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Chi-X Japan Trading Interface Specification

Chi-X Japan Trading System

Document ID: JPCX-L3-D-002

18-Mar-2019

Version 1.6-40


© 2018 Chi-X Global Technology Page i 18-Mar-2019/Version 1.6-40 CONFIDENTIAL

CONTENTS

1 Introduction ........................................................................................................ 1 1.1 Relevant documents ......................................................................................... 1 1.2 Revision History ................................................................................................ 1 2 CTS FIX Interface ............................................................................................... 3 2.1 Supported FIX Version ...................................................................................... 3 2.2 Network Transport ............................................................................................ 3 2.3 FIX Protocol Syntax .......................................................................................... 3 2.4 Message Format ............................................................................................... 3 2.5 Data Types: ...................................................................................................... 3 3 Configuration Information ................................................................................. 4 3.1 FIX Client .......................................................................................................... 4 3.1.1 SenderCompID .............................................................................................. 4 3.1.2 TargetCompID ............................................................................................... 4 3.1.3 OnBehalfOfCompID ....................................................................................... 4 3.1.4 Encryption ...................................................................................................... 4 3.1.5 TargetSubID or Custom SessionID Tags ....................................................... 4 3.2 CTS Configuration ............................................................................................ 5 3.2.1 SenderCompID .............................................................................................. 5 3.2.2 TargetCompID ............................................................................................... 5 3.2.3 DeliverToCompID ........................................................................................... 5 3.2.4 Addresses of FIX Servers .............................................................................. 5 3.2.5 Heartbeat Interval........................................................................................... 5 4 Session Management ........................................................................................ 6 4.1 Message header format to CTS ........................................................................ 6 4.2 Message header format to Client ...................................................................... 6 4.3 Message trailer format ...................................................................................... 7 4.4 Logon ................................................................................................................ 7 4.4.1 Logon Request ............................................................................................... 7 4.4.2 Logon Response ............................................................................................ 7 4.4.3 Logon Failure ................................................................................................. 8 4.5 Administrative messages .................................................................................. 8 4.5.1 Heartbeat messages ...................................................................................... 8 4.5.2 Others ............................................................................................................ 8 4.6 Logout Messages .............................................................................................. 8 4.7 Reject Messages .............................................................................................. 8 4.8 Recovery ........................................................................................................... 8 5 Application Messages ..................................................................................... 10 5.1 Symbologies ................................................................................................... 10 5.1.1 Symbol Tags ................................................................................................ 10 5.2 Order Entry ..................................................................................................... 10 5.2.1 Client ............................................................................................................ 10 5.2.1.1 New Order Single ...................................................................................... 10 5.2.1.2 Order Cancel Request............................................................................... 14 5.2.1.3 Order Cancel / Replace Request ............................................................... 15 5.2.2 CTS Order Entry Response Messages ........................................................ 16 5.2.2.1 New Order Single Response ..................................................................... 16 5.2.2.2 Order Cancel Acknowledgement ............................................................... 18 5.2.2.3 Order Cancel Reject .................................................................................. 19 5.2.2.4 Cancel / Replace Response ...................................................................... 19 5.2.2.5 Unsolicited Cancel Replace Response ...................................................... 19 5.2.2.6 Trade Report – Continuous Trading and Chi-Select .................................. 20 5.2.2.7 Trade Report – VWAP Pre-trade ............................................................... 22 5.2.2.8 Trade Cancel – VWAP Pre-trade cancel ................................................... 23


© 2018 Chi-X Global Technology Page ii 18-Mar-2019/Version 1.6-40 CONFIDENTIAL

5.2.2.9 Trade Correction - VWAP Re-price ........................................................... 24 5.2.2.10 Unsupported FIX Messages .................................................................... 25 5.3 Order Status ................................................................................................... 25 5.3.1 Done For Day Order Status Messages ......................................................... 25 5.3.1.1 Done For Day Order Report ...................................................................... 25 5.3.2 CTS Peg Order Status Messages ................................................................ 25 5.3.2.1 Peg Order Suspended Report ................................................................... 25 5.3.2.2 Peg Order Resume Report ........................................................................ 26 5.4 Trade Session Status ...................................................................................... 26 6 Appendix – Order State Change Matrices ...................................................... 28 6.1 Filled order ...................................................................................................... 28 6.2 Cancel request issued for a zero-filled order ................................................... 28 6.3 Cancel request issued for a part-filled order – executions occur whilst cancel request is active ...................................................................................................... 29 6.4 Cancel request issued for an order that becomes filled before cancel request can be accepted ...................................................................................................... 30 6.5 Zero-filled order, cancel/replace request issued to decrease order qty ............ 31 6.6 Part-filled order, followed by cancel/replace request to decrease order qty, execution occurs whilst order is pending replace ..................................................... 32 6.7 Cancel/replace request (not for quantity change) is rejected as a fill has occurred .................................................................................................................. 33 6.8 Cancel/replace request sent whilst execution is being reported – the requested order qty exceeds the cum qty. Order is replaced then filled .................................... 34 6.9 Cancel/replace request sent whilst execution is being reported – the requested order qty equals the cum qty – order qty is amended to cum qty ............................ 35 6.10 Cancel/replace request sent whilst execution is being reported – the requested order qty is below cum qty – order qty is amended to cum qty ................................. 36 6.11 One cancel/replace request is issued which is accepted – another one is issued which is also accepted ................................................................................. 37 6.12 Unsolicited cancel of a part-filled order.......................................................... 38 6.13 Order rejected due to duplicate ClOrdID ....................................................... 38 6.14 Poss resend order ......................................................................................... 39 6.15 Immediate or Cancel order that cannot be immediately hit ............................ 39 6.16 Fully filled order (1 trade), followed by cancellation of execution. .................. 39 6.17 Fully filled order (>1 trade), followed by cancellation of 1 execution. ............. 40 6.18 Partially filled order (1 trade), followed by cancellation of execution and filling remaining quantity ................................................................................................... 40 6.19 Partially filled order (>1 trade), followed by cancellation of execution and filling remaining quantity ................................................................................................... 41 6.20 Short Sell Order and Filled ............................................................................ 41 6.21 Short Sell Order Amend(Accept and Reject) ................................................. 42 6.22 Short Sell Order Reject(violate the uptick rule) .............................................. 42 6.23 Self-Trade Prevention (Cancel Newest) ........................................................ 42 6.24 Self-Trade Prevention (Cancel Oldest) .......................................................... 43 6.25 Self-Trade Prevention (Decrement and Cancel) ............................................ 43 6.26 Self-Trade Prevention (Decrement and Cancel with Prevented Trade Price/Qty) ................................................................................................................ 45 6.27 VWAP order match and re-priced .................................................................. 45 6.28 VWAP order match and pre-trade cancel ...................................................... 46 6.29 Filled order – Chi-Select ................................................................................ 47 6.30 Pullback Order .............................................................................................. 48 7 Appendix B – CTS PEG Order Definitions ...................................................... 49 7.1 Primary (PRIM) Peg Type ............................................................................... 49 7.1.1 Basic Primary Peg ........................................................................................ 49 7.1.2 Primary Peg with Increments........................................................................ 49


© 2018 Chi-X Global Technology Page iii 18-Mar-2019/Version 1.6-40 CONFIDENTIAL

7.2 Mid (MID) Peg Type ........................................................................................ 50 7.2.1 Basic Mid Peg .............................................................................................. 50 7.3 Market (MKT) Peg Type .................................................................................. 50 7.3.1 Basic Market Peg ......................................................................................... 50 7.3.2 Market Peg with Increments ......................................................................... 51 7.4 Summary of the Effects of PegDifference on Order Prices .............................. 51 8 Appendix C – Chi-Select Order Types ............................................................ 52

FIGURES

Figure 1: Relevant Document(s) ............................................................................... 1 Figure 2: Revision History ......................................................................................... 2 Figure 3: Message Header Format to CTS ............................................................... 6 Figure 4: Message Header Format to Client ............................................................. 7 Figure 5: Message Trailer Format ............................................................................. 7 Figure 6: Logon Request .......................................................................................... 7 Figure 7: New Order Single .................................................................................... 14 Figure 8: Order Cancel Request ............................................................................. 14 Figure 9: Order Cancel / Replace Request ............................................................. 16 Figure 10: New Order Single Response ................................................................. 17 Figure 11: Order Cancel Acknowledgement ........................................................... 18 Figure 12: Order Cancel Reject .............................................................................. 19 Figure 13: Unsolicited Order Cancel / Replace Response ....................................... 20 Figure 14: Trade Report ......................................................................................... 22 Figure 15: Done for Day Order Report ..................................................................... 25 Figure 16: Peg Order Suspended Report ............................................................... 26 Figure 17: Peg Order Resume Report .................................................................... 26

© 2018 Chi-X Global Technology, LLC. All rights reserved.

The copyright in the whole and every part shall not be copied or reproduced in whole or any part in any manner or form or in or on any media without the prior written consent of Chi-X Global Technology (“Chi-Tech”).


© 2018 Chi-X Global Technology Page 1 18-Mar-2019/Version 1.6-40 CONFIDENTIAL

1 Introduction

This document is a protocol specification of the order and trade interface between the Chi-X Trading System (“CTS”) and the participants. The trading interface allows participants to submit order, replace / cancel orders as well as receiving executions from CTS.

CTS use the industry-wide adopted protocol: FIX – Financial Information eXhange protocol. It is an open message standard controlled by no single entity and can be structured to fulfil business requirements of different firms.

The standard documents of FIX protocol specification can be obtained from:

http://www.fixprotocol.org

This document provides the specific usage of the FIX protocol in CTS. Audiences should refer to the standard FIX protocol specification for basics, for instance, the data type representations etc.

1.1 Relevant documents

ITEM TITLE VERSION DATE

1 CTS-L3-D-021 CTS Trading Interface Specification 1.6 23-Dec-2009

Figure 1: Relevant Document(s)

1.2 Revision History

ITEM REVISION HIGHLIGHT DOCUMENT REFERENCE

CHANGE BY

1 Add OnBehalfOfCompID, DeliverToCompID 3.1.3, 3.2.3, 4.1, 4.2

Patrick

(version 1.6-10)

2 Remove ExecBroker 5.2.1.1 Patrick

(version 1.6-10)

3 Add TradeLiquidityIndicator 5.2.2.5 Patrick

(version 1.6-10)

4 Remove SecurityID 5.3.1.1, 5.3.2.1, 5.3.2.2

Patrick

(version 1.6-10)

5 Remove TradeDate 5.2.2.5 Eric

(version 1.6-11)

6 Clarify processing of Peg Different and Price field for peg order replace request

5.2.1.3 Eric

(version 1.6-11)

7 Add 3 examples for Short Sell Order 6.19, 6.20, 6.21

Eric

(version 1.6-11)

8 Add note for sponsored client trading session 5.2.1.1 Eric

(version 1.6-12)

9 Add ExecBorker 5.2.2.1 Eric

(version 1.6-12)

10 Changes description in TimeInForce(59) and add ClientID(109)

5.2.2.1 Eric (version 1.6-13)

11 Changes description in OrdStatus(5) with new possible value 5 – Replaced

5.2.2.1 Eric

(version 1.6-14)

12 Remove note for sponsored client, add PostOnly(8021).

5.2.1.1,5.2.2.1 Eric

(version 1.6-15)

13 Add Account(1), Add Max length for ClOrdID(11)

5.2.1.1,5.2.2.2,5.2.2.5

Eric

(version 1.6-16)

14 Add Max length for OrigClOrdID(41) 5.2.1.2,5.2.1.3 Eric

(version 1.6-17)

15 Update description of OrderQty(38), Price(44), MaxFloor(111) and PegDifference(211) about data format

5.2 Eric

(version 1.6-18)

http://www.fixprotocol.org/



16 Change the wording from “Consolidated Market BBO” to “Primary Market BBO”

7 Eric

(version 1.6-19)

17 Change OrderCapacity(47) in New Order Single Response to optional

5.2.2.1 Eric

(version 1.6-20)

18 Add Pegged Short Sell Order Type 5.2.1.1,5.2.1.3,7.5

Eric

(version 1.6-21)

19 Add Self-Trade Prevention (STP)

5.2,6.23,6.23,6.24

Eric

(version 1.6-22)

20 Change ExecInst(18) for Pegged Short Sell 5.2.1.1, 7.5 Eric (version 1.6-23)

21 Trade Status Message 5.2.1, 5.4

Eric (version 1.6-24)

22 STP returns Prevented Trade Price and Qty FOK supports STP

5.2.2.2, 5.2.2.5, 6.25

Eric

(version 1.6-25)

23 Remove Prevented Trade Price and Qty FOK supports STP tags from normal Cancel Ack Response

5.2.2.2 Dennis

(version 1.6-26)

24 Remove Pegged Short Sell from Trading Specification

5.2.1.1,

5.2.1.3, 7.5

Eric

(version 1.6-27)

25 Add VWAP order Remove tag 22 and 48 in trade report

3.1, 4.1

4.2, 5.2, 6.26, 6.27

Eric

(version 1.6-28)

26 Add CHIXSessionID(8114) and new value in TargetSubID(57) for Chi-Select. Correct example in 6.17 and 6.18

3.1.5, 4.1, 4.2, 5.2, 5.3, 6.17 and 6.18

Eric

(version 1.6-29)

27 Add Pullback Order 5.2.1.1, 5.2.1.3, 5.2.2.1

Calvin (version 1.6-30)

28 Rephrase Trade Session Status Message 5.4 Marco

(version 1.6-31)

29 Add 1 example for Pullback Order 6.29 Marco

(version 1.6-32)

30 Remove OSA exchange code 5.1, 5.1.1, 5.2, 5.4

Ivan

(version 1.6-33)

31 Update description of ExecID(17) 5.3.1.1, 5.3.2.1, 5.3.2.2

Ivan

(version 1.6-34)

32 Update OrdStatus(39), ExecType(150) in trade cancel reports Added additional sample on trade cancel

5.2.2.6, 5.2.2.8, 6.19

Ivan

(version 1.6-35)

33 Add TransactTime(60) to Order Cancel Acknowledgement

5.2.2.2 Ivan

(version 1.6-36)

34 Add OrderClassification(8060) 5.2.1.1,

5,2,2,1

Ivan

(version 1.6-37)

35 Add CashMargin(544) 5.2.1.1, 5.2.2.1,

5.2.2.6

Marco (version 1.6-38)

36 Update description of CashMargin(544) 5.2.1.1 Sam (version 1.6-39)

37 Update description of TransactTime(60) about nanosecond precision

3.2.6, 5.2.2.1,

5.2.2.2,

5.2.2.5,

5.2.2.6,

5.2.2.7,

5.2.2.8

5.2.2.9

Sam (version 1.6-40)

Figure 2: Revision History



2 CTS FIX Interface

FIX Protocol specification is a generic protocol whereas there can be possible implementations. This chapter describes the areas that CTS specific implementation of the FIX protocol on a high level.

2.1 Supported FIX Version

CTS trading interface supports FIX Version 4.2.

2.2 Network Transport

FIX was written to be independent of any specific communication protocol. In CTS, the network transport for the FIX Interface is TCP.

2.3 FIX Protocol Syntax

There are two FIX Protocol Syntax defined in the standard. CTS uses the “Tag=Value” syntax

2.4 Message Format1

The general format of a FIX message is a standard header followed by the message body fields and terminated with a standard trailer.

Each message is constructed of a stream of <tag>=<value> fields with a field delimiter between fields in the stream. Tags are of data type TagNum. All tags must have a value specified. Optional fields without values should simply not be specified in the FIX message. A Reject message is the appropriate response to a tag with no value.

Except where noted, fields within a message can be defined in any sequence (Relative position of a field within a message is inconsequential.) The exceptions to this rule are:

1. General message format is composed of the standard header followed by the body followed by the standard trailer.

2. The first three fields in the standard header are BeginString (tag #8) followed by BodyLength (tag #9) followed by MsgType (tag #35).

3. The last field in the standard trailer is the CheckSum (tag #10).

Field Delimiter:

All fields in a FIX message are terminated by a delimiter character. The non-printing, ASCII "SOH" (#001, hex: 0x01, referred to in this document as <SOH>), is used for field termination. Messages are delimited by the “SOH” character following the CheckSum field. All messages begin with the “8=FIX.x.y<SOH>” string and terminate with “10=nnn<SOH>“.

2.5 Data Types:

Please refer to the standard FIX protocol specification.

1 Part of this section is taken from the official FIX protocol specification, please refer to

www.fixprotocol.org



3 Configuration Information

Before a client can connect to the FIX trading interface, there are some configuration parameters that must be agreed between both parties.

3.1 FIX Client

The FIX client is responsible to initiate a TCP connection to the CTS FIX server.

3.1.1 SenderCompID

Clients must identify the session in the SenderCompID (49) field. The value of the SenderCompID must be approved by the CTS beforehand. This value is case sensitive and the maximum size is 32 characters.

3.1.2 TargetCompID

TargetCompID must identify the receiving firm, which is normal case is the owner of CTS. The administrator of CTS will provide the TargetCompID to the clients.

3.1.3 OnBehalfOfCompID

OnBehalfOfCompID (115) is used to identify firm originating message if the message was delivered by a third party like a Broker Service Provider or Execution Management System. And the third party firm identifier would be delivered in the SenderCompID field. This field always contains a valid Participant ID.

3.1.4 Encryption

CTS does not support encryption of FIX messages.

3.1.5 TargetSubID or Custom SessionID Tags

The session can be configured to use either TargetSubID(75) or Custom SessionID Tags, i.e. VWAPSessionID(8004) or CHIXSessionID(8114), to specify order for VWAP or Chi-Select markets. Clients should contact administrator of CTS to do the setup accordingly.

Note about TargetSubID(57):

The same TargetSubID(57) must be provided in Order Replace/Cancel Request message for the same order, otherwise the request will be rejected.

If client provides un-supported value in TargetSubID(57) tag, the request will be rejected (session level reject )

VWAPSessionID(8004) or CHIXSessionID(8114) in the incoming message will be ignored

Note about Custom SessionID Tags:

New Order Single supported either VWAPSessionID(8004) or CHIXSessionID(8114) tag, but not both.

VWAPSessionID(8004) or CHIXSessionID(8114) in Order Replace/Cancel Request message will be ignored because it cannot be changed.

TargetSubID(57) or SenderSubID(50) in incoming message are ignored

No TargetSubID(57) or SenderSubID(50) in outgoing message.



3.2 CTS Configuration

3.2.1 SenderCompID

The value the client will receive in the SenderCompID field from CTS will be the value originally supplied to CTS in the TargetCompID field in the logon message.

3.2.2 TargetCompID

The value the client will receive in the TargetCompID field from CTS will be the value originally supplied to CTS in the SenderCompID field in the logon message.

3.2.3 DeliverToCompID

DeliverToCompID (128) is used to identify the firm targeted to receive the message if the message is delivered by a third party like a Broker Service Provider or Execution Management System. And the third party firm identifier would be delivered in the TargetCompID field. Value in OnBehalfOfCompID (115) received from the client will be sent back in this field.

3.2.4 Addresses of FIX Servers

Administrator of CTS will provide clients with the following:

IP-addresses and port numbers of CTS FIX servers.

3.2.5 Heartbeat Interval

The default heartbeat interval for the FIX connection is set to 30 seconds unless otherwise agreed with the participants.

3.2.6 TransactTime

Each session can be configured to send TransactTime(60) Tags in either format YYYYMMDD-HH:MM:SS.sss or YYYYMMDD-HH:MM:SS.nnnnnn000 in CTS Order Entry Response Message. The millisecond format is used by default. Clients should contact administrator of CTS to do the setup accordingly if nanosecond format is preferred.



4 Session Management

This section describes session-level FIX messages sent between CTS and the clients.

In a general production CTS setup, multiple FIX servers are installed for each client. One of the FIX servers functions as a Primary while the others function as a Standby server. Clients should first initiate the session to the Primary FIX server. If the connection fails, clients should retry the primary connection after 30 seconds. If the primary re-connection is still not possible, client can connect to the standby server. For message recovery handling, please refer to section 4.8 Recovery

4.1 Message header format to CTS

CTS processes only the following fields in the message header and ignores all others:

TAG FIELD NAME REQ’D

COMMENTS

8 BeginString Y FIX.4.2

9 BodyLength Y Must be the second field in the message.

35 MsgType Y Must be the third field in the message.

34 MsgSeqNum Y See standard FIX protocol specification

43 PossDupFlag N Always required for retransmissions, whether prompted by the sending system or as the result of a resend request.

49 SenderCompID Y The value used must be recognized and agreed to by CTS

52 SendingTime Y Indicates the time the message was sent by the client.

56 TargetCompID Y Please use the value as provided by CTS administrator

57 TargetSubID N Values supported by CTS:

VWAP – Full Day VWAP session

VWAPAM – AM VWAP Session

VWAPPM – PM VWAP Session

CXJ2 - Chi-Select

Omitted for continuous trading

If session is configured using Custom SessionID tags, TargetSubID will be ignored.

97 PossResend N Required when message may be duplicate of another message sent under a different sequence number.

115 OnBehalfOfCompID N Required only if the message is sent via a third party and is present only in the order-related messages listed in Section 5.2 and 5.3.

Figure 3: Message Header Format to CTS

4.2 Message header format to Client

CTS processes only the following fields in the message header and ignores all others:


COMMENTS

8 BeginString Y FIX.4.2

9 BodyLength Y Must be the second field in the message.

35 MsgType Y Must be the third field in the message.

34 MsgSeqNum Y See standard FIX protocol specification

43 PossDupFlag N Always required for retransmissions, whether prompted by the sending system or as the result of a resend request.

49 SenderCompID Y The value originally supplied to CTS in the TargetCompID field in the logon message from the Client.

50 SenderSubID N Possible values:

VWAP– Full Day VWAP session VWAPAM – AM VWAP Session



VWAPPM – PM VWAP Session

CXJ2 – Chi-Select

Omitted for continuous trading

52 SendingTime Y Indicates the time the message was sent by CTS.

56 TargetCompID Y The value originally supplied to CTS in the SenderCompID field in the logon message from the Client.

97 PossResend N Required when message may be duplicate of another message sent under a different sequence number.

128 DeliverToCompID N Required only if the message is sent via a third party and is present only in the order-related messages listed in Section 5.2 and 5.3.

Figure 4: Message Header Format to Client

4.3 Message trailer format

CTS processes only the following fields in the message trailer and ignores all others:


COMMENTS

10 CheckSum Y (Always unencrypted, always last field in message)

Figure 5: Message Trailer Format

4.4 Logon

4.4.1 Logon Request

The logon message authenticates a user establishing a connection to CTS. The logon message must be the first message sent to CTS by client.

CTS processes only the following fields in the message trailer and ignores all others:


COMMENTS

Message Header Y MsgType=A

98 EncryptMethod Y Always unencrypted. Must send a value = 0

108 HeartBtInt Y Default value used by CTS is 30. Please set this to 30 unless otherwise agreed with CTS administrators.

Message Trailer Y

Figure 6: Logon Request

Notes:

The sequence number, on the initial logon for each trading day, must be set to “1”.

If a client receives a sequence number less than expected, the client must terminate their session immediately, and should then contact CTS administrator to correct the problem, as per the FIX protocol.

4.4.2 Logon Response

Once CTS receives a Logon request, it validates the SenderCompID and performs a recovery process (see section titled Recovery). No messages should be sent to CTS until a Logon message is received in reply from CTS.

When CTS returns a positive Logon response, the client can start performing the following:

Start the heartbeat timer



Start to Exchange message

4.4.3 Logon Failure

If the authentication fails, CTS shutdowns the connection and no Logout message is sent before the termination.

4.5 Administrative messages

This section describes the minimum requirements to keep the session alive and synchronized.

4.5.1 Heartbeat messages

CTS must receive a message from the client at least once in the heartbeat interval (default to 30 seconds) defined in the logon. If the session is idle and no message is received in two heartbeat interval, CTS considers the session is dead. A Logout message is sent to the client and the session is disconnected.

CTS sends a message at least once in the heartbeat interval.

4.5.2 Others

CTS handles the following administration messages:

Resend Request

Sequence Reset

Test Request

Please note that the tag OrigSendingTime (122) is ignored by CTS in all messages.

4.6 Logout Messages

The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of the logout message messages should be interpreted as an abnormal condition, for instance, network level disconnection.

There are other scenarios where the client’s FIX session would be disconnected, depending on the situation, CTS may or may not wait the logout response message from the client before terminating the connection:

Idle session with no message after two heartbeat intervals.

CTS administrator force logout upon client’s misbehaviour

CTS maintenance period.

4.7 Reject Messages

Reject messages sent by CTS includes the sequence number of the rejected message with the reject reason in the text field, whenever possible.

When CTS receives a message with a sequence number less than expected during normal session processing and the message lacks of a PossDupFlag field or with the PossDupFlag field set to “N”, the message is discarded and a Reject message is sent to the client.

4.8 Recovery

When a client reconnects after a break in the session during the same trading day, CTS begins the following recovery sequence:



If CTS receives a sequence number less than expected the session will be terminated immediately without sending a logoff. The client should contact CTS operators to correct the problem.

CTS transmits any unsent execution reports upon receipt of a Resend Request from the client for the missing sequence numbers. If trades occur while the FIX session is down, CTS outgoing sequence number will be higher than expected by the client.

When a FIX session is terminated, all open orders will remain open on CTS

It is the responsibility of the client to detect any message gaps after a connection break. If the incoming sequence number is greater than expected, a retransmission of the messages can be requested by sending the “Resend Request” to CTS.



5 Application Messages

This section discusses the application-level FIX messages sent and accepted by CTS.

5.1 Symbologies

CTS supports only the following stock naming identifiers in FIX messages (in order of preference):

1. Chi-X Symbol

2. QUICK

3. RIC

4. ISIN

5. Exchange Symbol (TSE)

5.1.1 Symbol Tags

When CTS receives a FIX application-level client message, it processes the symbol definition fields in the message in the following order to yield a valid security symbol:

If the client selects to use ISIN, QUICK or Exchange Symbol to identify securities, the client must:

1. Set the IDSource (22) field to ISIN (4), QUIK (3), or Exchange Symbol (8);

2. Put the ISIN value, QUICK code or Exchange Symbol into the SecurityID (48) field; and

3. Use the SecurityExchange (207) field to identify which market the ISIN, QUICK code or Exchange Symbol trades in. Client requests are rejected if SecurityExchange (207) is not specified for ISIN, QUIK or Exchange Symbol.

If the client selects to use RIC to identify stocks, the client must:

1. Set the IDSource (22) field to RIC (5);

2. Put the RIC code into the SecurityID (48) field.

If the IDSource (22) field is not set, CTS expects the Chi-X Symbol to exist in the Symbol (55) field.

If the IDSource (22) field is set, it is recommended to put the security code into the mandatory field Symbol (55) as well.

SecurityExchange (207) is not required for RIC and Chi-X Symbol since these symbols can uniquely identify securities listed in different exchanges. In FIX 4.2 SecurityExchange code for Tokyo Stock Exchange is:

“T” – Tokyo Stock Exchange

5.2 Order Entry

5.2.1 Client

CTS currently supports the New Order Single, Order Cancel Request, Order/Cancel Replace Request FIX messages.

5.2.1.1 New Order Single

In addition to the standard header and trailer, CTS processes only the following fields in a New Order Single message and ignores all others:




COMMENTS

Message Header Y MsgType=D

1 Account N It can be used by a trading participant to provide a broker cross reference. Max length is 10 characters.

11 ClOrdID Y Must be unique for each order throughout the trading day, across all stocks and sides from the same FIX Session ID. Max length is 32 characters

18 ExecInst N Values supported by CTS:

Pegging options (mutually exclusive)

P = Market Peg

R = Primary Peg

M = Mid-price Peg

Must be absent for VWAP order and limit order, i.e. OrdType(40)=2

21 HandlInst Y Instructions for order handling on CTS trading system.

Value supported by CTS:

1 = Automated execution order, private, no Broker intervention.

NOTE: Values other than 1 will cause the order to be rejected.

22 IDSource N Value supported by CTS:

3 = QUIK

4 = ISIN Number

5 = RIC 8 = Exchange Symbol

38 OrderQty Y Quantity of order. It is positive integer number and max value is 2147483647.

40 OrdType Y Values supported by CTS:

1 = Market (for VWAP order only)

2 = Limit

P = Pegged (requires ExecInst = M or R or P)

44 Price N Required for limit orders. Optional for pegged orders, indicating a limit price for the order.

It is positive decimal in format: "[max 12 digits whole number].[max 7 digits decimal place]"

It may contain leading zeros or trailing zeros. Max value is "100,000,000,000.0000000".

Must be absent for VWAP order.

47 OrderCapacity Y Values supported by CTS:

A = Agency single order

P = Principal

48 SecurityID N QUICK, RIC or ISIN depending upon the value of the IDSource (22).

54 Side Y Values supported by CTS:

1 = Buy 2 = Sell

5 = Sell short

6 = Sell short exempt

Sell Short is not applicable for pegged order, i.e. OrdType(40)=P.

55 Symbol Y Chi-X Symbol

59 TimeInForce N Absence of this field indicates a day order.

Values supported by CTS:

0 = Day – Day orders are in effect until the client cancels the order, or until the CTS trading system is shut down for maintenance 3 = Immediate or Cancel - As much of the order as possible must




COMMENTS

be executed immediately. Any part of the order that is not executed immediately gets cancelled. 4 = Fill Or Kill (FOK) – Fill the order in its entirety or cancel it immediately. 6 = Good Till Date (GTD) – Only supported for today’s trading date. This field must be used in conjunction with field ExpireTime (Field ID 126).

Values supported by VWAP order:

0 = Day – Day orders are in effect until the client cancels the order, or until the CTS trading system is shut down for maintenance

3 = Immediate or Cancel - As much of the order as possible in the next pre-match, outstanding order gets cancelled after the pre-match.

Values supported by Pullback order:

0 = Day – Day orders are in effect until the client cancels the order, or until the CTS trading system is shut down for maintenance 6 = Good Till Date (GTD) – Only supported for today’s trading date. This field must be used in conjunction with field ExpireTime (Field ID 126).

60 TransactTime Y Time this order request was initiated by client. This field is ignored by CTS.

110 MinQty N Minimum quantity of an order to be executed and only to be used for VWAP order.

It must conform to the security lot size.

111 MaxFloor N Reserve size order. Must be equal to or multiple of STU (Standard Trading Unit) Value of zero (hidden order) is not allowed.

Any other value supplied by the client will cause the order to be rejected.

It is positive integer number and max value is 2147483647.

Not supported by VWAP order.

126 ExpireTime N Time/Date of order expiration in GMT. Only valid when TimeInForce (59) = 6 (Good Till Date). Date must be today’s Trading Date.

Incorrect data results in a rejected order.


207 SecurityExchange N Required when the IDSource (Field ID 22) equals ISIN (4), QUIK (3) or Exchange Symbol (8)

Note: uses to specify the Market for the ISIN number or the QUICK code.

“T” = Tokyo Stock Exchange

211 PegDifference N Amount (assigned) added to the price of the peg

It is decimal number in format: "[sign character][max 12 digits whole number].[max 7 digits decimal place]"

It may contain leading zeros or trailing zeros. Max value is "100,000,000,000.0000000" and Min value is "-100,000,000,000.0000000"

Not supported by VWAP order and Pullback order.




COMMENTS

544 CashMargin N 1 = Cash

Absence of this field indicates Cash order.

Any other value supplied by the client will cause the order to be rejected.

Ignored for VWAP order.

7713 NoTradeFeat N Control interaction between two orders when self-trade prevention occurs.

“N” = Cancel Newest Order (the incoming order is cancelled), this is also the default option if tag is not specified.

“O” = Cancel Oldest Order (the resting order is cancelled and the new order will continue to be processed) “D” = Decrement and Cancel (the quantity of the larger order will be reduced, and the smaller order(s) are cancelled)

If two STP orders with different NoTradeFeat, the one specified in the incoming order will take effect.


8004 VWAPSessionID N Specify the VWAP session for the order. Supported values:

DAY – Full Day VWAP session

AM – AM VWAP Session

PM – PM VWAP Session

This field should be omitted for continuous trading.

This field should only be used if client agreed with administrator of CTS to use this tag instead TargetSubID for VWAP order. Otherwise, this field will be ignored by system.

Not supported by Pullback order.

8021 PostOnly N This field indicates Order is Post only, i.e. never take liquidity, and it must be used in conjunction with OrdType(40) equals 2(Limit) and TimeInForce(59) cannot be IOC(3) and FOK(4).


P = Post or cancel

Not supported by VWAP order

8060 OrderClassification N Specify the Order Classification. Supported values:

1 = Non Low Latency Trading (Auto) 2 = Non Low Latency Trading (Manual)

3 = Market Making Strategy

4 = Arbitrage Strategy

5 = Directional Strategy

6 = Other Strategy

8105 Pullback N Identified as PullBack Order. It must be used in conjunction with OrdType(40) equals 2(limit) and TimeInForce(59) must be either DAY(0) or GTD(6).


P – Cancel On Primary BBO reach

Not supported by VWAP order and Chi-Select order.

8114 CHIXSessionID N Specify the trading session for the order. Supported values:

CXJ2 – Chi-Select

This field should be omitted for continuous trading.




COMMENTS

Not supported by Pullback order.

8174 NoSelfTrade N Identified as Self-Trade Prevention (STP) order.

Orders from the same participant with the same NoSelfTrade key will not be allowed to match with each other.

For the continuous trading, the action taken to avoid Self-Trade Prevention is controlled by NoTradeFeat(7713). If NoTradeFeat(7713) is not supplied, NoTradeFeat will be set to “N” – Cancel Newest Order.

For the VWAP order, there is no action taken after self-trade prevented, the NoTradeFeat(7713) is just ignored.

It is positive integer and max value is 2147483647.

It is applicable for FOK order as well.

Message Trailer Y

Figure 7: New Order Single

5.2.1.2 Order Cancel Request

CTS processes a Cancel Request quantity as the full remaining quantity. CTS does not support partial cancels.

In addition to the standard header, trailer, and CTS accepted symbol definition fields, CTS processes only the following fields in an Order Cancel Request message, and ignores all others:


COMMENTS

Message Header Y MsgType=F

11 ClOrdID Y Unique ID of cancel request assigned by the client.

Max length is 32 characters

41 OrigClOrdID Y Unique ID of original order to be cancelled as assigned by client.


54 Side Y For conformance to FIX specification, not processed by CTS.

55 Symbol Y For conformance to FIX specification, not processed by CTS.

60 TransactTime Y Time this order request was initiated by client.

Message Trailer Y

Figure 8: Order Cancel Request



5.2.1.3 Order Cancel / Replace Request

Cancel/Replace requests are handled as per the FIX protocol. Cancel/Replace requests that cannot be processed are rejected using the Cancel Reject message; If CTS rejects the Cancel/Replace request, the ClOrdID of the replacement order is inserted in the ClOrdID field of the Cancel Reject message for identification purposes.

Chi-Select is restricted for certain order types(please refer to Appendix C) which order replace is not applicable. Therefore, Cancel/Replace request for Chi-Select will be rejected.

In addition to the standard header, trailer, and CTS accepted symbol definition fields, CTS processes only the following fields in an Order Cancel/Replace Request message, and ignores all others.


COMMENTS

Message Header Y MsgType=G

11 ClOrdID Y Unique ID of replacement order as assigned by the client.


18 ExecInst N For a replacement order, this field must be populated anew (i.e. original order values will not be brought forward to replacement order unless redefined within this message).

21 HandlInst Y For conformance to FIX specification, not processed by CTS.

38 OrderQty Y Note: The quantity in the Cancel/Replace message is the total order quantity, as defined by the FIX protocol and total order quantity semantics.

40 OrdType Y For conformance to FIX specification, not processed by CTS.

41 OrigClOrdID Y Unique ID of order to be replaced as assigned by client.


44 Price N Required for limit orders. Optional for pegged orders, indicating a limit price for the order.

It is positive decimal in format:

"[max 12 digits whole number].[max 7 digits decimal place]"

It may contain leading zeros or trailing zeros. Max value is "100,000,000,000.0000000".

Must be absent for VWAP order.

54 Side Y For conformance to FIX specification, not processed by CTS.

55 Symbol Y For conformance to FIX specification, not processed by CTS.

59 TimeInForce N

60 TransactTime Y Time this order request was initiated by client.

110 MinQty N This field cannot be modified by Cancel/Replace Request. Client must provide the same value (or absent) as New Order Single for that order; otherwise, the Cancel/Replace Request will be rejected.

111 MaxFloor N Not supported by VWAP order

126 ExpireTime N If the client attempts to revise the expiration time to a time prior than the current time, the Cancel/Replace Request will be rejected.


211 PegDifference N Amount (signed) added to the price of the peg

It is decimal number in format:

"[sign character][max 12 digits whole number].[max 7 digits decimal place]"

It may contain leading zeros or trailing zeros. Max value is "100,000,000,000.0000000" and Min value is "-



100,000,000,000.0000000"

Not supported by VWAP order and Pullback order.

7713 NoTradeFeat N Refer to New Order Single message for description.

If this tag is omitted, reset to default value N = Cancel Newest.


8174 NoSelfTrade N Refer to New Order Single message for description.

If this tag is omitted, the value of NoSelfTrade in the original order will be cleared, i.e. reset to normal order without STP.

Message Trailer Y

Figure 9: Order Cancel / Replace Request

Please note that for replacing a peg order, if Peg Difference or Price (Limit price of the peg order) is not provided, the original Peg Difference and Price will be reset to zero.

5.2.2 CTS Order Entry Response Messages

5.2.2.1 New Order Single Response

In addition to the standard header, trailer and CTS accepted symbol definition fields, CTS provides the following fields in an Execution Report message in response to a New Order Single request.


COMMENTS

Message Header Y MsgType=8

1 Account N CTS populates this field with the original value supplied in the New Order Single message.

6 AvgPx Y The average price of all shares traded. Defaulted to 0 for order acknowledgements.

11 ClOrdID N CTS will always populate this field with the original value assigned by client in the New Order Single message.

14 CumQty Y The total shares traded against the original order quantity. Defaulted to 0 for order acknowledgements.

17 ExecID Y A unique identifier of execution message as assigned by CTS.

20 ExecTransType Y 0 = New

31 LastPx Y Default to 0 for order acknowledgements.

32 LastShares Y Default to 0 for order acknowledgements.

37 OrderID Y CTS order reference number.

38 OrderQty Y Quantity of original order.

39 OrdStatus Y 0 = New

5 = Replaced

8 = Rejected

40 OrdType N Values supported by CTS:

1 = Market (for VWAP order only)

2 = Limit

P = Pegged (requires ExecInst of M, R or P)

44 Price N Limit Price

47 OrderCapacity N Refer to New Order Single message for description

54 Side Y

55 Symbol Y CTS will always populate this field with the original value assigned by client in the New Order Single message. However, if IDSource and SecurityID are specified and they refer to a valid Chi-X symbol, the Chi-X symbol will be populated to this Symbol field.

58 Text N Reason for rejecting an order if it is defined.

59 TimeInForce N Will be returned with the original value if supplied in the original New Order Single message. 0 = Day will be returned if not



supplied.

60 TransactTime N Time and date of execution (expressed as GMT).

If nanosecond format is enabled by the administrator:

YYYYMMDD‐HH:MM:SS.nnnnnn000

76 ExecBroker N Identifier of a trading participant

109 ClientID N Internal connection ID of the client assigned by CTS

110 MinQty N

111 MaxFloor N

150 ExecType Y 0 = New

8 = Rejected

151 LeavesQty Y Amount of shares open for further execution.

544 CashMargin N Will be returned if valid value is supplied in the original New Order Single message.


7713 NoTradeFeat N Will be returned with original value if supplied in the original New Order Single message or the default value if NoSelfTrade(8174) supplied.

Refer to New Order Single message for description

8004 VWAPSessionID N CTS will always populate this field with the original value assigned by client in the New Order Single message.

8021 PostOnly N P = Post or cancel

8060 OrderClassification N Will be returned if valid value is supplied in the original New Order Single message.

8105 Pullback N Value supported by CTS: P – Cancel On Primary BBO reach

8114 CHIXSessionID N CTS will always populate this field with the original value assigned by client in the New Order Single message.

8174 NoSelfTrade N Will be returned if supplied in the original New Order Single message.

Message Trailer Y

Figure 10: New Order Single Response



5.2.2.2 Order Cancel Acknowledgement

In addition to the standard header, trailer and CTS accepted symbol definition fields, CTS provides the following fields in an Execution Report message in response to an order cancel request that is accepted by CTS or when an order is cancelled by CTS.


COMMENTS


6 AvgPx Y The average price of all shares traded.

11 ClOrdID N CTS populates this field with the value assigned by the client in the corresponding Order Cancel Request message

14 CumQty Y The total shares traded against the original order quantity.

17 ExecID Y A unique identifier of execution message as assigned by CTS

20 ExecTransType Y 0 = New.

31 LastPx Y Default to 0 for order cancel acknowledgements.

32 LastShares Y Default to 0 for order cancel acknowledgements.



39 OrdStatus Y 4 = Cancelled.

40 OrdType N

41 OrigClOrdID Y Unique ID of original order to be cancelled as assigned by client.

44 Price N Limit Price

Required for limit orders only.

54 Side Y

55 Symbol Y CTS will always populate this field with the original value assigned by client in the request. However, if IDSource and SecurityID are specified and they refer to a valid Chi-X symbol, the Chi-X symbol will be populated to this Symbol field.

58 Text N Reason for unsolicited cancel

59 TimeInForce N Will be returned if supplied in original New Order Single message.





150 ExecType Y 4 = Cancelled.

151 LeavesQty Y 0



8175 NoSelfTradeOrderNum

N If the order is cancelled due to the STP, this tag will be filled with the Chi-X Order ID <37> of the participant’s contra order that would have matched.

Message Trailer Y

Figure 11: Order Cancel Acknowledgement



5.2.2.3 Order Cancel Reject

In addition to the standard header, trailer and CTS accepted symbol definition fields, CTS provides the following fields in a Cancel Reject message in response to an order cancel request that is rejected.


COMMENTS


11 ClOrdID Y CTS populates this field with the value assigned by the client in the corresponding Order Cancel Request message


39 OrdStatus Y OrdStatus value after this cancel reject is applied.

41 OrigClOrdID Y ClOrdID that could not be canceled.

58 Text N The reason for the cancel reject.

434 CxlRejResponseTo Y Type of request to which this is a response:

1=Order Cancel Request

2=Order Cancel/Replace request

Message Trailer Y

Figure 12: Order Cancel Reject

5.2.2.4 Cancel / Replace Response

Please refer to the section “New Order Single Response” for how CTS responds to Cancel/Replace requests as per the FIX protocol.

5.2.2.5 Unsolicited Cancel Replace Response

An unsolicited order cancel/replace response message is generated if the quantity of order reduced due to self-trade prevention under NoTradeFeat(7713) = D. This message is applicable to continuous trading only (but not VWAP order).

In addition to the standard header, trailer and Chi-X accepted symbol definition fields; Chi-X provides the following fields in an Execution Report message:


COMMENTS


1 Account N CTS populates this field with the original value supplied

6 AvgPx Y The average price of all shares traded. Defaulted to 0 for order acknowledgements.

11 ClOrdID N CTS will always populate this field with the original value assigned by client

14 CumQty Y The total shares traded against the original order quantity. Defaulted to 0 for order acknowledgements.

17 ExecID Y A unique identifier of execution message as assigned by CTS.

20 ExecTransType Y 0 = New

31 LastPx Y Default to 0 for Unsolicited Order Cancel / Replace Response.

32 LastShares Y Default to 0 for Unsolicited Order Cancel / Replace Response.



39 OrdStatus Y 5 = Replaced

40 OrdType N Chi-X will always populate this field with the original value assigned by trading participant in the request.

41 OrigClOrdID N Same as ClOrdID

44 Price N Refer to New Order Single message for description


54 Side Y

55 Symbol Y

59 TimeInForce N Will be returned with the original value if supplied in the original



New Order Single message. 0 = Day will be returned if not supplied.




76 ExecBroker N Identifier of a trading participant


111 MaxFloor N Will be returned if supplied in the original New Order Single message and OrdStatus=0.

126 ExpireTime N

150 ExecType Y D = Restated


211 PegDifference N

378 ExecRestatementReason

Y 5 = PartialDeclineOfOrderQty

7713 NoTradeFeat N Refer to New Order Single Response message for description

7903 PreventedTradePx N Price of the trade which was prevented by Self Trade Prevention (“Decrement an Cancel” rule)

7904 PreventedTradeQty N Quantity of the trade which was prevented by Self Trade Prevention (“Decrement and Cancel” rule)

7905 PreventedLiquidityIndicator

N Liquidity Indicator of the trade which was prevented by Self Trade Preventation (“Decrement and Cancel” rule). Possible value:

A = Order added liquidity

R = Order removed liquidity


8174 NoSelfTrade N Refer to New Order Single Response message for description

8175 NoSelfTradeOrderNum

N If the order is unsolicited replaced due to the STP, this tag will be filled with the Chi-X Order ID(37) of the participant’s contra order that would have matched.

Message Trailer Y

Figure 13: Unsolicited Order Cancel / Replace Response

5.2.2.6 Trade Report – Continuous Trading and Chi-Select

CTS sends your trade reports via the Execution Report messages. The trade report provides relay fill information as orders trade, including: average price of shares traded; total shares traded against the original order quantity; transaction time; and trade date. Please note that this does not include settlement information such as commission or tax information.

NOTE: The ExecID is considered to be the unique identifier of an execution message by CTS, as per the FIX protocol. It is the client’s responsibility to detect and appropriately process possible duplicate ExecIDs, regardless of whether the PossResend flag has been set on the message or not.

In addition to the standard header, trailer, and CTS accepted symbol definition fields, CTS provides only the following fields in an Execution Report:



TAG FIELD NAME REQ’D COMMENTS


1 Account N CTS will always populate this field with the original value assigned in the New Order Single message.

6 AvgPx Y Average price of shares traded.

11 ClOrdID N CTS will populate this field with the ClOrdID from the current state of the order

14 CumQty Y Total shares traded against the original order quantity.


19 ExecRefID N Used in a trade cancel message (i.e. ExecTransType = 1) to refer to the previous Execution Report to which the current message applies.

20 ExecTransType Y Values supported by :

0 = New to indicate a trade report

1 = Cancel to indicate a trade cancel

29 LastCapacity N Supported values are

1 = Agent 2 = Cross as agent

3 = Cross as principal

4 = Principal

Values of 2 or 3 essentially indicate that the client has executed again themselves.

31 LastPx Y Price of shares bought or sold on this fill.

32 LastShares Y Quantity of shares bought or sold on this fill.



39 OrdStatus Y 0 = New (when the only remaining fill on a live order is cancelled) 1 = Partially filled

2 = Filled

3 = Done for day

4 = Cancelled


2 = Limit P = Pegged (requires ExecInst of M, R or P)

44 Price N Limit Price Required for limit orders only.



1 = Buy 2 = Sell

5 = Sell short


55 Symbol Y CTS will always populate this field with the original value assigned by client in the request.

59 TimeInForce N Refer to New Order Single message for description





150 ExecType Y 0 = New (when the only remaining fill on a live order is cancelled) 1 = Partially filled

2 = Filled

3 = Done for day

4 = Cancelled


544 CashMargin N Will be returned if value is supplied in the original New Order Single message.


9882 TradeLiquidityIndicator N A = Order added liquidity



R = Order removed liquidity

Message Trailer Y

Figure 14: Trade Report

5.2.2.7 Trade Report – VWAP Pre-trade

When VWAP order matched, CTS sends the trade report - VWAP Pre-Trade via the Execute Report and the base price is used as trade price.









19 ExecRefID N Used in a trade cancel message (i.e. ExecTransType = 1) to refer to the previous Execution Report to which the current message applies.


0 = New to indicate a trade report


1 = Agent

2 = Cross as agent


4 = Principal Values of 2 or 3 essentially indicate that the client has executed again themselves.

31 LastPx Y The indicative price, i.e. the base price of the security




39 OrdStatus Y 1 = Partially filled

2 = Filled

4 = Cancelled


1 = Market (VWAP order only)



1 = Buy

2 = Sell

5 = Sell short








150 ExecType Y 1 = Partially filled

2 = Filled

4 = Cancelled



Message Trailer Y



5.2.2.8 Trade Cancel – VWAP Pre-trade cancel









19 ExecRefID N Refer to the previous Execution Report to the trade being cancelled.


1 = Cancel


1 = Agent

2 = Cross as agent


4 = Principal


31 LastPx Y Always 0

32 LastShares Y Always 0



39 OrdStatus Y 0 = New (when the only remaining fill on a live order is cancelled)

1 = Partially filled 2 = Filled

3 = Done for day

4 = Cancelled





1 = Buy

2 = Sell

5 = Sell short








150 ExecType Y 0 = New (when the only remaining fill on a live order is cancelled) 1 = Partially filled

2 = Filled

3 = Done for day

4 = Cancelled





Message Trailer Y

5.2.2.9 Trade Correction - VWAP Re-price

After the VWAP price determined, CTS sends Trade Correction Report to update the Pre-trade with the final trade price.









19 ExecRefID N Used to refer to the previous Execution Report to which the current message applies.


2 = Correct


1 = Agent

2 = Cross as agent


4 = Principal


31 LastPx Y Price of shares bought or sold on this fill, i.e. VWAP Price




39 OrdStatus Y 1 = Partially filled

2 = Filled

4 = Cancelled





1 = Buy

2 = Sell

5 = Sell short








150 ExecType Y 1 = Partially filled

2 = Filled

4 = Cancelled



Message Trailer Y



5.2.2.10 Unsupported FIX Messages

Aside from messages mentioned in this document, CTS does not support any other FIX message types.

5.3 Order Status

5.3.1 Done For Day Order Status Messages

At the end of Continuous Trading Session, outstanding orders will be cancelled and reported by CTS to clients.

5.3.1.1 Done For Day Order Report

CTS sends done for day order report via the Execution Report messages.


COMMENTS






20 ExecTransType Y 3 = Status



39 OrdStatus Y 3 = Done for day

47 OrderCapacity N Refer to New Order Single message for description.


1 = Buy

2 = Sell

5 = Sell short



150 ExecType Y 3 = Done for day

151 LeavesQty Y 0


Message Trailer Y

Figure 15: Done for Day Order Report

5.3.2 CTS Peg Order Status Messages

When there is problem with reference price source so that pricing information from primary exchanges are not available, corresponding peg order will be suspended from trading until reference price resumes.

5.3.2.1 Peg Order Suspended Report

CTS sends peg order suspended report via the Execution Report messages.


COMMENTS








20 ExecTransType Y 3 (Status)



39 OrdStatus Y 9 = Suspended


54 Side Y Values supported by CTS: 1 = Buy

2 = Sell

5 = Sell short



150 ExecType Y 9 = Suspended

151 LeavesQty Y OrderQty - CumQty


Message Trailer Y

Figure 16: Peg Order Suspended Report

5.3.2.2 Peg Order Resume Report

CTS sends you peg order resume report via the Execution Report messages.


COMMENTS






20 ExecTransType Y 3 = Status



39 OrdStatus Y Last order status before suspended



1 = Buy

2 = Sell

5 = Sell short



150 ExecType Y D = Restated

151 LeavesQty Y OrderQty - CumQty

378 ExecRestatementReason

N 3 = Repricing of order


Message Trailer Y

Figure 17: Peg Order Resume Report

5.4 Trade Session Status

If a trading session is enabled for receiving the Trade Session Status message, CTS sends unsolicited “Trading Session Status” message when market open or close.


Message Header Y MsgType=h

58 Text

336 TradingSessionID Y Identifier for trading session (Market)




Valid values:

TYO

325 Unsolicitedindicator Always Y

Y = Message is being sent unsolicited

339 TradeSesMod Y Trading Session Mode

Valid values:

1 = Testing

2 = Simulated

3 = Production

340 TradeSesStatus Y State of the trading session.

Values:

2 = Open

3 = Closed

Message Trailer Y



6 Appendix – Order State Change Matrices

6.1 Filled order

Time Message Received

(ClOrdID, OrigClOrdID)

Message Sent (ClOrdID, OrigClOrdID)

Exec Type

OrdStatus Exec Trans Type

Order Qty

Cum Qty

Leaves

Qty

Last Shares

Comment

1 New Order(X) 10000

2 Execution(X) Rejected

Rejected New 10000 0 0 0 If order is rejected

2 Execution(X) New New New 10000 0 10000 0

3 Execution(X) Partial Fill

Partially Filled

New 10000 2000 8000 2000 Execution of 2000


Partially Filled

New 10000 3000 7000 1000 Execution of 1000

5 Execution(X) Fill Filled New 10000 10000 0 7000 Execution of 7000

6.2 Cancel request issued for a zero-filled order




Exec Type


Order Qty

Cum Qty

Leaves

Qty

Last Shares

Comment


2 Execution(X) Rejected Rejected New 10000 0 0 0 If order is rejected


3 Cancel Request(Y,X)

10000

4 Cancel Reject (Y,X)

New 10000 If rejected

4 Execution (Y,X)

Canceled

Canceled New 10000 0 0 0



6.3 Cancel request issued for a part-filled order – executions occur whilst cancel request is active




Exec Type


Order Qty

Cum Qty

Leaves

Qty

Last Shares

Comment





Partially Filled

New 10000 2000 8000 2000 Execution for 2000


10000


Partially Filled

New 10000 5000 5000 3000 Execution for 3000. This execution passes the cancel request on the connection

5 Cancel Reject

(Y,X)

Partially Filled

10000 If request is rejected


Partially Filled

New 10000 6000 4000 1000 Execution for 1000 whilst order is pending cancel

6 Execution (Y,X)

Canceled

Canceled New 10000 6000 0 0 ‘Canceled’ order status takes precedence over ‘partially filled’ order status



6.4 Cancel request issued for an order that becomes filled before cancel request can be accepted




Exec Type


Order Qty

Cum Qty

Leaves

Qty

Last Shares

Comment





Partially Filled



10000


Partially Filled

New 10000 5000 5000 3000 Execution for 3000. This execution passes the cancel request on the connection

5 Cancel Reject

(Y,X)

Partially Filled


6 Execution(X) Fill Filled New 10000 10000

0 5000 Execution for 5000 whilst order is pending cancel. ‘Pending cancel’ order status takes precedence over ‘filled’ order status


Filled 10000 Cancel request rejected Text=ORDER NOT FOUND / NOT OPEN



6.5 Zero-filled order, cancel/replace request issued to decrease order qty




Exec Type


Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment




3 Replace Request(Y,X)

9000 Request to decrease order qty to 9000


New 10000 If rejected by trader

4 Execution (Y,X)

Replace Replaced New 9000 0 9000 0 ‘Replaced’ order status takes precedence over ‘new’ order status

5 Execution (Y) Partial Fill

Partially Filled



Partially Filled




6.6 Part-filled order, followed by cancel/replace request to decrease order qty, execution occurs whilst order is pending replace




Exec Type


Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment





Partially Filled



8000 Request decrease in order quantity to 8000


Partially Filled


5 Execution (X) Partial Fill

Partial Fill New 10000 1100 8900 100 Execution for 100 before cancel/replace request is responded to

6 Cancel Reject

(Y,X)

Partially Filled


6 Execution (Y,X)

Replace Partially Filled

New 8000 1100 6900 0 ‘Partially filled’’ order status takes precedence over ‘replaced’ order status

8 Execution(Y) Fill Filled New 8000 8000 0 6900 Execution for 6900



6.7 Cancel/replace request (not for quantity change) is rejected as a fill has occurred




Exec Type


Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment





Partially Filled



10000

4 Execution (X) Fill Filled New 10000 10000

0 9000 Execution for 9000 – the replace request message and this execution report pass each other on the connection


Filled 10000 Text=ORDER NOT FOUND / NOT OPEN



6.8 Cancel/replace request sent whilst execution is being reported – the requested order qty exceeds the cum qty. Order is replaced then filled

Time Message Received (ClOrdID, OrigClOrdID)

Message Sent


Exec

Type

OrdStatus Exec

Trans Type

Order

Qty

Cum

Qty

Leaves

Qty

Last

Shares

Comment





Partially Filled



8000 Request a decrease order quantity to 8000 (leaving 7000 open)


Partially Filled

New 10000 1500 8500 500 Execution for 500 sent. Replace request and this execution report pass each other on the connection


Partially Filled

New 10000 1600 8400 100 Execution for 100 occurs before cancel/replace request is accepted


Partially Filled


6 Execution (Y,X)


New 8000 1600 6400 0 ‘Partially filled’ order status takes precedence over ‘replaced’ order status. Replace is accepted as requested order qty exceeds cum qty

7 Execution (Y) Fill Filled New 8000 8000 0 6400 Execution for 6400.



6.9 Cancel/replace request sent whilst execution is being reported – the requested order qty equals the cum qty – order qty is amended to cum qty


Message Sent


Exec

Type

OrdStatus Exec

Trans Type

Order

Qty

Cum

Qty

Leaves

Qty

Last

Shares

Comment





7000 Client wishes to amend order qty to 7000 shares


Partially Filled

New 10000 7000 3000 7000 Execution for 7000 - the replace message and this execution report pass each other on the connection

4 Execution (Y,X)

Replace Filled New 7000 7000 0 0 The replace request is interpreted as requiring the balance of the order to be canceled – the ‘filled’ order status takes precedence over ‘canceled’ or ‘replaced’



6.10 Cancel/replace request sent whilst execution is being reported – the requested order qty is below cum qty – order qty is amended to cum qty


Message Sent


Exec

Type

OrdStatus Exec

Trans Type

Order

Qty

Cum

Qty

Leaves

Qty

Last

Shares

Comment





7000 Client wishes to amend order qty to 7000 shares


Partially Filled

New 10000 8000 2000 8000 Execution for 8000 - the replace message and this execution report pass each other on the connection

4 Execution (Y,X)

Replace Filled New 8000 8000 0 0 The replace request is interpreted as requiring the balance of the order to be canceled – the ‘filled’ order status takes precedence over ‘canceled’ or ‘replaced’



6.11 One cancel/replace request is issued which is accepted – another one is issued which is also accepted




Exec Type

OrdStatus Exec Trans

Type

Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment





Partially Filled



8000 Request decrease in order quantity to 8000, leaving 7000 open


Partially Filled


6 Execution (Y,X)


New 8000 1500 6500 0 ‘Partially filled’ order status takes precedence over ‘replaced’ order status


Partially Filled


8 Replace Request(Z,Y)

6000 Request decrease in order quantity to 6000, leaving 2500 open

9 Execution (Z,Y)


New 6000 3500 2500 0 ‘Partially filled’ order status takes precedence over ‘replaced’ order status

10 Execution(Z) Fill Filled New 6000 6000 0 2500 Execution for 2500



6.12 Unsolicited cancel of a part-filled order




Exec Type


Type

Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment





Partially Filled


4 CTS compliance personnel verbally agrees to cancel order

5 Execution(X) Canceled

Canceled New 10000 1000 0 0 CTS signifies that order has been canceled - ExecRestatementReason = Verbal change

6.13 Order rejected due to duplicate ClOrdID




Exec Type


Type

Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment




Partially Filled


4 New Order(X) 10000 Order submitted with the same order id

5 Execution(X) Rejected Partially Filled

New 10000 1000 9000 0 OrdRejReason = duplicate order



6.14 Poss resend order




Exec Type


Type

Order Qty

Cum Qty

Leaves Qty

Last Shares

Comment



3 New Order(X) 10000 PossResend=Y

4 Execution(X) New New Status 10000 0 10000 Because order X has already been received, confirm back the current state of the order. Last shares not required when ExecTransType = Status

5 New Order(Y) 15000 PossResend=Y

6 Execution(Y) New New New 15000 0 15000 0 Because order Y has not been received before, confirm back as a new order.

6.15 Immediate or Cancel order that cannot be immediately hit



Exec

Type

OrdStatus Exec

Trans Type

Order

Qty

Cum

Qty

Leaves

Qty

Last

Shares

Comment

1 New Order(X) 10000 Order is IOC



3 Execution(X) Partial Fill Partially Filled


4 Execution(X) Canceled Canceled New 10000 1000 0 0 If order cannot be immediately hit

6.16 Fully filled order (1 trade), followed by cancellation of execution.



Message Sent


Exec Type


Order Qty

Cum Qty

Leaves

Qty

AvgPx Last Shares

Last Px

ExecId (ExecRefID)

Comment




2 Execution(X) Rejected Rejected New 10000 0 0 0 A If order is rejected

2 Execution(X) New New New 10000 0 10000 0 0 B


0 100 10000 100 C Execution for 10000 @ 100

4 Execution(X) Fill Filled Cancel

10000 0 0 0 0 0 D (C) Cancel execution for 10000

6.17 Fully filled order (>1 trade), followed by cancellation of 1 execution.



Message Sent


Exec Type


Order Qty

Cum Qty

Leaves

Qty

AvgPx Last Shares

Last Px

ExecId (ExecRefID)

Comment





Partially Filled

New 10000 8000 2000 100 8000 100 C Execution for 8000 @ 100


0 100 2000 100 D Execution for 2000 @ 100

5 Execution(X) Fill Filled Cancel

10000 8000 0 100 0 0 E (D) Cancel execution for 2000

6.18 Partially filled order (1 trade), followed by cancellation of execution and filling remaining quantity



Exec

Type

OrdStatus Exec

Trans Type

Order

Qty

Cum

Qty

Leaves Qty

AvgPx Last

Shares

Last

Px

ExecId (ExecRefID)

Comment





Partially Filled


4 Execution(X) New New Cancel 10000 0 2000 0 0 0 D (C) Cancel execution for 8000

5 Execution(X) Fill Filled New 10000 2000 0 100 2000 100 E Execution for 2000 @ 100



6.19 Partially filled order (>1 trade), followed by cancellation of execution and filling remaining quantity



Message Sent


Exec Type


Order Qty

Cum Qty

Leaves

Qty

AvgPx Last Shares

Last Px

ExecId (ExecRefID)

Comment





Partially Filled



Partially Filled

New 10000 9000 1000 100 2000 100 D Execution for 2000 @ 100


Partially Filled

Cancel 10000 0 1000 0 0 0 E (D) Cancel execution for 2000

6 Execution(X) Fill Filled New 10000 8000 0 100 1000 100 F Execution for 1000 @ 100

6.20 Short Sell Order and Filled


Message Sent


Exec

Type

OrdStatus Side Exec

Trans Type

Order

Qty

Cum

Qty

Leaves

Qty

Last

Shares

Comment

1 New Order(X) Sell Short

10000




Partially Filled

New 10000 1000 9000 1000 Execution of 1000


Partially Filled

New 10000 3000 7000 2000 Execution of 2000

5 Execution(X) Fill Filled New 10000 10000 0 7000 Execution of 7000



6.21 Short Sell Order Amend(Accept and Reject)




Exec Type

OrdStatus Side Exec Trans Type

Price Text Comment

1 New Order(X) Sell Short

100

2 Execution(X) Rejected Rejected New If order is rejected

2 Execution(X) New New New 100


Sell Short

90 Request to change the order price to 90


New SHORT SELL PRICE VALUE INVALID

If order is rejected ( violate the uptick rule)

4 Execution (Y,X)

Replace Replaced Sell Short

New 90 ‘Replaced’ order status takes precedence over ‘new’ order status

6.22 Short Sell Order Reject(violate the uptick rule)


Message Sent


Exec

Type

OrdStatus Side Exec

Trans Type

Text Comment

1 New Order(X)

Sell Short

2 Execution(X) Rejected Rejected New SHORT SELL PRICE VALUE INVALID If order is rejected ( violate the uptick rule)

6.23 Self-Trade Prevention (Cancel Newest)



Message Sent


Exec Type


Order Qty

OrderID NoSelfTrade NoTradeFeat NoSelfTrade OrderNum

Text Comment

1 New Order(X)

Sell 10000 123 N



2 Execution(X) New New New 10000 1 123 N

3 New Order(Y)

Buy 10000 123 N Same price as order X

4 Execution(Y) New New New 10000 2 123 N

5 Execution(Y) Cancelled Cancelled New 10000 2 1 NO SELF TRADE Order Y is unsol-cancelled by STP

6.24 Self-Trade Prevention (Cancel Oldest)



Message Sent


Exec Type


Order Qty


Text Comment

1 New Order(X)

Sell 10000 123 O

2 Execution(X) New New New 10000 1 123 O

3 New Order(Y)

Buy 10000 123 O Same price as order X

4 Execution(Y) New New New 10000 2 123 O

5 Execution(X) Cancelled Cancelled New 10000 1 2 NO SELF TRADE Order X is unsol-cancelled by STP

6.25 Self-Trade Prevention (Decrement and Cancel)



Message Sent


Exec Type


Order Qty


Text Comment

1 New Order(X)

Sell 50000 123 D

2 Execution(X) New New New 50000 1 123 D

3 New Order(Y)

Buy 10000 123 D Same price as order Y

4 Execution(Y) New New New 10000 2 123 D



5 Execution(X) Restated Replaced New 40000 1 123 D 2 Order X is unsol replace with qty down by STP.

ExecRestatementReason = Partial_decline_of_orderqty

6 Execution(Y) Cancelled Cancelled New 10000 2 1 NO SELF TRADE Order Y is unsol-cancel by STP



6.26 Self-Trade Prevention (Decrement and Cancel with Prevented Trade Price/Qty)



Message Sent


Exec

Type

OrdStatus

Side

Exec Trans

Type

Price Order Qty

OrderID

NoSelfTrade

NoTradeFeat

NoSelfTrade OrderNum

Prevented TradePx

Prevented TradeQty

Prevented Liq. Ind.

Text Comment

1 New Order(X)

Sell

100.00 50000 123 D

2 Execution(X) New New New 100.00 50000 1 123 D

3 New Order(Y)

Buy

100.00 10000 123 D

4 Execution(Y) New New New 100.00 10000 2 123 D

5 Execution(X) Restated

Replaced New 40000 1 123 D 2 100.00 10000 A Order X is unsol replace with qty down by STP.

ExecRestatementReason = Partial_decline_of_orderqty

6 Execution(Y) Cancelled

Cancelled

New 10000 2 1 100.00 10000 R NO SELF TRADE

Order Y is unsol-cancel by STP

6.27 VWAP order match and re-priced

Time TargetSubID

SenderSubID

Message Received


Message Sent


Exec Type

OrdStatus Side OrdType Exec Trans

Type

Order Qty

OrderID LastPx LastShares ExecId (ExecRefID)

Comment



1 VWAP New Order(X) Sell Market 5000

2 VWAP Execution(X) New New New 5000 1

3 VWAP New Order(Y) Buy Market 1000

4 VWAP Execution(Y) New New New 1000 2

5 VWAP Execution(X) Partially Filled

Partially Filled

New 1 432.0 1000 A Order X is partially filled by 1000 shares. LastPx is filled with base price of the security.

6 VWAP Execution(Y) Filled Filled New 2 432.0 1000 B Order Y is fully filled by 1000 shares. LastPx is filled with base price of the security.

7 VWAP Execution(X) Cancelled Cancelled New 1 Outstanding shares of Order X is cancelled, after the final VWAP crossing

8 VWAP Execution(X) Cancelled Cancelled Correct 1 444.1234 1000 C(A) After VWAP price determined, the execution is re-priced to VWAP price, i.e. 444.1234

9 VWAP Execution(Y) Filled Filled Correct 2 444.1234 1000 D(B) After VWAP price determined, the execution is re-priced to VWAP price, i.e. 444.1234

6.28 VWAP order match and pre-trade cancel

Time TargetSubID

SenderSubID

Message Received


Message Sent


Exec Type

OrdStatus Side OrdType Exec Trans Type

Order Qty

OrderID LastPx LastShares ExecId (ExecRefID)

Comment

1 VWAP New Order(X) Sell Market 5000



2 VWAP Execution(X) New New New 5000 1

3 VWAP New Order(Y) Buy Market 1000

4 VWAP Execution(Y) New New New 1000 2

5 VWAP Execution(X) Partially Filled

Partially Filled

New 1 432.0 1000 A Order X is partially filled by 1000 shares. LastPx is filled with base price of the security.

6 VWAP Execution(Y) Filled Filled New 2 432.0 1000 B Order Y is fully filled by 1000 shares. LastPx is filled with base price of the security.

7 VWAP Execution(X) Cancelled Cancelled New 1 Outstanding shares of Order X is cancelled, after the final VWAP crossing

8 VWAP Execution(X) Cancelled Cancelled Cancel 1 0 0 C(A)

9 VWAP Execution(Y) Filled Filled Cancel 2 0 0 D(B)

6.29 Filled order – Chi-Select



TargetSubID

SenderSubID


Exec Type


Order Qty

Cum Qty

Leaves

Qty

Last Shares

Comment

1 New Order(X) CXJ2 10000

2 CXJ2 Execution(X) Rejected Rejected New 10000 0 0 0 If order is rejected

2 CXJ2 Execution(X) New New New 10000 0 10000 0

3 CXJ2 Execution(X) Partial Fill Partially Filled

New 10000 2000 8000 2000 Execution of 2000

4 CXJ2 Execution(X) Partial Fill Partially Filled

New 10000 3000 7000 1000 Execution of 1000

5 CXJ2 Execution(X) Fill Filled New 10000 10000 0 7000 Execution of 7000



6.30 Pullback Order




Exec Type


Pullback

Order Qty

Cum Qty

Leaves Qty

Last Shares

Text Comment

1 New Order(X) P 10000

2 Execution(X) Rejected Rejected New 10000 0 0 0 PULLBACK ORDER NOT ACCEPTED

If order is rejected (FIX Session disabled to accept pullback order)

2 Execution(X) New New New P 10000 0 10000 0

3 Execution(X) Canceled

Canceled New 10000 0 0 0 PULLBACK ORDER CANCEL

If pullback order is marketable to the Primary Best Bid/Ask


Partially Filled




7 Appendix B – CTS PEG Order Definitions

7.1 Primary (PRIM) Peg Type

This section will provide examples of Basic and Incremental PRIM Pegged orders.

7.1.1 Basic Primary Peg

Basic PRIM pegged orders are pegged to the same side of the stock’s primary market best bid/offer. The order will float with the market up to the limit price.

PEG ORDER TYPE DOES THE DISPLAY FLOAT

SIDE PEGGED

Basic Primary (PRIM) Y Same side of primary market quote

In the following example, the order is to Buy 3000 at 10.20 pegged to the PRIM:

EXECINST

(18)

ORDERQTY

(38)

ORDTYPE

(40)

PRICE

(44)2

SIDE

(54)

R 3000 P 10.20 1

The primary market best bid and offer is 10.10 – 10.16. The order will be initially at 10.10 and will float with the market but never beyond the limit price of 10.20.

7.1.2 Primary Peg with Increments

CTS also enables clients to float PRIM Pegged orders a user defined increment away from the best quote on the same side of the stock’s primary market. The price will float with the market to the limit price.


SIDE PEGGED

Primary with Increment (PRIM + increment)

Y Same side of primary market quote

In the following example, the order is to Buy 3000 at 10.20 pegged to the PRIM -0.01:

EXECINST

(18)

ORDERQTY

(38)

ORDTYPE

(40)

PRICE

(44)3

SIDE

(54)

PEGDIFFERENCE

(211)

R 3000 P 10.20 1 -0.01

The primary market’s best bid and offer is 10.00 – 10.05. Therefore, the order would initially at 10.00-0.01, or 9.99, and will float with the market 0.01 away from the best bid, but never beyond the limit of 10.20.

2 If no limit price (Price) is entered for Primary Pegged orders then the order will float until fully

executed. This applies to all Primary Pegged orders. 3 If no limit price (Price) is entered for Primary Pegged orders then the order will float until fully

executed. This applies to all Primary Pegged orders.



7.2 Mid (MID) Peg Type

This section will provide examples of Basic and Incremental MID Pegged orders.

7.2.1 Basic Mid Peg

Basic MID pegged orders are pegged to the middle of the primary market best bid and offer. The order will float with the market up to the limit price.


SIDE PEGGED

Basic MID Y Middle Primary Market best bid/offer.

In the following example, the order is to Buy 3000 at 10.20 pegged to the MID:

EXECINST

(18)

ORDERQTY

(38)

ORDTYPE

(40)

PRICE

(44)4

SIDE

(54)

M 3000 P 10.20 1

The primary market best bid and offer is 10.00 – 10.02. Therefore, the order will initially be at 10.01, and will float with the market, but never beyond the limit of 10.20.

7.3 Market (MKT) Peg Type

This section will provide examples of Basic and Incremental Market (MKT) Pegged orders.

7.3.1 Basic Market Peg

Basic Market (MKT) pegged orders are pegged to the contra-side of the Primary Market. The order will float with the market up to the limit price.


SIDE PEGGED

Basic Market (MKT) Y Contra side of Primary Market

In the following example, the order is to Buy 3000 at 10.20 pegged to the MKT:

EXECINST

(18)

ORDERQTY

(38)

ORDTYPE

(40)

PRICE

(44)5

SIDE

(54)

P 3000 P 10.20 1

The Primary Market best bid and offer is 10.01 – 10.06. Therefore, the order will initially be displayed at 10.06, and will float with the market, but never beyond the limit of 10.20.

4 If no limit price (Price) is entered for Mid Pegged orders then the order will float until fully

executed. This applies to all Mid Pegged orders. 5 If no limit price (Price) is entered for Market Pegged orders then the order will float until fully

executed. This applies to all Market Pegged orders.



7.3.2 Market Peg with Increments

Chi-X also enables clients to float Market Pegged orders a user defined increment away from the contra-side of the Primary Market. The price will float with the market to the limit price.


SIDE PEGGED

Basic Market (MKT) Y Contra side of Primary Market

In the following example, the order is to Buy 3000 at 10.20 pegged to the MKT +0.01:

EXECINST

(18)

ORDERQTY

(38)

ORDTYPE

(40)

PRICE

(44)6

SIDE

(54)

PEGDIFFERENCE

(211)

P 3000 P 10.20 1 +0.01

The Primary Market best bid and offer is 10.01 – 10.06. The order price is 10.07, and will float with the market, but never beyond the limit of 10.20.

7.4 Summary of the Effects of PegDifference on Order Prices

If a positive value for PegDifference is used on a buy order then the bid increases.

If a negative value for PegDifference is used on a buy order then the bid decreases.

If a positive value for PegDifference is used on a sell order then the offer decreases.

If a negative value for PegDifference is used on a sell order then the offer increases.

6 If no limit price (Price) is entered for Market Pegged orders then the order will float until fully

executed. This applies to all Market Pegged orders.



8 Appendix C – Chi-Select Order Types

The trading session for Chi-Select must be configured for either one of following categories:

1. Designed Liquidity Provider (DLP) a. Supports Limit or Pegged order with PostOnly(8021) is “P” (Post or

cancel). b. Order Replace is not applicable and will be rejected.

2. Taker

a. Supports Limit or Pegged Order with TIF(59) is 3 (IOC) or 4 (FOK) b. Order Replace is not applicable and will be rejected.

Client should contact CTS administrator for the setup.

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