http://www.batstrading.co.uk/alerts/release_notes/ Issues affecting the current trading session en-us Fri, 30 Jul 2010 13:34:00 BST Copyright 2010 BATS Europe Release Notes 1 0 1 2 3 4 5 19 20 21 22 23 Saturday Sunday http://www.batstrading.co.uk/_img/logos/bats_logo_rss.jpg http://www.batstrading.co.uk/alerts/release_notes/ Dear BATS Europe Participants Summary Following participant demand, effective Friday, June 18th, 2010, BATS Europe will obfuscate (i.e. apply a unique new Order ID to) all trade messages generated from non-displayed liquidity on the BATS Europe Integrated book, including executions from hidden orders. As part of this change, OrderIDs from trade messages generated from the Dark Pool will be obfuscated in the same manner. By default, OrderIDs on trade messages will be obfuscated in the data feed. Participants who do not wish for their orders to be subject to this change may opt-out, via request to the Trade Desk. Update For this initial release, BATS Europe will not change the handling of iceberg orders in order to allow more time to fully analyze and implement an optimal solution. We anticipate a follow up release to address the handling of OrderIDs related to iceberg orders later this summer. Thus, the change to the PITCH feed for June 18, 2010, will NOT include different message types or sequencing specifically related to iceberg orders as was previously announced. Testing Testing is available in the BATS Europe certification environment effective immediately. Documentation *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketGuide.pdf Please contact the Trade Desk or your Account Manager if you have any questions http://www.batstrading.co.uk/alerts/release_notes/2010/#0 Tue, 15 Jun 2010 12:00:58 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#0 Dear BATS Europe Participants, Following participant demand, effective Friday 18th June 2010, BATS Europe will obfuscate the OrderID for all trade messages generated from non-displayed liquidity in the BATS Europe Integrated book, including executions from both hidden and reserve orders. As part of this change, OrderIDs from trade messages generated from the Dark Pool will be obfuscated in the same manner. By default, these OrderIDs will be obfuscated in the data feed. Participants who do not wish for their orders to be subject to this change may opt-out, via request to the Trade Desk. Technical Overview PITCH 2.0 ( Multicast ) ExecuteAtPriceAndSize ( 0x24 ) will no longer be used to report executions where the executed size is not equal to the displayed decrement size. Instead the execution will be reported as a Trade ( 0x2A, 0x2B or 0x30 ) followed by a Modify ( 0x27 or 0x28 ) when the remainder is nonzero or Delete ( 0x29 ) when the remainder is zero. PITCH 1.0 ( TCP ) A combination of Cancel ( X ) + Trade ( P or p ) + Add ( A or a ) will no longer be used to report executions where the executed price is not equal to the displayed price or where the executed size is not equal to the displayed decrement size. The final add is not present when there is no remainder. Instead the execution will be reported as Trade ( P or p ) + Cancel ( X or x ) + Add ( A or a ). The final add is not present when there is no remainder. For both protocols, the OrderID of the Trade event will be unique for that trade event (unless the order entry firm has opted out of hidden OrderID obfuscation). Also for both protocols, because of the ordering change, it is possible for an execution of a fully or partially displayed order where the executed price is not equal to the displayed price or where the executed size is not equal to the displayed decrement size and where the order entry firm has opted out of OrderID obfuscation for the OrderID of a Trade to match the OrderID of an order on book. While this should not break a compliant feed handler, it is a situation that would not havehappened before. Implementations should be checked Testing Testing is available in the BATS Europe UAT environment effective Thursday 10th June 2010. Documentation *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf Please contact the Trade Desk or your Account Manager if you have any questions http://www.batstrading.co.uk/alerts/release_notes/2010/#1 Wed, 09 Jun 2010 13:01:08 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#1 Dear BATS Europe Participants BATS Europe announces the launch of its Self-Match Clearing Suppression facility, available from today Friday 4th June 2010. Overview BATS Europe has introduced the facility to suppress the reporting to the Central Counterparty (CCP) of self-matched trades that are executed on the BATS Europe Integrated Book or Dark Pool. With Self-Match Clearing Suppression, a participant matching against itself has the option to request the suppression of the clearing instruction sent to the relevant CCP. At this stage, Self-Match Clearing Suppression is available for all markets with the exception of the UK and Ireland. BATS Europe has also made available a new order type with immediate effect called BATS Dark Self Cross (BDSX). With BDSX, a participant can enter a non-displayed order that will only match against another order from the same participant. As with all orders in the Dark Pool, BDSX orders will only cross at the reference price (the midpoint of the PBBO). Self-Match Clearing Suppression functionality can be used withBDSX. Details Self-Match Clearing SuppressionWhen Self-Match Clearing Suppression has been applied, via a request to the Trade Desk, no clearing instruction will be sent to the CCP for trades that match at the Firm, ClearingID, and at the CCP Account (House or Client) level. Self-Match Clearing Suppression is available on an opt-in basis for specific Listing Markets in the BATS Europe Integrated Book and Dark Pool. Trade reports will continue to be published in the market data feed. BDSX (BATS Dark Self Cross)BDSX orders are non-displayed orders and are only available in the BATS Europe Dark Pool. BDSX orders do not need to be Large In Scale (LIS) and will only interact with other BDSX orders which have been tagged in the same manner using CrossFlag (7740) and from the same participant. BDSX orders will only match at the reference price (the midpoint of the PBBO) and BDSX executions are represented as trades on BATS Europe's market data feeds in the same manner as other trades in the BATS Europe Dark Pool. BDSX orders must be midpoint peg orders, have RoutingInst (9303) = BX, and have CrossFlag (7740) set to either F (cross only at the Participant level) or M (cross only at the Trading Firm level). Testing All the above functionality is available for testing in the BATS Europe UAT environment effective immediately. Documentation * Pricing Flyer:http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf * FIX spec: http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf Please contact the Trade Desk or your Account Manager if you have any questions http://www.batstrading.co.uk/alerts/release_notes/2010/#2 Fri, 04 Jun 2010 07:30:51 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#2 Dear BATS Europe Participants BATS Europe is excited to announce the release of the BATS+ Primary order type which is available via the BATS Europe Smart Order Router (SOR) effective today Tuesday 1st June 2010. Overview The BATS+ Primary order type is designed to access the BATS Europe Dark Pool and Integrated Book up to and including the limit price before aggressively routing to the relevant Primary Market. After routing, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC). BATS+ Primary will initially be made available for BATS+ LSE (UK listed securities only). Details Orders marked with RoutingInst(9303) = PP, will be eligible for routing to the relevant Primary Market after accessing the BATS Europe Dark Pool and Integrated book. BATS+ LSE orders will first access the BATS Europe Dark Pool at the midpoint of the PBBO at a low 0.15 bps usage charge, before accessing the BATS Europe Integrated Book up to and including the limit price at a low 0.28 bps remove rate. The BATS Europe SOR will then aggressively route to the LSE up to and including the limit price with a low routing fee of 0.28 bps for UK listed securities. Any remainder after routingwill post on the BATS Europe Integrated Book unless the order is marked IOC. In line with the above BATS+ LSE pricing, BATS Europe will also reduce to 0.28 bps the fee to trade all externally routed UK-listed securities via the existing BATS Europe CYCLE and RECYCLE routing strategies. BATS Europe offers participants, via request to the Trade Desk, the option of defaulting their FIX port(s) to exhibit the required RoutingInst (9303) behaviour. The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification. Testing The new order types will be available for testing in the BATS Europe UAT environment effective immediately. Documentation * Pricing Flyer:http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_Pricing.pdf * SOR Product spec: http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_SOR.pdf * FIX spec: http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf Please contact the Trade Desk or your Account Manager with questions regarding BATS+ (or other SOR products), to schedule your formal certification, or to complete the required Client Order Routing Addendum. http://www.batstrading.co.uk/alerts/release_notes/2010/#3 Tue, 01 Jun 2010 07:33:19 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#3 Dear BATS Europe Participants BATS Europe can confirm that changes made to obscure Order IDs was implemented successfully for trading today on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds. For further details see notice below from Thursday 20th May. Please contact the Trade Desk or your Account Manager if you have any questions or comments. --------------------------------------------------------------------------------------- Dear BATS Europe Participants Following participant demand, effective Monday 24th May 2010, BATS Europe will obscure the Order ID on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds. Technical OverviewThe Trade Message for both TCP and Multicast PITCH feeds provides information about the execution of Hidden Liquidity within the Dark Pool. Dark Pool Trade Messages are not associated with any corresponding Quote Message and as a result do not alter the book but are necessary to calculate execution based data. As of Monday 24th May 2010, Dark Pool Trade Message Order IDs will no longer be exposed but instead be obscured with zeros. Sample TCP PITCH Trade Message.Current Format:S28809783P111WC5A030E5B000119NOVOBc0004616500000DC9800008 New Format:S28809783P000000000000B000119NOVOBc0004616500000DC9800008 TestingTesting is available in the BATS Europe UAT environment effective Friday 21st May 2010. Documentation http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf http://www.batstrading.co.uk/alerts/release_notes/2010/#4 Mon, 24 May 2010 08:19:20 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#4 Dear BATS Europe Participants Following participant demand, effective Monday 24th May 2010, BATS Europe will obscure the Order ID on all Dark Pool Trade Messages on both the TCP and Multicast Pitch feeds. Technical OverviewThe Trade Message for both TCP and Multicast PITCH feeds provides information about the execution of Hidden Liquidity within the Dark Pool. Dark Pool Trade Messages are not associated with any corresponding Quote Message and as a result do not alter the book but are necessary to calculate execution based data. As of Monday 24th May 2010, Dark Pool Trade Message Order IDs will no longer be exposed but instead be obscured with zeros. Sample TCP PITCH Trade Message.Current Format:S28809783P111WC5A030E5B000119NOVOBc0004616500000DC9800008 New Format:S28809783P000000000000B000119NOVOBc0004616500000DC9800008 TestingTesting is available in the BATS Europe UAT environment effective Friday 21st May 2010. Documentation* http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf http://www.batstrading.co.uk/alerts/release_notes/2010/#5 Thu, 20 May 2010 17:25:48 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#5 Dear BATS Europe Participants, In an effort to improve upon our Symbol Reference Data, BATS Europe will be adding the following columns to the Symbol Reference Data CSV file from Wednesday 2nd June 2010. * Live Date - The date the instrument went live or will go live on BATS Europe in YYYY-MM-DD format. * Bloomberg Primary - The Bloomberg ticker for this instrument on the primary listing exchange. * Bloomberg BATS - The Bloomberg ticker for this instrument on BATS Europe (" EB" Bloomberg exchange code). * MiFID Share - Either "t" or "f". If "t" then this instrument is a share admitted to trading on EU Regulated Markets under MiFID. The additional columns will be appended to the end of the CSV file with no changes being made to existing columns. It is recommended that anyone utilizing the BATS Europe Symbol Reference Data file should confirm proper processing of the additional columns prior to the final release on Wednesday 2nd June 2010. Testing will be available from Thursday 20th May 2010 by means of the BATS Europe UAT reference data. Documentation* Reference Data Spec: http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_Reference_Data-1.4.pdf * Production Reference Data: http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv * UAT Reference Data: http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-CERT.csv. Please find attached the updated Reference Data Specification effective Wednesday 2nd June 2010. http://www.batstrading.co.uk/alerts/release_notes/2010/#6 Wed, 19 May 2010 15:58:34 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#6 Dear BATS Europe Participants As a reminder, effective Friday 28th May 2010, BATS Europe will increasethe maximum allowed order size to 99,999,999 shares from 999,999 shares.Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIXDrop services should confirm their software applications are prepared toprocess messages with the increased order size. Technical Overview FIX / FIX Drop * These services will be the least impacted but Participantsshould ensure they are able send and receive size related tags such asFIX tags 38 (OrderQty) and 151 (LeavesQty). * All Participants must contact the BATS Europe Trade Desk toenable large order sizes on their FIX order entry sessions. A defaultmax order size of 100,000 shares is applied to all FIX sessions thathave not been increased per Participant request. PITCH / FAST PITCH * Long Form messages, as currently identified in the PITCHspecificationes\BATS_Europe_PITCH_Specification.pdf> , will be received down thefeeds for any messages where the order size is greater than 999,999. Allmessages with less than 1,000,000 shares will continue to utilize thestandard messages. * Long Form messages allow for an order size of 9,999,999,999shares but will only be populated with a maximum of 99,999,999 shares.Any of the remaining offsets will be front padded with zeros (0) up tothe order quantity. * Long Form messages also allow for large prices of 19 digits(12.7) but will NOT be utilized and will always reflect the current maxsize of 10 digits (6.4) and the remaining offsets, left and right of thedecimal, will be padded accordingly with zeros (0). Multicast PITCH * No impact to MC PITCH messages as Long Format messages forlarge sizes have been utilized in the feed since its inception. Drop * Participants using Standard Drop feeds will be required toincrease the size value of offset 105 from 6 characters to 8 characters.All fields following will be shifted by two spaces accordingly. Testing The increased order size is currently available for testing in the BATSEurope Certification environment. Please contact the BATS Europe TradeDesk to enable large order sizes on UAT FIX order entry sessions. Documentation *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf *http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf http://www.batstrading.co.uk/alerts/release_notes/2010/#7 Mon, 17 May 2010 11:34:37 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#7 Dear BATS Europe Participants As a reminder, effective Friday 28th May 2010, BATS Europe will increase the maximum allowed order size to 99,999,999 shares from 999,999 shares. Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIX Drop services should confirm their software applications are prepared to process messages with the increased order size. Technical Overview FIX / FIX Drop * These services will be the least impacted but Participants should ensure they are able send and receive size related tags such as FIX tags 38 (OrderQty) and 151 (LeavesQty). * All Participants must contact the BATS Europe Trade Desk to enable large order sizes on their FIX order entry sessions. A default max order size of 100,000 shares is applied to all FIX sessions that have not been increased per Participant request. PITCH / FAST PITCH * Long Form messages, as currently identified in the PITCH specification , will be received down the feeds for any messages where the order size is greater than 999,999. All messages with less than 1,000,000 shares will continue to utilize the standard messages. * Long Form messages allow for an order size of 9,999,999,999 shares but will only be populated with a maximum of 99,999,999 shares. Any of the remaining offsets will be front padded with zeros (0) up to the order quantity. * Long Form messages also allow for large prices of 19 digits (12.7) but will NOT be utilized and will always reflect the current max size of 10 digits (6.4) and the remaining offsets, left and right of the decimal, will be padded accordingly with zeros (0). Multicast PITCH * No impact to MC PITCH messages as Long Format messages for large sizes have been utilized in the feed since its inception. Drop * Participants using Standard Drop feeds will be required to increase the size value of offset 105 from 6 characters to 8 characters. All fields following will be shifted by two spaces accordingly. Testing The increased order size is currently available for testing in the BATS Europe Certification environment. Documentation * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FAST_PITCH_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf http://www.batstrading.co.uk/alerts/release_notes/2010/#8 Thu, 29 Apr 2010 17:24:05 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#8 Dear BATS Europe Participants, Effective Monday 3rd May 2010 BATS Europe will update the Multicast PITCH feeds in our Certification Environment by adding an additional 10 Units. This will change the Certification Multicast PITCH feeds to match the Production Multicast PITCH feeds more closely. In preparation for this update we will be shutting down the Certification system as of 13:00 London Time for Friday 30th April 2010. No changes will be made to the BATS Europe Production Multicast PITCH feeds as a result of this change. All BATS Europe participants with Certification Multicast PITCH ports should take note of the following: * The existing two IP Ports (31001, 31002) WILL NOT be available from the effective date of 3rd May 2010 with no further data being received. An additional 12 Multicast PITCH ports utilizing IP Port ranges from 32001 - 32012 will be issued. * Existing Spin Ports (18998, 18999) for Units 1 & 2 WILL continue to be utilized. An additional 10 Spin ports utilizing IP Port ranges from 18985 - 18995 will be issued for Units 3 - 12 to be used in conjunction with the existing two Spin IP Ports (18998, 18999). * NO changes will be made to participant's Gap request ports. Current Certification setup Certification setup effective Monday 3rd May 2010 The BATS Europe Multicast PITCH Specification with updated Certification multicast addresses and ports can be found at http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_MC_PITCH_Specification_effective.pdf Contact the BATS Trade Desk or your account manager with any questions about the Multicast PITCH feed or the changes being made to the Certification environment. http://www.batstrading.co.uk/alerts/release_notes/2010/#9 Mon, 26 Apr 2010 16:52:41 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#9 Dear BATS Europe Participants As a reminder to all BATS Europe Participant's, from Friday 16th April 2010, BATS Europe will expand its afterhours trading services to include constituents of the CAC 40 and DAX indices, in addition to the current FTSE 100 constituents, for both Trading At Last (TAL) and Market On Close (MOC) services. BATS Europe has also minimised development work required to access the afterhours TAL service by allowing participants to use regular Market and Limit order types along with the existing Market on Close and Limit On Close order types. The MOC and TAL service continue to be offered free of charge to all BATS Europe Participants, allowing participants to drastically reduce the cost of transacting closing business when compared against other market venues. Technical Overview * All Market on Close, Limit On Close, Market and Limit orders submitted to BATS Europe after the Official Closing Price has been disseminated by the Listing Market (~16:35), will be available for execution at the Official Closing Price. * If a participant specifies a limit price better than the Official Closing Price, their order will be rejected. * All executions will occur at the Official Closing Price. * Participants may indicate whether an order is hidden or displayed by using Tag 9479 (DisplayIndicator) of I (Invisible) or X (Displayed). By default, all orders submitted during the TAL phase will be displayed. UAT Testing The extended markets and order types, for both TAL and MOC services, are currently available for testing purposes in the BATS Europe Certification environment. The Certification environment schedules an MOC Cross phase every 15 minutes per the following schedule: hh:00/15/30/45 MOC Cross phase startshh:05/20/35/50 Closing Price is simulated, signalling an the end to MOC Cross phase and the start of Trading at Last phasehh:10/25/40/55 Trading at Last phase ends, all orders are expired and the book is cleared for next MOC Cross Where hh is 08-18 (i.e. an MOC Cross starts every 15 minutes). Testing has been set up for the following symbols (official closing price is in brackets) ARMl (230.00), GKNl (120.00), ULVRl (2000.00), YELLl (40.00), RMSp (104.00) and MRKd (60.00) Documentation * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketOnClose.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_AHT.pdf Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#10 Wed, 14 Apr 2010 09:59:01 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#10 Effective Friday 28th May 2010, BATS Europe will increase the maximum allowed order size to 99,999,999 shares from 999,999 shares. Participants using the BATS Europe PITCH, FAST PITCH, Drop, FIX and FIX Drop services should confirm their software applications are prepared to process messages with the increased order size. Technical OverviewFIX / FIX Drop * These services will be the least impacted but Participants should ensure they are able send and receive size related tags such as FIX tags 38 (OrderQty) and 151 (LeavesQty) for example. PITCH / FAST PITCH * Long Form messages, as currently identified in the PITCH specificationhttp:/www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf , will be received down the feeds for any messages where the order size is greater than 999,999. All messages with less than 1,000,000 shares will continue to utilize the standard messages. * Long Form messages allow for an order size of 9,999,999,999 shares but will only be populated with a maximum of 99,999,999 shares. Any of the remaining offsets will be front padded with zeros (0) up to the order quantity. * Long Form messages also allow for large prices of 19 digits (12.7) but will NOT be utilized and will always reflect the current max size of 10 digits (6.4) and the remaining offsets, left and right of the decimal, will be padded accordingly with zeros (0). Multicast PITCH* No impact to MC PITCH messages as Long Format messages for large sizes have been utilized in the feed since its inception. Drop* Participants using Standard Drop feeds will be required to increase the size value of offset 105 from 6 characters to 8 characters. All fields following will be shifted by two spaces accordingly. TestingThe increased order size will be available for testing in the BATS Europe Certification environment from Monday 19th April 2010. Documentation* http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf* http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf* http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_PITCH_Specification.pdf* http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_DROP_Specification.pdf Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#11 Thu, 08 Apr 2010 14:47:40 +0100 http://www.batstrading.co.uk/alerts/release_notes/2010/#11 Dear BATS Europe Participants From Friday 16th April 2010, BATS Europe will expand its afterhours trading services to include constituents of the CAC 40 and DAX indices, in addition to the current FTSE 100 constituents, for both Trading At Last (TAL) and Market On Close (MOC) services. BATS Europe has also minimised development work required to access the afterhours TAL service by allowing participants to use regular Market and Limit order types along with the existing Market on Close and Limit On Close order types. The MOC and TAL service continue to be offered free of charge to all BATS Europe Participants, allowing participants to drastically reduce the cost of transacting closing business when compared against other market venues. Technical Overview * All Market on Close, Limit On Close, Market and Limit orders submitted to BATS Europe after the Official Closing Price has been disseminated by the Listing Market (~16:35), will be available for execution at the Official Closing Price. * If a participant specifies a limit price better than the Official Closing Price, their order will be rejected. * All executions will occur at the Official Closing Price. * Participants may indicate whether an order is hidden or displayed by using Tag 9479 (DisplayIndicator) of I (Invisible) or X (Displayed). By default, all orders submitted during the TAL phase will be displayed. UAT Testing The extended markets and order types, for both TAL and MOC services, are currently available for testing purposes in the BATS Europe Certification environment. The Certification environment schedules an MOC Cross phase every 15 minutes per the following schedule: hh:00/15/30/45 MOC Cross phase startshh:05/20/35/50 Closing Price is simulated, signalling an the end to MOC Cross phase and the start of Trading at Last phasehh:10/25/40/55 Trading at Last phase ends, all orders are expired and the book is cleared for next MOC Cross Where hh is 08-18 (i.e. an MOC Cross starts every 15 minutes). Testing has been set up for the following symbols (official closing price is in brackets) ARMl (230.00), GKNl (120.00), ULVRl (2000.00), YELLl (40.00), RMSp (104.00) and MRKd (60.00) Documentation * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_MarketOnClose.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf * http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_AHT.pdf Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#12 Fri, 26 Mar 2010 16:14:01 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#12 Dear BATS Europe Participants BATS Europe is pleased to announce a new routing strategy, RECYCLE, effective Monday 22nd March 2010. RECYCLE is designed to aggressively re-route a CYCLE order which becomes locked or crossed by another market centre's quote. RECYCLE is distinct from CYCLE which, after routing, leaves the order resting on the BATS Europe Integrated book until it is either matched with an incoming order to the BATS Europe Integrated Book, or cancelled. A RECYCLE order targets quotes from other market centres that lock or cross the order, whilst matching or improving upon the limit price specified. This behaviour occurs whenever BATS Europe receives an updated quote from another market centre that locks OR crosses the order resting on the BATS Europe Integrated Book. Re-routing may continue until the order is completely filled. To use RECYCLE please specify one of the following: * Route off the Integrated Book if another market centre locks or crosses the order (FIX Tag 9303="RL"). * Route off the Integrated Book if another market centre only crosses the order (FIX Tag 9303="RC"). Please note that BATS Europe offers participants the option of having their FIX port(s) defaulted to a specified RECYCLE behaviour. Please refer to the attached Smart Order Routing flyer for an example of where an order with 9303="RL" is resting on the BATS Europe Integrated Book at its limit price after an initial CYCLE attempt. RECYCLE is the latest enhancement to the BATS Europe Smart Order Router. RECYCLE complements BATS Europe's existing offering for accessing displayed and non-displayed market centres via CYCLE. BATS Europe is committed to delivering advanced smart order routing solutions to participants in conjunction with our world-class matching engine. We welcome your feedback on this new routing strategy and any future strategies you would like to see from BATS Europe. Like CYCLE, RECYCLE will be offered at the extremely low route rate of 0.5 bps usage charge for routing to displayed market centres (Lit Venues), and 0.3 bps usage charge for routing to non-displayed market centres (Liquidity Partners (LPs)). The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification. Testing will be made available in the BATS Europe Certification Environment as of Monday 22nd March 2010. Please refer to the latest BATS Europe FIX specification (http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf) for full details on how to use RECYCLE. For more detail on BATS Europe SOR offerings please refer to http://www.batstrading.co.uk/resources/participant_resources/BATSEuro_SMO.pdf. Please contact the Trade Desk or your Account Manager if you have any questions, to schedule your formal certification or to complete the required Client Order Routing Addendum. http://www.batstrading.co.uk/alerts/release_notes/2010/#13 Fri, 19 Mar 2010 11:36:08 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#13 Dear BATS Europe Participants, As a reminder from Friday 12th March 2010, BATS Europe will be applying the following changes to the Reference Data - Live Symbols CSV file available for download at http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv. * BATS Previous Close will be added as the last column. The Reference Data - Live Symbols file is generated each morning providing the previous day's closing price which will be determined as defined in the BATS Europe Rule Book . The BATS Europe Previous Close is the price of the lasttransaction on BATS Europe on that day. If there are no transactions in a security on a given day, the previous BATS Europe closing price will be used. For new instruments or if a transaction has never occurred on BATS Europe, for a particular instrument, the BATS Previous Close price will be blank. It is recommended that anyone utilizing the BATS Europe Reference Data - Live Symbols file should confirm proper processing of the additional column prior to the final release on Friday 12th March 2010. Testing is available by means of the BATS Europe UAT reference data using the following download. http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-CERT.csv. Please find attached the updated Reference Data Specification and UAT reference file. Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#14 Tue, 09 Mar 2010 08:17:06 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#14 Dear BATS Europe Participants, As of Friday 12th March 2010, BATS Europe will be applying the following changes to Reference Data - Live Symbols file available for download at http://www.batstrading.co.uk/resources/symbollist/BATSSymbols-PROD.csv. * BATS Closing Price will be added as the last column The Reference Data - Live Symbols file is generated each morning providing the previous day's closing price which will be determined as defined in the BATS Europe Rule Book . The BATS Closing Price is the price of the last transaction on BATS on that day. If there are no transactions in a security on a given day, the previous BATS Closing Price will be used. Please find attached the updated Reference Data Specification and sample file. For more information about this change or accessing this file, please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#15 Fri, 05 Mar 2010 17:01:32 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#15 Dear BATS Europe Participants BATS Europe periodically reviews symbol distribution across all Multicast market data feeds to ensure BATS Europe market data is spread evenly across available units. From Wednesday 10th March 2010, BATS Europe will migrate all Irish instruments from Unit 12 onto Unit 3 for both Primary and Secondary Multicast Gig and WAN-shaped Production feeds. There is no impact to BATS Europe Participant's currently receiving BATS Europe TCP PITCH or FAST PITCH market data feeds. Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#16 Wed, 24 Feb 2010 12:58:02 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#16 Dear BATS Europe Participants As of Friday 26th February 2010, BATS Europe will improve the accuracy of the TimeOffset field of BATS Europe multicast PITCH market data feed. This field has always been defined to nanosecond granularity in the BATS Europe Multicast PITCH spec, however the time was only accurate to a single millisecond, this change will now make the time accurate to a single microsecond. The length of the TimeOffset field has not changed, and no coding changes are required by Participants. The TCP PITCH feed including FAST PITCH will not change and remains accurate to a single millisecond. This change will be made available in the BATS Europe test environment as of Wednesday 24th February 2010, and in PRODUCTION as of Friday 26th February 2010. Separately as a final reminder, from Friday 26th February 2010, BATSEurope will be enabling Trade Break messages for PITCH market data feeds. While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from Friday 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to receive and process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications.The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/. Participants may also enable Trade Break messages, via their FIX and FIXDROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages. For more information relating to these new messages for FIX and FIXDrop, please refer to the BATS Europe FIX Specification. Testing opportunities for Trade Break Messages continue to be availablein the BATS Europe certification environment. Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#17 Mon, 22 Feb 2010 14:50:41 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#17 Dear BATS Europe Participants, As a reminder, from Friday, 26th February 2010, BATS Europe will be enabling Trade Break messages for PITCH market data feeds, FIX order entry sessions and FIX Drop feeds. While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to receive and process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications. The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/. Participants may also enable Trade Break messages, via their FIX and FIX DROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages. For more information relating to these new messages for FIX and FIX Drop, please refer to the BATS Europe FIX Specification BATS Europe FIX Specification. BATS Europe has also provided testing opportunities to all of our Participants as of Monday, 1st February 2010. Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#18 Wed, 17 Feb 2010 16:33:01 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#18 Dear BATS Europe Participants, BATS Europe will be updating the operational behavior of our order collar. At present, any orders submitted to the BATS Europe MTF or through the BATS Europe Order Routing Facility are subject to a collar such that any order that would execute more than 20% away from the Primary (Listing) Market Best Bid and Offer (PBBO) will be rejected. This collar is checked at time of execution for both aggressive and passive orders. In addition any orders submitted through the PBBO by more than 20% (execution not required) will also be rejected. This check will occurfor both aggressive orders and passive orders (reactivated with each PBBO update). From Friday 12th February 2010, in addition to the above behaviour, BATS Europe will be including an additional collar for cases where the PBBO is unavailable. For example, where the Listing Market is in auction or during an outage. In such cases, any order that would execute more than 20% away from the last transaction on the Listing Market on that day will be rejected. Where there is no PBBO and there has been no transaction on the Listing Market on that day, the order will not be subject to a collar. As with the PBBO collar this additional collar is also checked at time of execution for both aggressive and passive orders. In addition any orders submitted through the last transaction price on the Listing Market by more than 20% (execution not required) will also be rejected. This check will also occur for both aggressive orders and passive orders (reactivated with each transaction update onthe Listing Market). Participants who wish to impose a finer collar may do so on an opt-in basis either at the firm level or FIX session level by contacting the BATS Europe Trade Desk (+44.207.012.8901, TradeDeskEU@batstrading.com TradeDeskEurope@batstrading.com ). Finer collars are only available at the point of order entry and are not available for resting orders. The default 20% or last transaction collar will be applied for all passive orders where there is an update to the PBBO or price of the last transaction on the Listing Market. Please contact the Trade Desk TradeDeskEurope@batstrading.com or your Account Manager http://www.batstrading.co.uk/sales_support/ if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#19 Thu, 11 Feb 2010 18:02:37 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#19 Dear BATS Europe Participants, From Friday, 26th February 2010, BATS Europe Participants may enable Trade Break messages, via their FIX and FIX DROP sessions, on an opt-in basis. Participants should contact the BATS Europe Trade Desk to enable receipt of Trade Break messages. For more information relating to these new messages for FIX and FIX Drop, please refer to the BATS Europe FIX Specification While Trade Break messages are already available through Multicast PITCH 2.0, BATS Europe will begin sending Trade Break messages for all Participant TCP PITCH 1.0 and FAST PITCH 1.0 feeds from 26th February 2010. As such, TCP PITCH 1.0 and FAST PITCH 1.0 users should confirm their software applications are prepared to process Trade Break messages by this date. The Trade Break message format is defined in the PITCH 1.0 and FAST PITCH 1.0 specifications. The latest versions of BATS Europe market data specifications can be found on the BATS Europe website at http://www.batstrading.co.uk/sales_support/. BATS Europe will also provide testing opportunities to all of our Participants. Testing will be made available in advance in the BATS Europe Certification Environment as of Monday, 1st February 2010. Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#20 Fri, 29 Jan 2010 10:36:19 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#20 Dear BATS Europe Participants, BATS Europe is excited to announce the release of the BATS Europe Smart Order Router (SOR) effective Monday 15th February 2010. The BATS Europe SOR is a separate service to the pan-European MTF and features a new CYCLE strategy providing Participants access to pan-European non-displayed and displayed market centres through a single, low cost solution. OverviewThe BATS Europe CYCLE strategy sequentially cycles through market centres aggressively searching for volume at the best price points up to, and including, the limit price on the original order. After routing up to the limit price, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC). All markets currently tradable on the BATS Europe MTF will be supported via the BATS Europe Smart Order Router with the exception of Spain andIreland. Multiple options are available with the CYCLE strategy including the ability, on an order by order basis or at the port level, to route only to displayed venues (External Lit Only), only to non-displayed venues (External Dark Only) or to both displayed and non-displayed venues (Default). All routable orders using the CYCLE strategy access the BATS Europe Dark Pool and BATS Europe Integrated Book before routing out tovenues. DetailsBATS Europe provides three options of the CYCLE strategy order type which all interact with the BATS Europe Dark Pool and BATS Europe Integrated Book. Orders marked with RoutingInst (9303) = R, will be eligible for routing to other market centres using BATS Europe CYCLE strategy order type. The BATS Europe SOR will first route to the BATS Europe Dark Pool at a low 0.15 bps usage charge before accessing the BATS Europe Integrated Book at a low 0.28 bps remove rate. The BATS Europe Dark Pool allows for matching of dark liquidity at the midpoint of the best bid and best offer on the primary market. FIX tag 375 (ContraBroker) will reflect "BATS" for all BATS Europe Dark Pool and Integrated Book executions. Participants then have the option to customise how the BATS Europe SOR best achieves the needs of their business by selecting how their order routes to away venues. In conjunction with FIX tag 9303 (RoutingInst) Participants may also send FIX tag 18 (ExecInst) as follows: v - BATS Europe Dark Pool + BATS Europe Integrated Book + External Dark+ External Lit (Default) w - BATS Europe Dark Pool + BATS Europe Integrated Book + External Lit Only u - BATS Europe Dark Pool + BATS Europe Integrated Book + External DarkOnly The default behaviour of the BATS Europe SOR is to route away to Dark Liquidity Partners (DLPs) and External Lit venues. A low routing fee of 0.30 bps will be applied for all DLP executions. FIX tag 375 (ContraBroker) will reflect "DARK" for each DLP execution. The BATS Europe SOR will then aggressively cycle between the BATS Europe Integrated Book and away displayed venues, up to and including the limit price on the original order. A low routing fee of 0.50 bps will be applied for all "External Lit" executions. BATS Europe will also reflect FIX tag 375 (ContraBroker) as "LIT" for these trades. Finally after routing up to the limit price, any remainder will post on the BATS Europe Integrated Book unless the order is marked immediate or cancel (IOC). All trades conducted through the BATS Europe SOR on the BATS Europe order books or away venues are cleared by the CCP in the same way as any trade conducted on the BATS Europe MTF. Participants can request, from the BATS Europe Trade Desk, to set defaults at the port level defining the RoutingInst (9303) and the ExecInst (18) flags. The BATS Europe SOR is only available to clients who are Participants of the BATS Europe MTF and who are classified as Eligible Counterparties. Participants utilising the BATS Europe SOR will be required to sign a Client Order Routing Addendum as well as completing a formal certification. Testing will be made available in the BATS Europe Certification Environment as of Tuesday 26th January 2010. Additional details and the complete FIX specification can be found on our website: http://www.batstrading.co.uk/resources/participant_resources/BATS_Europe_FIX_Specification.pdf Please contact the Trade Desk or your Account Manager if you have any questions. http://www.batstrading.co.uk/alerts/release_notes/2010/#21 Mon, 25 Jan 2010 13:08:39 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#21 Dear BATS Europe Participants, BATS Europe is excited to announce a website enhancement that provides a comprehensive overview of the BATS Europe Dark Pool activity on a T+1 basis. The BATS Europe Dark Pool has grown significantly since going live in August 2009, where last Friday it achieved a record notional value traded of over 70 million EUR. The following details are now available at http://www.batstrading.co.uk/market_data/dark_pool/. - Notional Traded, Price Improvement, Total Euro-hours and Number of Stocks for T+1 and 5 Day Average - Market Distribution in Euro-hours - Historical charts for Notional Value and Volume - Per Index Summary About BATS Europe Dark Pool The BATS Europe Dark Pool is a separate order book (from the existing Integrated Book) that allows matching of dark liquidity at the midpoint of the best bid and best offer on the primary market. Orders placed into the Dark Pool are not required to be Large in Scale (LIS). There is a low 0.15 bps usage charge for all Dark Pool orders, which is significantly lower than competitor pricing. Please refer to the Dark Pool flyer for additional features and details. Please contact the Trade Desk or your Account Manager if you have any questions. Thank you for your continued support of BATS Europe. http://www.batstrading.co.uk/alerts/release_notes/2010/#22 Mon, 18 Jan 2010 17:31:58 +0000 http://www.batstrading.co.uk/alerts/release_notes/2010/#22