messages can consist of the standard Message Header only, or the standard Message Header immediately followed by text. The textual portion of the message is in variable field (free form). 5.0 MESSAGE FORMAT FIELD DESCRIPTIONS Detailed information on each field specified in every message format is contained in alphabetical order in the Field Descriptions section of this document SCHEDULE OF DAILY OPRA MESSAGES A schedule of daily OPRA messages transmitted over the OPRA IP multicast data streams is provided in Appendix C BEST BID AND BEST OFFER (BBO) OVERVIEW A Best Bid and Best Offer (BBO) Overview is provided in Appendix D. May 24, 20 28

29 6.0 SUMMARY OF MESSAGE CATEGORIES AND TYPES CATEGORY(S) TYPE(S) MESSAGE DESCRIPTION a Space filled REGULAR SALE a A CANC a B OSEQ a C CNCL a D LATE a E CNCO a F OPEN a G CNOL a H OPNL a I AUTO a J REOP a K AJST a L SPRD a M STDL a N STPD a O CSTP a P BWRT a Q CMBO a R SPIM a S ISOI a T BNMT a X XMPT C Space filled Administrative d Space filled Open Interest f Space filled Equity and Index End of Day Summary H H H H H H H H H H H H H H A B C D E F G H I J K L M N Start of Test Cycle End of Test Cycle Start of Day Good Morning Start of Summary End of Summary Early Market Close End of Transaction Reporting Good Night End of Day Reset Sequence Number Start of Open Interest End of Open Interest Line Integrity May 24, 20 29

30 SUMMARY OF MESSAGE CATEGORIES AND TYPES (continued) CATEGORY(S) TYPE(S) MESSAGE DESCRIPTION k Space filled Regular Trading k F Non-Firm Quote k R Rotation k T Trading Halted k A Eligible for Automatic Execution k B Bid contains Customer trading interest k O Offer contains Customer trading interest k C Both Bid and Offer contain Customer trading interest k X Offer side of Quote Not Firm; Bid side Firm k Y Bid Side of Quote Not Firm; Offer Side Firm Y Space filled Index based on Last Sale Y I Index based on Bid and Offer May 24, 20 30

31 6.0 EQUITY AND INDEX LAST SALE 34 BYTES The Equity and Index Last Sale message is used to report equity and index options last sale information. CATEGORY a TYPE Space filled, A, B, C, D, E, F, G, H, I, J, K, L, M, N, O, P, Q, R, S, T, X Modified Symbol - 8 Bytes - Phase -Current SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE 6 STRIKE PRICE CODE BYTES VOLUME PREMIUM PRICE DENOMINATOR CODE PREMIUM PRICE SESSION INDICATOR BYTES Modified Symbol 7 Bytes - Phase 2 (Final) Strike Price Code Space Filled (no longer part of the Options Symbol) SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE BYTES FORMERLY STRIKE PRICE CODE (Space Filled) VOLUME PREMIUM PRICE DENOMINATOR CODE PREMIUM PRICE SESSION INDICATOR BYTES May 24, 20 3

32 6.02 EQUITY AND INDEX QUOTE WITH SIZE MINIMUM 47 BYTES MAXIMUM 77 BYTES The Equity and Index Quote With Size message is used to report equity and index options quote with size and Best Bid and Best Offer information. CATEGORY k TYPE Space filled, F, R, T, A, B, O, C, X, Y Modified Symbol - 8 Bytes - Phase - Current SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE 6 STRIKE PRICE CODE BYTES PREMIUM PRICE DENOMINATOR CODE BID PRICE BID SIZE OFFER PRICE OFFER SIZE SESSION INDICATOR BBO INDICATOR BYTES Modified Symbol 7 Bytes - Phase 2 (Final) Strike Price Code Space Filled (no longer part of the Options Symbol) SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE BYTES FORMERLY STRIKE PRICE CODE (Space Filled) PREMIUM PRICE DENOMINATOR CODE BID PRICE BID SIZE OFFER PRICE OFFER SIZE SESSION INDICATOR BBO INDICATOR BYTES May 24, 20 32

33 6.03 BEST BID APPENDAGE 5 BYTES The Best Bid Appendage is generated whenever a new quote causes a new Best Bid, and only if the new quote does not contain the Best Bid information. If it is determined that a new Best Bid Appendage is required, the appropriate Best Bid information is appended following the BBO Indicator field of the Equity and Index Quote With Size message. Refer to Appendix D for the Best Bid and Best Offer Overview. New (Removed Reserved Field) BEST BID PARTICIPANT ID BEST BID PREMIUM PRICE DENOMINATOR CODE BEST BID PRICE BEST BID SIZE BYTES May 24, 20 33

34 6.04 BEST OFFER APPENDAGE 5 BYTES The Best Offer Appendage is generated whenever a new quote causes a new Best Offer, and only if the new quote does not contain the Best Offer information. If it is determined that a new Best Offer Appendage is required, the appropriate Best Offer information is appended following either the BBO Indicator field of the Equity and Index Quote With Size message, or after the Best Bid Appendage, if present. Refer to Appendix D for the Best Bid and Best Offer Overview. New (Removed Reserved Field) BEST OFFER PARTICIPANT ID BEST OFFER PREMIUM PRICE DENOMINATOR CODE BEST OFFER PRICE BEST OFFER SIZE BYTES May 24, 20 34

35 6.05 OPEN INTEREST 25 BYTES The Open Interest message is used to report contract volume on current options that have not been exercised and have not yet reached expiration. Open Interest messages are sent by SIAC on behalf of OPRA, however, they contain the Participant ID code of the Participant associated with the Open Interest message. CATEGORY d TYPE Space filled Modified Symbol - 8 Bytes - Phase - Current SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE 6 STRIKE PRICE CODE BYTES OPEN INTEREST VOLUME BYTES ---- Modified Symbol 7 Bytes - Phase 2 (Final) Strike Price Code Space Filled (no longer part of the Options Symbol) SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE BYTES FORMERLY STRIKE PRICE CODE (Space Filled) OPEN INTEREST VOLUME BYTES UNDERLYING VALUE LAST SALE May 24, 20 35

36 3 BYTES The Underlying Value Last Sale message is a fixed length record containing the Last Sale Index Value of a stock index. CATEGORY Y TYPE Space filled NUMBER OF INDICES IN GROUP 2 2 BYTES INDEX SYMBOL # 3 INDEX VALUE 8 -- TOTAL OF BYTES UNDERLYING VALUE BID AND OFFER May 24, 20 36

37 2 BYTES The Underlying Value Bid and Offer message is a fixed length record containing the Bid Index Value and Offer Index Value of a stock index. CATEGORY Y TYPE I NUMBER OF INDICES IN GROUP 2 2 BYTES INDEX SYMBOL # 3 BID INDEX VALUE 8 OFFER INDEX VALUE TOTAL OF 9 BYTES May 24, 20 37

38 6.08 EQUITY AND INDEX END OF DAY SUMMARY 0 BYTES The Equity and Index End of Day Summary messages are transmitted shortly before the Good Night messages. It provides, by symbol, a Participant s open, high, low, last, net change and underlying information. If no quote or last sale occurred for a security, no Equity and Index End of Day Summary is generated for that security. CATEGORY f TYPE Space filled Modified Symbol - 8 Bytes - Phase - Current SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE 6 STRIKE PRICE CODE BYTES VOLUME OPEN INTEREST VOLUME PREMIUM PRICE DENOMINATOR CODE OPEN PRICE HIGH PRICE LOW PRICE LAST PRICE BYTES NET CHANGE INDICATOR NET CHANGE UNDERLYING PRICE DENOMINATOR CODE UNDERLYING PRICE BID PRICE OFFER PRICE BYTES May 24, 20 38

39 Modified Symbol 7 Bytes - Phase 2 (Final) Strike Price Code Space Filled (no longer part of the Options Symbol) SECURITY SYMBOL 5 EXPIRATION MONTH EXPIRATION DATE 2 YEAR 2 STRIKE PRICE DENOMINATOR CODE EXPLICIT STRIKE PRICE BYTES FORMERLY STRIKE PRICE CODE (Space Filled) VOLUME 6 OPEN INTEREST VOLUME 7 PREMIUM PRICE DENOMINATOR CODE OPEN PRICE 8 HIGH PRICE 8 LOW PRICE 8 LAST PRICE BYTES NET CHANGE INDICATOR NET CHANGE UNDERLYING PRICE DENOMINATOR CODE UNDERLYING PRICE BID PRICE OFFER PRICE BYTES May 24, 20 39

40 7.0 FIELD DESCRIPTIONS ASCII code characters are defined as follows: TERMINOLOGY DESCRIPTION Alphabetic ASCII characters upper case A Z or lower case a z Numeric ASCII characters numeric 0 9 Alphanumeric Any combination of Alphabetic and Numeric as defined above Special Any printable ASCII character except Alphanumeric as defined above, i.e.; White Space and Punctuation Note: Reference Section 3.06 Data Format for ASCII filler character rules. FIELD DESCRIPTIONS May 24, 20 40

41 - B BBO INDICATOR (BEST BID AND BEST OFFER INDICATOR) Byte, Alphabetic or space filled. Indicates the effect the new quote has on the Best Bid and/or the Best Offer. If it is determined that a BBO appendage or appendages are required, the appropriate Best Bid and/or Best Offer information is appended following the BBO Indicator field of the Equity and Index Quote With Size message. If it is determined that the new quote is the new Best Bid and/or Best Offer, there is no change, or there is no Best Bid and/or Best Offer, an appendage is not present. BBO INDICATOR CODE A VALUE No Best Bid change, No Best Offer change New quote does not affect the Best Bid or Best Offer. No appendage is required. May 24, 20 4

42 FIELD DESCRIPTIONS - B - BBO INDICATOR (cont d) CODE VALUE B No Best Bid change, Quote contains Best Offer New quote does not affect the Best Bid, but is the Best Offer. No appendage is required. C D E F G H I No Best Bid Change, Best Offer Appendage New quote does not affect the Best Bid, a new Best Offer is generated and the new Best Offer information is contained in the Best Offer Appendage. No Best Bid Change, No Best Offer New quote does not affect the Best Bid, and there is no Best Offer. No appendage is required. Quote contains Best Bid, No Best Offer Change New quote is itself the Best Bid, but does not affect the Best Offer. No appendage is required. Quote contains Best Bid, Quote contains Best Offer New quote is itself the Best Bid and Best Offer. No appendage is required. Quote contains Best Bid, Best Offer Appendage New quote is itself the Best Bid, a new Best Offer is generated and the new Best Offer information is contained in the Best Offer Appendage. Quote contains Best Bid, No Best Offer New quote is itself the Best Bid, and there is no Best Offer. No appendage is required. No Best Bid, No Best Offer Change There is no Best Bid, and the quote does not affect the Best Offer. No appendage is required. May 24, 20 42

43 FIELD DESCRIPTIONS - B - BBO INDICATOR (cont d) CODE VALUE J No Best Bid, Quote contains Best Offer There is no Best Bid, and the quote is itself the Best Offer. No appendage is required. K L M N O P Space No Best Bid, Best Offer Appendage There is no Best Bid, a new Best Offer is generated and the new Best Offer is contained in the Best Offer Appendage. No Best Bid, No Best Offer There is no Best Bid, and no Best Offer. No appendage is required. Best Bid Appendage, No Best Offer Change A new Best Bid is generated and the new Best Bid information is contained in the Best Bid Appendage, but the quote does not affect the Best Offer. Best Bid Appendage, Quote contains Best Offer A new Best Bid is generated and the new Best Bid information is contained in the Best Bid Appendage, and the quote is the Best Offer. Best Bid Appendage, Best Offer Appendage A new Best Bid is generated and the new Best Bid information is contained in the Best Bid Appendage, a new Best Offer is generated and the new Best Offer information is contained in the Best Offer Appendage. Best Bid Appendage, No Best Offer A new Best Bid is generated and the new Best Bid information is contained in the Best Bid Appendage, and there is no Best Offer. Indicates that the new quote did not meet the BBO requirements. This quote is not included in the BBO. May 24, 20 43

44 FIELD DESCRIPTIONS - B BEST BID PARTICIPANT ID Byte, Alphabetic. Identifies the Participant that entered the Best Bid BEST OFFER PARTICIPANT ID Byte, Alphabetic. Identifies the Participant that entered the Best Offer BEST BID PREMIUM PRICE DENOMINATOR CODE Byte, Alphanumeric. The Best Bid Price Denominator Code field indicates the position of the floating decimal point. Reference Premium Price Denominator Code description for codes table BEST OFFER PREMIUM PRICE DENOMINATOR CODE Byte, Alphanumeric. The Best Offer Price Denominator Code field indicates the position of the floating decimal point. Reference Premium Price Denominator Code description for codes table. May 24, 20 44

45 FIELD DESCRIPTIONS - B BEST BID PRICE 8 Bytes, Numeric. Right Justified, Zero filled. A zero in this field represents a valid Best Bid Price, regardless of size. The Best Bid Price is the whole and decimal portion of the Best Bid Price information with the Best Bid Price Denominator Code determining the location of the decimal point. Represents the best price at which a buyer is willing to buy an option. Reference Appendix D for Best Bid/Offer rules BEST BID SIZE 5 Bytes, Numeric. Right Justified, Zero filled. The Best Bid Size identifies the number of contracts being bought for an option at the Best Bid price. Reference Appendix D for Best Bid/Offer rules BEST OFFER PRICE 8 Bytes, Numeric. Right Justified, Zero filled. The Best Offer Price is the whole and decimal portion of the Best Offer Price information with the Best Offer Price Denominator Code determining the location of the decimal point. Represents the best price at which a seller is offering to sell an option. Reference Appendix D for Best Bid/Offer rules. May 24, 20 45

46 FIELD DESCRIPTIONS - B BEST OFFER SIZE 5 Bytes, Numeric. Right Justified, Zero filled. The Best Offer Size identifies the number of contracts for sale for an option at the Best Offer price. Reference Appendix D for Best Bid/Offer rules. 7.0 BID INDEX VALUE 8 Bytes, Numeric. Right Justified, Zero filled. When there is no Bid Index Value, this field is Zero filled. The digits to the right of the decimal point represent the numerator of a fraction. The denominator is always represented in 00ths (e.g., 99.99). It may represent a value of Zero or greater. The Bid Index Value represents the value of the index s calculation formula using the current bid values of the component securities. 7. BID PRICE 8 Bytes, Numeric. Right Justified, Zero filled. A Zero in this field represents a valid Bid Price. The 8 Byte Bid Price is the whole and decimal portion of the Bid Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the price at which a buyer is willing to buy an option. May 24, 20 46

47 FIELD DESCRIPTIONS - B BID SIZE 5 Bytes, Numeric. Right Justified, Zero filled. When there is no Bid Size, this field is Zero filled. The Bid Size identifies the number of contracts being bought for an option at the Bid Price. When the Bid Size and the Bid Price are all zeroes, it represents a cancel of a previous quote. May 24, 20 47

48 FIELD DESCRIPTIONS - E EXPIRATION DATE (Redefined) 2 Bytes, Numeric. Right Justified. Indicates the date the series expires. Field contains values to 3 indicating the date the series expires. This date falls on a Saturday for Standard expirations, a Friday for Weekly expirations and the last business day of the appropriate month for Quarterly expirations. For accelerated options, the original date continues to be sent. 7.4 EXPIRATION MONTH PUT/CALL INDICATOR (Renamed) Byte, Alphabetic. Indicates the expiration month and identifies the option as a Put or a Call. CALL OPTIONS PUT OPTIONS CODE VALUE CODE VALUE A JANUARY M JANUARY B FEBRUARY N FEBRUARY C MARCH O MARCH D APRIL P APRIL E MAY Q MAY F JUNE R JUNE G JULY S JULY H AUGUST T AUGUST I SEPTEMBER U SEPTEMBER J OCTOBER V OCTOBER K NOVEMBER W NOVEMBER L DECEMBER X DECEMBER May 24, 20 48

49 FIELD DESCRIPTIONS - E EXPLICIT STRIKE PRICE 6 Bytes, Numeric. Right Justified, Zero filled. The Explicit Strike Price is the whole and decimal portion of the Explicit Strike Price information with the Strike Price Denominator Code determining the location of the decimal point. Represents the stated price per share for which the underlying security may be purchased (in the case of a call) or sold (in the case of a put) by the option holder upon exercise of the option contract. - H HIGH PRICE 8 Bytes, Numeric. Right Justified, Zero filled. The 8 Byte High Price is the whole and decimal portion of the High Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the highest price paid for an option during the trading day. FIELD DESCRIPTIONS May 24, 20 49

50 - I INDEX SYMBOL 3 Bytes, Alphabetic. Left Justified, Space filled. Identifies the unique symbol assigned to an index. 7.8 INDEX VALUE 8 Bytes, Numeric. Right Justified, Zero filled. When there is no Index Value, this field is Zero filled. The digits to the right of the decimal point represent the numerator of a fraction. The denominator is always represented in 00ths (e.g., 99.99). It may represent a value of Zero or greater. Contains the index value using last sale values of index components. 7.9 LAST PRICE - L - 8 Bytes, Numeric. Right Justified, Zero filled. The 8 Byte Last Price is the whole and decimal portion of the Last Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the last price paid for an option during the trading day. May 24, 20 50

51 FIELD DESCRIPTIONS - L LOW PRICE 8 Bytes, Numeric. Right Justified, Zero filled. The 8 Byte Low Price is the whole and decimal portion of the Low Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the lowest price paid for an option during the trading day. - N NET CHANGE 8 Bytes, Numeric. Right Justified, Zero filled. The 8 Byte Net Change is the whole and decimal portion of the Net Change information with the Premium Price Denominator Code determining the location of the decimal point. Represents the change in the price of an option from the closing price of one day to the closing price on the next day on which the option is traded. May 24, 20 5

52 FIELD DESCRIPTIONS - N NET CHANGE INDICATOR Byte, Special or Numeric. Will contain a plus (+) sign, a minus ( ) sign or a Zero (0). Represents for a Participant the upward, downward or unchanged price movement in an option s trades NUMBER OF INDICES IN GROUP 2 Bytes, Numeric. Right Justified, always 0. Represents the total number of indices contained in a particular message. - O OFFER INDEX VALUE 8 Bytes, Numeric. Right Justified, Zero filled. When there is no Offer Index Value, this field is Zero filled. The digits to the right of the decimal point represent the numerator of a fraction. The denominator is always represented in 00ths (e.g., 99.99). It may represent a value of Zero or greater. The Offer Index Value represents the value of the index s calculation formula using the current Offer(ed) values of the component securities. May 24, 20 52

53 FIELD DESCRIPTIONS - O OFFER PRICE 8 Bytes, Numeric. Right Justified, Zero filled. A Zero in this field represents an invalid Offer Price. The 8 Byte Offer Price is the whole and decimal portion of the Offer Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the price at which a seller is offering to sell an option OFFER SIZE 5 Bytes, Numeric. Right Justified, Zero filled. When there is no Offer Size, this field is Zero filled. The Offer Size identifies the number of contracts for sale for an option at the Offer Price. May 24, 20 53

54 FIELD DESCRIPTIONS - O OPEN INTEREST VOLUME 7 Bytes, Numeric. Right Justified, Zero filled. Represents the total number of outstanding option contracts that have not been exercised and have not yet reached expiration OPEN PRICE 8 Bytes, Numeric. Right Justified, Zero filled. The 8 Byte Open Price is the whole and decimal portion of the Open Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the first price paid for an option during the trading day. May 24, 20 54

55 7.29 PREMIUM PRICE FIELD DESCRIPTIONS - P - 8 Bytes, Numeric. Right Justified, Zero filled. When there is no Premium Price, this field is Zero filled. The 8 Byte Premium Price is the whole and decimal portion of the Premium Price information with the Premium Price Denominator Code determining the location of the decimal point. Represents the price of an option contract, determined in the competitive marketplace, which the buyer of the option pays to the option writer for the rights conveyed by the option contract. May 24, 20 55

56 FIELD DESCRIPTIONS - P PREMIUM PRICE DENOMINATOR CODE Byte, Alphanumeric. Space filled. The Premium Price Denominator Code field indicates the position of the floating decimal point. As defined in Premium Price, the field is right justified. Denominator Code Value Whole Numerator 8 Byte Price Field (number of decimal places) A 0 7 B C, D 0, E 00, F,000, G 0,000,000 7 H Not Defined I No Fraction 8 0 Note: The International Securities Exchange normally uses Code D. All other Participants use Code B. - R RESERVED Variable (V) Bytes, Alphanumeric. Reserved fields are Space or Zero filled unless otherwise defined. Fields reserved for future use. Note: Reserved fields will be redefined and implemented as required. If data recipients are not prepared to process new field(s) when implemented, they should be able to handle them to the extent that they do not impact normal data processing. FIELD DESCRIPTIONS May 24, 20 56

57 - S SECURITY SYMBOL 5 Bytes, Alpha numeric. Left Justified, Space filled. The 5 Byte security symbol is used for Equity and Index options. Identifies the unique symbol assigned to the underlying security. May 24, 20 57

58 FIELD DESCRIPTIONS - S SESSION INDICATOR Byte, Alphabetic, Space filled. The Session Indicator identifies the session in which the trade or quote originated. CODE a (lower case) Space filled VALUE Morning (A.M.) session Normal session The a.m. session has been terminated. Processing requirements have been left in. Special processing requirements for the A.M. session messages include: LAST SALES Volume is included in Equity and Index End of Day Summary Highs/Lows are not affected in Equity and Index End of Day Summary Data recipients should display the Session Indicator QUOTES Data recipients should display the Session Indicator EQUITY AND INDEX END OF DAY SUMMARY No special Equity and Index End of Day Summary will be sent at the end of the A.M. session May 24, 20 58

59 FIELD DESCRIPTIONS - S STRIKE PRICE CODE /NO LONGER SUPPORTED Byte, Alphabetic. Represents the price per share for which the underlying security may be purchased (in the case of a call) or sold (in the case of a put) by the option holder upon exercise of the option contract. Refer to Appendix E for the Strike Price Code tables used for a particular product, e.g., equity and index options, CBOE Dow Jones Industrial Average, etc. May 24, 20 59

60 FIELD DESCRIPTIONS - S STRIKE PRICE DENOMINATOR CODE Byte, Alphanumeric, Space filled. The Strike Price Denominator Code field indicates the position of the floating decimal point. As defined in Explicit Strike Price, field is right justified. Denominator Code Value Whole Numerator 6 Byte Price Field (number of decimal places) A 0 5 B C, D 0, E 00, U UNDERLYING PRICE DENOMINATOR CODE Byte, Alphanumeric. Space filled. The Underlying Price Denominator Code field indicates the position of the floating decimal point. Denominator Code Value Whole Numerator 2 Byte Price Field (number of decimal places) A 0 B C, D 0, E 00, F,000, G 0,000, H 00,000, Note: The above Price Denominator Codes are based on Equity Underlying Code information. However, OPRA only supports a maximum of BYTES in the Underlying Price Denominator Code field. May 24, 20 60

61 FIELD DESCRIPTIONS 7.37 UNDERLYING STOCK PRICE - U - Bytes, Numeric. Right Justified, Zero filled. When there is no Underlying Stock Price, this field is Zero filled. The Byte Underlying Stock Price is the whole and decimal portion of the Underlying Stock Price information with the Underlying Stock Price Denominator Code determining the location of the decimal point. Represents the price of the underlying security VOLUME - V - 6 Bytes, Numeric. Right Justified, Zero filled. The 6 Byte volume is used for Equity and Index options. Represents the total number of contracts traded for an option in one trade, or the total number of contracts traded for an option for the entire trading day YEAR - Y - 2 Bytes, Numeric. Contains the last 2 digits of the expiration year. May 24, 20 6

62 8.0 FIELD APPEARANCES WITHIN MESSAGES FIELD APPEARANCES WITHIN MESSAGES FIELD NAME BBO Indicator (Best Bid and Best Offer Indicator) MESSAGE APPEARANCE - B - Equity and Index Quote with Size NUMBER OF APPEARANCES/ MESSAGES Best Bid Participant ID Best Bid Appendage Best Bid Price Best Bid Appendage Best Bid Premium Price Denominator Code Best Bid Appendage Best Bid Size Best Bid Appendage Best Offer Participant ID Best Offer Appendage Best Offer Price Best Offer Appendage Best Offer Premium Price Denominator Code Best Offer Appendage Best Offer Size Best Offer Appendage May 24, 20 62

63 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME MESSAGE APPEARANCE NUMBER OF APPEARANCES/ MESSAGES Bid Index Value Bid Price - B - Underlying Value Bid and Offer Equity and Index Quote with Size Equity and Index End of Day Summary Bid Size Equity and Index Quote with Size Expiration Date - E - Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary May 24, 20 63

64 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Explicit Strike Price High Price MESSAGE APPEARANCE - E - Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary - H - Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES Index Symbol Index Value - I - Underlying Value Last Sale Underlying Value Bid and Offer Underlying Value Last Sale May 24, 20 64

65 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Last Price Low Price Net Change MESSAGE APPEARANCE - L - Equity and Index End of Day Summary Equity and Index End of Day Summary - N - Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES Net Change Indicator Equity and Index End of Day Summary Number of Indices in Group Underlying Value Last Sale Underlying Value Bid and Offer May 24, 20 65

66 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Offer Index Value Offer Price MESSAGE APPEARANCE - O - Underlying Value Bid and Offer Equity and Index Quote with Size Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES Offer Size Equity and Index Quote with Size Open Interest Volume Open Interest Equity and Index End of Day Summary Open Price Equity and Index End of Day Summary Premium Price - P - Equity and Index Last Sale Premium Price Denominator Code Equity and Index Last Sale Equity and Index Quote with Size Equity and Index End of Day Summary May 24, 20 66

67 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Reserved Security Symbol MESSAGE APPEARANCE - R - Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary Underlying Value Last Sale Underlying Value Bid and Offer Best Bid Appendage Best Offer Appendage - S - Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES May 24, 20 67

68 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Session Indicator Strike Price Code MESSAGE APPEARANCE - S - Equity and Index Last Sale Equity and Index Quote with Size Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES Strike Price Denominator Code Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary May 24, 20 68

69 FIELD APPEARANCES WITHIN MESSAGES FIELD NAME Underlying Price Denominator Code Underlying Stock Price MESSAGE APPEARANCE - U - Equity and Index End of Day Summary Equity and Index End of Day Summary NUMBER OF APPEARANCES/ MESSAGES Volume - V - Equity and Index Last Sale Equity and Index End of Day Summary Year - Y - Equity and Index Last Sale Equity and Index Quote with Size Open Interest Equity and Index End of Day Summary May 24, 20 69

70 9.0 ADMINISTRATIVE MESSAGES 9.0 Administrative Message (unformatted) Category C, Type = (Space filled) Administrative (unformatted) messages (called admins) are those messages that, because of the nature of the information they contain, cannot be readily arranged in a fixed format. Equity and Index administrative messages are disseminated over OPRA Administrative Message Length The length of an administrative message is variable. The total length of the entire message cannot exceed 468 characters, including the SOH character, the Message Header, the ETX character and all characters between those characters Administrative Message Text For most administrative messages, the text section of the Administrative message is transmitted in free format ALERT ALERT ALERT Administrative Message Should OPRA and/or a Participant experience a failure, SIAC, at the request of OPRA and/or a Participant, will disseminate an administrative message which will always begin with the text: ALERT ALERT ALERT and will be followed by free form text indicating the situation being encountered. May 24, 20 70

71 Administrative Message (continued) 9.05 Administrative Equity and Index FLEX Message Standards Participants use Category C, Type = (Space filled) Administrative messages to transmit market data on nonstandard options that do not fit normal formats. The following standards have been adopted by the Participants to transmit FLEX (equity and index options) information. The formatted text immediately follows the last character in the Message Header. Summary of Changes for Symbology:. Security Symbol is 5 characters and alphanumeric 2. Request Identifier remains identified as alphanumeric, but will only be used as numeric. 3. Strike Prices and Premium Prices will now be represented as decimal in the text fields (see examples below). 4. Clearing Symbol in the text field (if used) will follow the OCC standard as described in the OCC Symbology Plan (dropping the expiration day). May 24, 20 7

72 9.05 Administrative Message Standards (continued) EQUITY AND INDEX OPTIONS Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic I Index E Equity Filler Space Security Symbol 5 Alphanumeric Left Justified Space filled Filler Space Message Type 3 Alphabetic RFQ - Request for Quote QTE - Quote LST - Last Sale CXL - Cancel ADM Admin Message IND - Indicative Quote Filler Space Request Identifier 5 Alphanumeric Left Justified Space filled Filler Space Text V Alphanumeric Variable text up to 428 character free form May 24, 20 72

73 9.05 Administrative Message Standards (continued) EQUITY INDICATIVE QUOTE (IND) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic E Equity Filler Space Security Symbol 5 Alphanumeric MSFT(Space) Left Justified Space filled Filler Space Message Type 3 Alphabetic IND - Indicative Quote Filler Space Text V Alphanumeric 2 YR ATMC This message is an Equity FLEX Indicative Quote MSFT 2 Year at-the-money call..55% bid, offered at.63%. EQUITY ADMINISTRATIVE MESSAGE (ADM) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic E Equity Filler Space Security Symbol 5 Alphanumeric MSFT(Space) Left Justified Space filled Filler Space Message Type 3 Alphabetic ADM Admin Message Filler Space Text V Alphanumeric RFQ MSFT Market Closed This message is an Equity FLEX Administrative Message that RFQ MSFT has been closed. May 24, 20 73

74 9.05 Administrative Message Standards (continued) INDEX OPTIONS REQUEST FOR QUOTE (RFQ) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic I - Index Filler Space Security Symbol 5 Alphanumeric OEX Left Justified Space filled Filler Space Message Type 3 Alphabetic RFQ - Request for Quote Filler Space Request Identifier 5 Alphanumeric Left Justified Space filled Filler Space Text V Alphanumeric Call 2/3/0 05% EUR CL $20M QUOTE IN % BY 030 CST This message is an Index FLEX Request for Quote for OEX call, Expiration date 2/3/0, Strike Price 5% out of the money (calculated at the close), European Expiration, settled on the close $20,000,000. Quotes must be made in percentages of the closing index value and must be in by 0:30 central standard time. INDEX OPTIONS QUOTE (QTE) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic I - Index Filler Space Security Symbol 5 Alphanumeric Left Justified Space filled XMI Filler Space Message Type 3 Alphabetic QTE - Quote Filler Space Request Identifier 5 Alphanumeric Left Justified Space filled Filler Space Text V Alphanumeric 4 ½%-5% $0Mx$0M This message is an Index FLEX Quote for XMI, according to the terms of the request assigned identifier RFQ2. Bid 4/2%-Offer 5%, size $0,000,000 up. 2 May 24, 20 74

75 9.05 Administrative Message Standards (continued) INDEX OPTIONS LAST SALE (LST) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic I - Index Filler Space Security Symbol 5 Alphanumeric SPX Left Justified Space filled Filler Space Message Type 3 Alphabetic LST LAST SALE Filler Space Request Identifier 5 Alphanumeric Left Justified Space filled Filler Space Text V Alphanumeric NSX This message is an Index FLEX Last Sale for SPX Request for Quote number contracts traded at 23.75; clearing symbol is 5NSX. 2 May 24, 20 75

76 9.05 Administrative Message Standards (continued) EQUITY OPTIONS LAST SALE (LST) Field Descriptions Bytes Character Details Product Type 4 Alphabetic FLEX Filler Space FLEX Type 3 Alphabetic E - Equity Filler Space Security Symbol 5 Alphanumeric IBM Left Justified Space filled Filler Space Message Type 3 Alphabetic LST LAST SALE Filler Space Request Identifier 5 Alphanumeric Left Justified Space filled Filler Space Strike Price -9 Alphanumeric Filler Space Type (call or Alphabetic C put) Filler Space Exercise Style 3-4 Alphanumeric AMER (Amer, Eur) Filler Space Expiration Date 0 Alphanumeric Filler Space Volume 5 Alphanumeric 500 Filler Space Premium -9 Alphanumeric 3.57 Filler Space Clearing Symbol Alphanumeric IBM 6 This message is an Equity FLEX Last Sale for IBM, Call. American exercise, expiring 0/02/ sold at May 24, 20 76

77 0.0 CONTROL MESSAGES 0.0 CONTROL MESSAGE SUMMARY Control messages perform specified system advisory and control functions. The following represents all Control messages that are sent to all lines: MESSAGE IDENTIFICATION CATEGORY TYPE CONTROL MESSAGE H A Start of Test Cycle H B End of Test Cycle H C Start of Day H D Good Morning H E Start of Summary H F End of Summary H G Early Market Close H H End of Transaction Reporting H I Good Night H J End of Day H K Reset Sequence Number H L Start of Open Interest H M End of Open Interest H N Line Integrity Control messages can consist of the standard Message Header only, or the standard Message Header immediately followed by text. The textual portion of the message is in variable field (free form). Control messages are not blocked with any other messages. May 24, 20 77

78 0.0 CONTROL MESSAGE SUMMARY (continued) For all Control messages, the Participant ID field in the Message Header will contain a character identifying OPRA or the Participant originating the message as follows: CODE VALUE A NYSE AMEX B Boston Stock Exchange C Chicago Board Options Exchange I International Securities Exchange N NYSE ARCA O Options Price Reporting Authority Q NASDAQ Stock Market W C2 X NASDAQ OMX PHLX Z BATS A Participant, SIAC on behalf of OPRA, or both can originate Control messages as follows: PARTICIPANT ID CODE O O O A, B, C, I, N, Q, W, X or Z A, B, C, I, N, Q, W, X or Z A, B, C, I, N, Q, W, X or Z A, B, C, I, N, Q, W, X or Z A, B, C, I, N, Q, W, X or Z A, B, C, I, N, Q, W, X or Z O O O O O CONTROL MESSAGE Start of Test Cycle End of Test Cycle Start of Day Good Morning Start of Summary End of Summary Early Market Close End of Transaction Reporting Good Night End of Day Reset Sequence Number Start of Open Interest End of Open Interest Line Integrity May 24, 20 78

79 0.0 CONTROL MESSAGE SUMMARY (continued) When included in a retransmission sequence, the Retransmission Requester field in the Message Header contains the specified requester code; otherwise this field contains a Space character (indicating original message). The first alphabetic upper case character of the Message Identification field in the Message Header contains the Message Category character H meaning Control Message. The second alphabetic upper case character of the Message Identification field in the Message Header contains one of the following characters A-N, designating the particular Message Type. For Original and Retransmitted messages, the Time field in the Message Header will contain the original Time that the transaction was disseminated. In textual portions of Control messages, the Participant Identification identifies the abbreviated name of the originating Participant as follows: Participant/Processor Identification Abbreviation AMEX BATS BOX CBOE C2 ISE NYSE OPRA NASD PHLX Participant/Processor NYSE AMEX BATS Boston Stock Exchange Chicago Board Options Exchange C2 International Securities Exchange NYSE ARCA Options Price Reporting Authority NASDAQ NASDAQ OMX PHLX In the free form textual portions of Control messages, where specified, MM=Month, DD=Day, HH=Hour, MM=Minute and MM=Minute (The time is Eastern Time and format is Military). May 24, 20 79

80 0.02 CONTROL MESSAGE DESCRIPTIONS 0.03 Test Cycle Comments OPRA may transmit the Start of Test Cycle message after the lines are started and before the Category H, Type C Start of Day message is sent out. Its function is to exercise the line to verify transmission integrity. A Test Cycle consists of: A Start of Test Cycle message Any number of other OPRA messages of any Category and Type An End of Test Cycle message Each Test Cycle message is initiated by transmission of the Start of Test Cycle message and is terminated by transmission of an End of Test Cycle message. In between, any valid OPRA message(s) may appear. The Test Cycle can be repeated until shortly before transmission of the Start of Day message. Refer to Appendix F for a sample listing of Test Cycle messages. The Message Sequence Number (MSN) in Start of Test Cycle messages will not be checked by OPRA Start of Test Cycle Category H, Type A The Start of Test Cycle message is transmitted to signal the start of the transmission of a Test Cycle. The Start of Test Cycle message will consist of the standard Message Header immediately followed by the textual message: START OF TEST CYCLE The MSN of any Start of Test Cycle message is set to Zero. May 24, 20 80

81 CONTROL MESSAGE DESCRIPTIONS (continued) 0.05 End of Test Cycle - Category H, Type B The End of Test Cycle message is transmitted to signal the end of the transmission of a Test Cycle message. The End of Test Cycle message will consist of the standard Message Header immediately followed by the textual message: END OF TEST CYCLE The MSN field contains a number greater than the number of the last test message transmitted in the Test Cycle message transmission Start of Day Category H, Type C The Start of Day message signals the start of normal data recipient processing of messages received over a line. The Start of Day message will consist of the standard Message Header immediately followed by the textual message: START OF DAY Administrative and other messages may precede SOD messages, therefore the Message Sequence Number (MSN) field of the SOD messages is incremented accordingly. May 24, 20 8

82 CONTROL MESSAGE DESCRIPTIONS (continued) 0.07 Good Morning - Category H, Type D The Good Morning message is transmitted by a Participant to signal the beginning of transaction processing by that Participant. The Good Morning message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) GOOD MORNING MMDD HHMM example: CBOE GOOD MORNING The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message Start of Summary - Category H, Type E The Start of Summary message is transmitted by a Participant to signal the beginning of transmission of one or more End of Day Summary messages by that Participant. The Start of Summary message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) START OF SUMMARY MMDD HHMM example: CBOE START OF SUMMARY The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. May 24, 20 82

83 CONTROL MESSAGE DESCRIPTIONS (continued) 0.09 End of Summary - Category H, Type F The End of Summary message is transmitted by a Participant to signal the end of transmission of one or more End of Day Summary messages by that Participant. The End of Summary message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) END OF SUMMARY MMDD HHMM example: CBOE END OF SUMMARY The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. 0.0 Early Market Close - Category H, Type G The Early Market Close message is transmitted by a Participant to signal that the Participant originating the message is closing prior to normal market close time. The Early Market Close message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) MARKET CLOSED EARLY MMDD HHMM example: CBOE MARKET CLOSED EARLY The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. May 24, 20 83

84 CONTROL MESSAGE DESCRIPTIONS (continued) 0. End of Transaction Reporting - Category H, Type H The End of Transaction Reporting message is transmitted by a Participant to signify that the Participant has terminated reporting of transactions. The End of Transaction Reporting message will consist of the standard Message Header immediately followed by the textual message: END OF (PARTICIPANT IDENTIFICATION) REPORTING MMDD HHMM example: END OF CBOE REPORTING The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. 0.2 Good Night - Category H, Type I The Good Night message is transmitted by a Participant to advise all data recipients that there are no further messages of any type transmitted for the day by that Participant. The Good Night message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) GOOD NIGHT MMDD HHMM example: CBOE GOOD NIGHT The MSN field contains a number one greater than the highest MSN previously transmitted. May 24, 20 84

85 CONTROL MESSAGE DESCRIPTIONS (continued) 0.3 End of Day - Category H, Type J The End of Day message signals the end of transmission of original data over the lines. The End of Day message will consist of the standard Message Header immediately followed by the textual message: OPRA END OF DAY The MSN field contains a number one greater than the highest MSN previously transmitted. Note: Under normal conditions, upon receiving the Category H, Type J End of Day message, it is the data recipient s responsibility to terminate their production OPRA output feeds from SIAC. Data traffic intended for testing purposes only is disseminated on the production network during nonproduction hours. Data recipients should ensure they process required input only. 0.4 Reset Sequence Number - Category H, Type K The Reset Sequence Number message is transmitted when the sequence numbers on the line require resetting. The Reset Sequence Number message will consist of the standard Message Header immediately followed by the textual message: SET MESSAGE SEQUENCE NUMBER The MSN field contains the number to which the MSN counter is to be reset. May 24, 20 85

86 CONTROL MESSAGE DESCRIPTIONS (continued) 0.5 Start of Open Interest - Category H, Type L The Start of Open Interest message signals the beginning of transmission of a series of one or more Open Interest messages. The Start of Open Interest message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) START OF OPEN INTEREST MMDD HHMM example: CBOE START OF OPEN INTEREST The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. Note: The Start of Open Interest control message is followed by transmission of Open Interest messages for each Participant and is ended by an End of Open Interest control message. During this cycle, Open Interest messages are sent by SIAC on behalf of OPRA. The individual Open Interest messages contain the Participant ID code of the Participant associated with the Open Interest message while the control messages contain an O as the Participant ID code in the Message Header. If a Participant initiates Open Interest messages, the Start and End of Open Interest control messages as well as the individual Open Interest messages contain the Participant ID code in the Message Header of the Participant initiating the messages. May 24, 20 86

87 CONTROL MESSAGE DESCRIPTIONS (continued) 0.6 End of Open Interest - Category H, Type M The End of Open Interest message signals the end of transmission of a series of one or more Open Interest messages. The End of Open Interest message will consist of the standard Message Header immediately followed by the textual message: (PARTICIPANT IDENTIFICATION) END OF OPEN INTEREST MMDD HHMM example: CBOE END OF OPEN INTEREST The MSN field contains a number one greater than the number of the last message transmitted that was not a retransmitted message. CONTROL MESSAGE DESCRIPTIONS 0.7 Line Integrity Message - Category H, Type N The Line Integrity message will consist of the standard Message Header and is generated automatically at intervals of approximately one minute to verify continued integrity of multicast transmission. The Line Integrity message transmission does not interrupt a transmission in progress, but is transmitted whether or not additional messages are queued for transmission. The message sequence number (MSN) is not incremented, it contains the MSN of the last original message transmitted, and it is not retransmitted. May 24, 20 87

88 APPENDIX A: OPRA CONFIGURATION OPRA CONFIGURATION Participants Participants SFTI Network OPRA Input OPRA Input Control Opra Internal Network Opra Internal Network Control OPRA Out OPRA Out NMS Multicast Output Network NMS Multicast Output Network SFTI Network Data Recipients May 24, 20 88

89 APPENDIX B: OPRA TRAFFIC DISTRIBUTION OPRA messages are disseminated over multiple IP multicast lines. Equity and index options traffic will be on OPRA through 48. Traffic will be routed over the IP multicast lines as follows on 48 line network: OPRA 4: All Equity and Index Administrative messages, including Flex messages Any symbol with a numeric in first character ALL Lines: All Control messages May 24, 20 89

90 APPENDIX B: Traffic Distribution, continued. For Equity and Index Last Sale, Equity and Index Quote with Size, Open Interest, Equity and Index End of Day Summary and Underlying Value messages, traffic is routed by the Security Symbol to assigned lines, according to the following routing rules: Multicast Line Symbol Distribution as of May 2 nd A ADMZZ 2 ADN ALLZZ 3 ALM APAZZ 4 APB AZZZZ 5 B BGZZZ 6 BH BRCZZ 7 BRD CCKZZ 8 CCL CMAZZ 9 CMB CORZZ 0 COS CVSZZ CVT DHZZZ 2 DI DOAZZ 3 DOB EEMZZ 4 EEN ESMZZ 5 ESN FASZZ 6 FAT FSZZZ 7 FT GIKZZ 8 GIL GPZZZ 9 GQ HNZZZ 20 HO ICZZZ 2 ID IVZZZ 22 IW IYSZZ 23 IYT JZZZZ 24 K LLZZZ 25 LM MCDZZ 26 MCE MMMZZ 27 MMN MSZZZ 28 MT NDXZZ 29 NDY NVKZZ 30 NVL PABZZ 3 PAC PIZZZ 32 PJ PXBZZ 33 PXC QQQZZ 34 QQR RRBZZ 35 RRC SBUZZ 36 SBV SKMZZ 37 SKN SPXZZ 38 SPY SPYZZ 39 SPZ SWJZZ 40 SWK TISZZ 4 TIT TVZZZ 42 TW UPKZZ 43 UPL UYLZZ 44 UYM VYZZZ 45 VZ WLSZZ 46 WLT XHZZZ 47 XI XLZZZ 48 XM ZZZZZ May 24, 20 90

91 APPENDIX B: Traffic Distribution, continued Revised Symbol Distribution Effective: July 25, 20 Line Exp Exp Security Symbol Security Symbol Mo Mo A A A A P L L 2 A A P L M A D H Z Z X 3 A D I A A K L Z Z X 4 A K M A A M Z Z Z X 5 A N A A X M Z Z X 6 A X N A B G Z Z Z X 7 B H A B T Z Z Z X 8 B U A C E Z Z Z X 9 C F A C M Z Z Z X 0 C N A C S C Z Z X C S D A D E Z Z Z X 2 D F A D J Z Z Z X 3 D K A E E M Z Z X 4 E E N A E U Q Z Z X 5 E U R A F A Z Z Z X 6 F B A F T Z Z Z X 7 F U A G L D L 8 G L D M G O O Z Z X 9 G O P A H N Z Z Z X 20 H O A I D Z Z Z X 2 I E A I W L Z Z X 22 I W M A I W M Z Z X 23 I W N A J N M Z Z X 24 J N N A K L Z Z Z X 25 K M A L T Z Z Z X 26 L U A M D Y Z Z X 27 M D Z A M N X Z Z X 28 M N Y A M V Z Z Z X 29 M W A N E Z Z Z X 30 N F A N X Z Z Z X 3 N Y A P A Z Z Z X 32 P B A P L Z Z Z X 33 P M A Q K Z Z Z X 34 Q L A R C Z Z Z X 35 R D A R U S Z Z X 36 R U T A S H Z Z Z X 37 S I A S P D Z Z X 38 S P E A S P Y L 39 S P Y M S R R Z Z X 40 S R S A T A Z Z Z X 4 T B A T M Z Z Z X 42 T N A T Z Z Z Z X 43 U A U X Z Z Z X 44 U Y A V S Z Z Z X 45 V T A W F S Z Z X 46 W F T A X K Z Z Z X 47 X L A X L S Z Z X 48 X L T A Z Z Z Z Z X May 24, 20 9

92 APPENDIX B: Traffic Distribution, continued 2. Symbols containing only alpha characters will be routed according to the distribution table. 3. Symbols containing numerics will be routed based upon the alpha characters preceding the first numeric, e.g.,: Non-Standard symbol STD will be routed to the line containing STD 4. If a numeric is received in the first character, e.g., RSTU it will be routed to Multicast Line 4 5. If an Index message is generated for a symbol that is split by call/put (e.g., AAPL, GLD, SPY) it will be generated over the line designated for calls. e.g., e.g., Index message for GLD will be sent over line 7 Selectively sent to Any Line: Reset Sequence Number message (dependent upon line that requires message sequence number to be reset) Note: Data recipients are responsible for handling any symbol over any line. Redistribution of traffic will not occur intraday but can occur on a next day basis. Notification may not be sent to the data recipients regarding redistribution of traffic. May 24, 20 92

93 APPENDIX C: SCHEDULE OF DAILY OPRA MESSAGES Note: Time ranges shown have approximate times indicated, are dependent on daily traffic volume, and are subject to change based on a Participant s hours of operation. The Times are Eastern time. TIME TRANSMISSION :20 a.m. Start all output lines :25 a.m. Start of Test Cycle message (followed by Equity/Index test cycle messages) 2:05 a.m. End of Test Cycle message 6:0 a.m. Start of Day message on lines -48 (Equity/Index) 6:5 a.m. PHLX Good Morning 6:30 a.m. Equity/Index Open Interest messages 6:45-7:5 a.m. Equity/Index Good Morning message from AMEX, BATS, BOX, CBOE, C2, ISE and NASD 7:30 a.m. ISE FX Options trading begins 8:20 a.m. CBOE Interest Rate Options trading begins 8:30 a.m. Equity/Index Good Morning message from NYSE May 24, 20 93

94 APPENDIX C: SCHEDULE OF DAILY OPRA MESSAGES TIME TRANSMISSION 9:30 a.m. Equity/Index Options trading begins* 9:30 a.m. PHLX World Currency Options trading begins 3:00 p.m. CBOE Interest Rate Options trading ends 4:00 p.m. Equity Options trading ends 4:00 p.m. PHLX World Currency Options trading ends 4:5 p.m. Index Options trading ends 4:5 p.m. ISE FX Options trading ends 4:25 5:30 p.m. Equity/Index End of Day Summary message 5:02 p.m. End of Transaction Reporting message from each Participant 5:5 5:25 p.m. Good Night message from each Participant 6:30 p.m. End of Day message. System brought down. *Some Index Options have non-standard trading hours. Note: OPRA Multicast Data Recipients that test (including test Start of Day messages) data dissemination over the OPRA multicast data feeds can commence as early as 6:45 P.M. (ET) and terminate as late as 6:05 A.M. (ET) during business weekdays. This test period is accommodated to allow testing opportunities for Participants and Data Recipients as well as to provide test time to rectify any production problems that may have occurred the prior business day. Multicast data feed Recipients should take the necessary precautions to protect their systems against any adverse impact (e.g., database corruption) if processing data throughout the test data dissemination period. During the test period, note that test data can be disseminated over all OPRA multicast IP channels (e.g., Production, Retransmission or Playback Test Group IP addresses). May 24, 20 94

95 APPENDIX D: BEST BID AND BEST OFFER (BBO) OVERVIEW Best Bid and Best Offer (BBO) calculations are performed whenever a new qualifying quote is received. If it is determined that a new quote has caused a new Best Bid, a new Best Offer, or both, and the BBO information is not contained in the new quote, the appropriate Best Bid, Best Offer, or both, information is appended to the new quote. If it is determined that the new quote does not affect the Best Bid or the Best Offer, appendages are not added. A new quote can be the entire new Best Bid and/or Best Offer quote. In addition, the Best Bid and/or Best Offer appendages can indicate a Crossed Market where the Bid price is higher than the Offer price, or a Locked Market where both the Bid and the Offer prices are the same. OPRA generates a Best Bid and/or Best Offer based on the following criteria in this order: Price: Size: Time: Note: Note: Participants with highest Bid and lowest Offer have overall priority. Minimum Price increments must be at least 5 cents, higher or lower than previous. (See Note) Largest size takes precedence when multiple Participants submit the same Bid and/or Offer price. There are no initial minimum size requirements. Size increments must be 0 contracts or better than previous. (See Note) Earliest time takes precedence when multiple Participants submit the same Bid and/or Offer price with the same size. Price and Size criteria may change at any time in the future. All Data Recipients should plan for modifiable parameters on Price and Size requirements. In preparation for potential trading in options with premiums expressed in pennies, a quote that improves the current quote by one cent will be considered part of the OPRA BBO. To avoid dissemination of duplicate Best Bid and/or Best Offer calculations: if a quote is received from a Participant who is currently part or all of the BBO, and the Best Bid and/or Offer are identical, then the Best Bid and/or Best Offer is not updated with a later time, and appendages are not added. May 24, 20 95

96 APPENDIX D: BEST BID AND BEST OFFER OVERVIEW (continued) BBO Considerations (continued) Each quote message contains a Message Type, which describes the nature of the quote. The Message Types may be viewed as belonging to two classes:. Those that qualify for inclusion (eligible) in the Best Bid and/or Best Offer (BBO) calculations. 2. Those that do not qualify for inclusion (ineligible) in the Best Bid and/or Best Offer (BBO) calculations. B BO-Eligible Message Types Space Filled Regular Trading Type A Eligible for Automation Execution Type B Bid contains Customer trading interest Type O Offer contains Customer trading interest Type C Both Bid and Offer contain Customer trading interest BBO-Ineligible Message Types Type F Non-Firm Quote Type R Rotation Type T Trading Halted Type X Firm Bid, Non-Firm Offer (Offer Side Only BBO-Ineligible) Type Y Firm Offer, Non-Firm Bid (Bid Side Only BBO-Ineligible) May 24, 20 96

97 APPENDIX D: BEST BID AND BEST OFFER OVERVIEW (continued) ZERO PRICE RULES FOR BEST BID AND BEST OFFER CALCULATIONS. Zero Bid Price and Non Zero Offer: If a quote with a zero Bid Price and zero Bid Size is received by OPRA, the Bid Price is eligible to be included in the BBO calculation. The priorities are then Price and Time (i.e., if multiple Participants enter a Zero Bid Price, the one received first is the Best). A size other than zero with a zero Bid Price is not valid and the Bid is ineligible to be included in the BBO calculation. The non zero offer is included in the BBO calculation. 2. Zero Offer Price and Non Zero Bid: If a quote with a zero Offer Price is received by OPRA, the Offer is not considered valid and is ineligible to be included in the BBO calculation. The non zero Bid is included in the BBO calculation. 3. Zero Bid Price and Zero Offer Price: If a quote with a zero Bid Price and zero Offer Price is received by OPRA, neither the Bid Price nor the Offer Price are eligible to be included in the BBO calculation. If the entering Participant s previous quote was part or all of the BBO, the BBO is recalculated excluding the Participant s quote. If a Bid and/or Offer size is included in a Participant s quote, the quote is not valid and is ineligible to be included in the BBO calculations. May 24, 20 97

98 APPENDIX D: BEST BID AND BEST OFFER OVERVIEW (continued) ZERO PRICE RULES FOR BEST BID AND BEST OFFER CALCULATIONS 4. Kill: The entry of the kill command by SIAC Operations for a Participant will result in OPRA generating quotes with zero Bid and Offer prices and zero Bid and Offer sizes and no Type code for each series for which that Participant entered a valid quote. Note: If a Participant informs SIAC Operations that they are experiencing system or other problems resulting in the unreliability of their quotes, upon the request of that Participant, SIAC Operations can execute a KILL procedure, whereby a zero quote is generated for every issue for which that Participant had entered a quote. When a Participant is in a KILLED state, their trades and administrative messages will continue to be processed normally. May 24, 20 98

99 APPENDIX E: SAMPLE TEST CYCLE MESSAGES Note: All Test Cycle messages contain the Participant ID CODE o, meaning OPRA, the Retransmission Requester field is Space filled and the Time field reflects the Time the messages are sent over the respective line. MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aa BXYZ UAB B HL START OF OPEN INTEREST dspace FZYX GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace NYZX BQB B B HF END OF SUMMARY kspace LYXW BKB G HB END OF TEST CYCLE MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aspace MZYX XAB D HL START OF OPEN INTEREST dspace MYXZ GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace WYXZ BQB B B HF END OF SUMMARY kspace WYXW BKB G HB END OF TEST CYCLE May 24, 20 99

100 APPENDIX E: SAMPLE TEST CYCLE MESSAGES MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aa EXYZ UAB B HL START OF OPEN INTEREST dspace JZYX GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace PYZX BQB B B HF END OF SUMMARY kspace CYXW BKB G HB END OF TEST CYCLE MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aspace GZYX XAB D HL START OF OPEN INTEREST dspace QYXZ GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace ZYXZ BQB B B HF END OF SUMMARY kspace TYXW BKB G HB END OF TEST CYCLE May 24, 20 00

101 APPENDIX E: SAMPLE TEST CYCLE MESSAGES MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aa DXYZ UAB B HL START OF OPEN INTEREST dspace DZYX GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace XYZX BQB B B HF END OF SUMMARY kspace YYXW BKB G HB END OF TEST CYCLE MSG ID MESSAGE SEQUENCE # TEXT HA START OF TEST CYCLE aspace UZYX XAB D HL START OF OPEN INTEREST dspace VYXZ GAB HM END OF OPEN INTEREST HE START OF SUMMARY fspace KYXZ BQB B B HF END OF SUMMARY kspace VYXW BKB G HB END OF TEST CYCLE May 24, 20 0