Turquoise

TQ700 – Release 9.2 Specification Changes Summary

Issue 1.6

2 October 2017

Contents

1.0 Introduction 5

1.1 Revision History 5

2.0 Message Changes per Protocol 6

2.1 TQ201 – FIX 5.0 Trading Gateway 6 2.2 TQ202 – Post Trade Gateway 8 2.3 TQ203 – Drop Copy Gateway 9 2.4 TQ301 – Native Trading Gateway 10 2.5 TQ401 – Level 2 MITCH UDP Market Data 13

3.0 Reference Data Changes 14

3.1 TQ501 – Guide to Reference Data Services

14

4.0 Reject Code changes 15

4.1 TQ801 – Reject codes 15

4

Disclaimer The London Stock Exchange Group has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. The London Stock Exchange Group will endeavour to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only.

5

1.0 Introduction

This document provides a high level description of the changes introduced to the Turquoise Trading and Market Data protocols with Millennium Exchange Release 9.2. A more detailed description of the changes to the protocols, as well as changes to Reference Data and Reject codes are described in the following specifications on the Turquoise web site:

TQ201 – FIX 5.0 Trading Gateway – Issue 3.4.3

TQ202 – Post Trade Gateway – Issue 3.5.3

TQ203 – Drop Copy Gateway – Issue 2.5.3

TQ301 – Native Trading Gateway – Issue 3.5.4

TQ401 – Level 2 MITCH UDP Market Data – Issue 3.5.1

TQ501 – Guide to Reference Data Services – Issue 4.1

TQ801 – Reject Codes – Issue 3.4

1.1 Revision History

Issue Date Description

1.0 07 April 2017 Initial Version

1.1 27 June 2017 Further updates to the Release 9.2

specifications

1.2 22 August 2017 Further updates to the Release 9.2

specifications

1.3 8 September Further updates to the Release 9.2

specifications

1.4 13 September 2017 Further updates to the Release 9.2

specifications

1.5 13 September 2017 Further updates to the Release 9.2

specifications

6

2.0 Message Changes per Protocol

2.1 TQ201 – FIX 5.0 Trading Gateway

Document

Version

Section Message/Section Field/Tag Comment

3.4 2.5, 2.12.1 Clarified Timestamps and

dates

Clarified Timestamps and dates behaviour

3.4 2.6.2, 2.13.4 Party Identification Clarified Party Identification

behaviour.

3.4 6.4.5 Execution Report NoTrdRegPublications

Repeating Group

Added a new NoTrdRegPublications (2668) Repeating Group to the Execution Report for Pre-trade Waiver Flags.

3.4 2.13.2, 6.4.1, 6.4.5

Order Capacity, New Order Single,

Execution Report

OrderCapacity Clarified Order Capacities.

3.4 6.4.1, 6.4.5 New Order Single,

Execution Report

NoPartyIDs, PartyID,

PartyIDSource, PartyRole,

PartyRoleQualifier tag, Order Attribute

component block, OrderOrigination tag.

Clarified NoPartyIDs,

PartyID, PartyIDSource,

PartyRole behaviour and added new Party

Identification enums. Added

PartyRoleQualifier tag, Order Attribute

component block and OrderOrigination tag.

3.4 6.6.1 All messages

which have Party Identification tags

Removed trading party

component block and included the party

identification tags in the individual

messages.

3.4 All TraderID

references

TraderID Changed all references

of enum 12 to 100 for the Trader ID

PartyRole.

7

Document

Version

Section Message/Section Field/Tag Comment

3.4.1 6.4.1 New Order Single NoPartyIDs,

PartyIDSource,

PartyRoleQualifier

Clarified NoPartyIDs,

PartyIDSource and

PartyRoleQualifier

behaviour.

3.4.1 6.4.3 Order Mass

Cancel Request

RoutingInst Clarified RoutingInst

behaviour.

3.4.1 6.4.5 Execution Report NoPartyIDs, PartyRole Clarified NoPartyIDs and

PartyRole behaviour.

3.4.2 6.3.6 Reject SessionRejectReason Clarified

SessionRejectReason

behaviour.

3.4.2 6.4.6 Order Cancel

Reject

CxlRejReason Clarified CxlRejReason

behaviour.

3.4.2 6.4.7 Order Mass

Cancel Report

MassCancelRejectReason Clarified

MassCancelRejectReason

behaviour

3.4.2 6.5.1 Business Message

Reject

BusinessRejectReason Clarified

BusinessRejectReason

behaviour

3.4.2 7 Reject Codes Removed Reject Code

section since TQ801 has

all the applicable Reject

reasons and codes.

3.4.2 Updated all references of

Turquoise® to Turquoise.

3.4.3 2.1.4 Execution Reports Reference to order being

amended by Market

Operations is removed

3.4.3 6.4.5 Execution Report ExecRestatementReason Missing

ExecRestatementReason

(378)=100 is added

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2.2 TQ202 – Post Trade Gateway

Section Message/Section Tag Comment

3.5 2.1.3 TCR Requests Added a link to the Trading Technical Parameters document

3.5 2.2.1, 2.7.4

Party Identification

Clarified Party Identification behaviour

3.5 2.5,

2.7.1

Timestamps and

dates

Clarified Timestamps and dates

behaviour

3.5 2.7.3,

7.3.1

Order Capacities OrderCapacity Clarified Order Capacities

behaviour

3.5 7.3.1 Server

Generated TCR

SettlDate Removed SettlDate (64) from

the message

3.5 7.3.1 Server Generated TCR

PartyID (448), PartyIDSource (447),

PartyRole (452), PartyRoleQualifier

(2376), AlgorithmicTradeIndicator

(2667), OrigTradeDate, OrderOrigination (1724)

repeating group, MarketID (1301),

NoTrdRegPublications (2668) repeating group.

Clarified PartyID (448), PartyIDSource (447), PartyRole

(452) behaviour and added new enums. Added

PartyRoleQualifier (2376), AlgorithmicTradeIndicator

(2667) and OrigTradeDate (1125) tags. Added

OrderOrigination (1724) repeating group. Added

MarketID (1301) and NoTrdRegPublications (2668)

repeating group.

3.5 All references to

TraderID

TraderID Renamed all instances of enum

12 to 100 for Trader ID in PartyRole (452).

3.5.1 7 Reject Code Removed Reject Code section since

TQ801 has all the applicable Reject

reasons and codes

3.5.1 7.2.6 Reject SessionRejectReason Clarified SessionRejectReason behaviour

3.5.1 Updated all references of Turquoise® to Turquoise.

9

Section Message/Section Tag Comment

3.5.2 2.2.4 Trade Type Reference to off-book is removed

3.5.2 2.4 Trade

Corrections

Reference to off-book is removed

3.5.2 7.3.1 Server

Generated TCR

Tags applicable to off-book trade are removed

3.5.3 7.3.1 Server

Generated TCR

Tags TradeReportTransType(487), TradeReportType (856), TradeHandlingInstr (1123) have been added back as they were deleted by mistake

2.3 TQ203 – Drop Copy Gateway

Document

Version

Section Message/Section Tag Comment

2.5 2.5.4, 2.7.4 Party Identification Clarified Party Identification

behaviour

2.5 2.6, 2.7.1 Timestamps and

dates

Clarified Timestamps

behaviour

2.5 2.7.2, 6.5.1

Pre-trade Waiver

Flags, Execution Report

NoTrdRegPublications Added a new

NoTrdRegPublications (2668) Repeating

Group to the Execution Report for

Pre-trade waiver flags.

2.5 2.7.3, 6.5.1

Order Capacity, Execution Report

Clarified Order Capacities

2.5 6.5.1, 6.6.1, 6.6.2

Execution Report, Order Attributes

Clarified NoPartyIDs, PartyID,

PartyIDSource, PartyRole,

Clarified NoPartyIDs, PartyID,

PartyIDSource, PartyRole behaviour

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Document

Version

Section Message/Section Tag Comment

PartyRoleQualifier,

Order Attribute component block,

OrderOrigination

and added new

enums. Added PartyRoleQualifier tag,

Order Attribute component block and

OrderOrigination tag.

2.5.1 6.6.1 Trading Party PartyRole Clarified PartyRole

6.3.6 Reject SessionRejectReason Clarified

SessionRejectReason

behaviour.

2.5.2 7 Removed Reject Code

section since TQ801 has

all the applicable Reject

reasons and codes.

2.5.3 2.5 Execution Reports Reference to order being

amended by Market

Operations is removed,

reference to order

replenishment is added

to be in line with FIX

specification

2.5.3 6.5.1 Execution Report ExecRestatementReason Missing

ExecRestatementReason

(378)=100 is added

2.4 TQ301 – Native Trading Gateway

Document

Version

Section Message/Section Field Comment

3.5 2.3.4, 2.10.1,

7.4.1,7.4.5

Order Capacities,

Order Capacity, New Order,

Execution Report

Capacity Clarified Order

Capacities

3.5 2.6.1 Order Deletion Clarified Order Cancellation by

Market Operations

11

Document

Version

Section Message/Section Field Comment

behaviour

3.5 2.10.2 Order Record Keeping

Information

Added details on Order Record

Keeping Information

3.5 4.1 Establishing a

connection

Clarified Establishing

a connection behaviour

3.5 7.4.1 New Order Client ID, Investment

Decision Maker, Executing Trader,

FXMiFIDFlags, PartyRoleQualifiers

Extended the length

of the New Order message by adding

the following new fields: ‘Client ID’,

‘Investment Decision Maker’, ‘Executing

Trader’, ‘FXMiFIDFlags’ and

‘PartyRoleQualifiers'

3.5 7.4.5 Execution Report Waiver Flags Reserved Field at

offset 87 is now the ‘Waiver Flags’ field

3.5.1 5.3 Terminating the

Recovery Connection Clarified Terminating

the Recovery

Connection behaviour

3.5.2 2.10.1, 7.4.1, 7.4.5

Order Capacity Corrected enum values

for the Capacity field

3.5.3 2.4.6 Client Order ID Clarified Client Order ID

behaviour

3.5.3 Updated all references

of Turquoise® to

Turquoise.

3.5.4 2.4.5 Execution Reports Reference to order

being amended by

Market Operations has

been removed

3.5.4 2.10.2 Order Record

Keeping Information

PartyRoleQualifier is

removed for Client ID

=1 (AGGR), 2 (PNAL), 0

(None) since it is not

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Document

Version

Section Message/Section Field Comment

required

3.5.5 1.3 Document Series Reformatted and added

GTP document

references.

3.5.5 2.2 Liquidity Pools Improved descriptions

3.5.5 2.3.1 Order Types Removed mention of

price band and max

order value validations

(these are defined in

service description),

clarified that ”Turquoise

Plato UncrossTM

then

Continuous” is for

Turquoise Integrated

Book only.

3.5.5 2.3.3 Time In Force Improved descriptions

3.5.5 7.4.5 Execution Report Counterparty Added footnote to clarify

that EMCF represents

EuroCCP.

3.5.5 Various Various Updated use of various

terms for consistency

throughout the

document:

“Lit Book” with “Turquoise Integrated Order Book”

“Call market” with “Start of the order submission interval”

“TQ Dark Book” with “Turquoise Plato™ Order Book”

“Block Discovery” with “Turquoise Plato Block

Discovery™”

“Dark Order” with “Hidden Order”

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2.5 TQ401 – Level 2 MITCH UDP Market Data

Document

Version

Section Message/Section Field/Tag Comment

3.5 3.3.2, 5.5.2 Trade

Cancellations, Application

messages

Clarified Trade

Cancellation behaviour

3.5 5.5.2, 5.9.12 Trade Break Removed the

‘Trade Break’ message

3.5 5.9.5, 5.9.8 Add Order, Order

Book Clear

Reserved Field

Extended the

length of the Add Order and Order

Book Clear messages with a

Reserved Field

3.5 5.9.10 Trade PTModFlags Extended the

length of the Trade message with a

new Bit field called ‘PTModFlags’

3.5.1 Updated all

references of

Turquoise® to

Turquoise.

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3.0 Reference Data Changes

3.1 TQ501 – Guide to Reference Data Services

Document Version Section Comment

3.8 2.4, 3.3.2, 3.5.2 Removed the layout and references to the

legacy Tq_Eq_RefFile.csv and Tq_Eq_TickFile.csv files.

3.8 3.3.1 Replaced ‘Trading Parameter ID’ with ‘Price

Tick Table ID’. Replaced ‘Min Reserve Order Value’ with ‘Pre-Trade LIS Value (Currency)’.

Renamed ‘ADT’ to ‘ADT (EUR)’. Added the following new fields to the end of the file:

'Visibility', 'Mifir Identifier', 'Mifir Subclass', ' Static Reference Price Collar Percentage,

‘Dynamic Reference Price Collar Percentage', 'Liquid', 'ADT (Currency)', 'ADNT ', 'RPW

Allowed ', 'FSIN', 'Max Order Value Lit (Currency)', 'Max Order Value Dark

(Currency)', 'Notional Currency', 'Price Notation', 'Denominated Par Value'.

3.8 3.6, 3.7 Renamed ‘LIS Limit (Currency)’ to ‘Pre-Trade LIS Value (Currency)’. Renamed ‘Tick Table’

to ‘Price Tick Table ID’.

3.9 3.3.1 Corrected enum values for the ‘Liquid’ field.

Corrected field name ‘Post Trade Parameters ID’ to match the heading in the file. Clarified

that the ‘Country of Register’ field is not in use.

4.0 3.3.1 Clarified ‘Max Order Value Dark (Currency)’ behaviour

4.0 3.3.1, 3.7 Clarified ‘Pre-Trade LIS Value (Currency)’ behaviour

4.1 3.3.1 The new field “Max Order Value Lit Auction (Currency)” has been added for future use.

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4.0 Reject Code changes

4.1 TQ801 – Reject codes

Document Version Comment

3.0

All Reject Reasons highlighted in yellow in the

‘Codes and Reasons’ tab are introduced in Release 9.2.

3.1

3.2

3.3

3.4

Disclaimer

This service description is being distributed by Turquoise Global Holdings Limited only to, and is directed only at (a) persons who have professional experience in matters relating to investments who fall within Article 19(1) of the FSMA 2000 (Financial Promotion) Order 2005 and (b) persons to whom it may otherwise lawfully be communicated (together “relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with, relevant persons. Any person who is not a relevant person should not act or rely on this service description or any of its contents.

Turquoise Global Holdings Limited is an authorised investment firm by the Financial Conduct Authority.