ATS Reporting & MPID: Frequently Asked Questions


ATS Reporting: General

  1. Does the new reporting rule (FINRA Rule 4552) apply to all electronic trading systems?
  2. What information do I have to report?

 

ATS Reporting: Calculations

  1. If my ATS crosses a buy order for 500 shares of a covered security with a sell order for 500 shares of that security and reports it to a TRF as a single trade for 500 shares, how would I count this under Rule 4552?
  2. If my ATS crosses a buy order for 1,000 shares of a covered security with two sell orders of 500 shares of that security and reports it to a TRF as a single trade for 1,000 shares, how would I count this under Rule 4552?
  3. If, in the same scenario above, my ATS crosses the orders separately (i.e., as two 500-share crosses) and reports two trades to the TRF, each of 500 shares, how would I count this under Rule 4552?

 

ATS Reporting: Weekly Reports

  1. My firm operates an ATS that trades only securities that are not covered securities under Rule 4552 (i.e., the ATS does not trade NMS stocks or OTC Equity Securities). Do I have to submit weekly reports to FINRA pursuant to Rule 4552 indicating no volume? Do I have to comply with the unique MPID requirement?

 

ATS MPID Requirement

  1. My firm operates a single ATS that currently uses two MPIDs: one for fixed-income securities reported to TRACE and another for equity securities reported to one of FINRA’s trade reporting facilities. Can I continue to use two MPIDs under these circumstances?
  2. My firm is an ATS, and our sole business is operating the ATS. Our firm currently has a single MPID; however, the ATS sometimes routes orders away to fill an odd-lot portion of a customer order after the ATS crosses the round-lot portion within the ATS. My ATS also may route orders away to correct an error. In every case, these routed orders are executed outside of the ATS, and the ATS is listed as the contra-side executing broker in the trade report. Does the ATS need an additional MPID for these routed orders?
  3. Once the MPID requirement for ATSs becomes effective in November, what capacity should an ATS indicate when reporting trades in equity securities?

 

 

ATS Reporting: General

 

1.  Does the new reporting rule (FINRA Rule 4552) apply to all electronic trading systems?
Rule 4552 applies to any alternative trading system (ATS) that has filed a Form ATS with the Securities and Exchange Commission (SEC).
2.  What information do I have to report?
An ATS subject to Rule 4552 must report, each week, its volume (both share volume and number of trades) in all equity securities subject to FINRA trade reporting requirements. This includes NMS stocks and OTC Equity Securities (covered securities). If a trade involves an equity security that is subject to FINRA trade reporting requirements and is reported to a FINRA equity trade reporting facility (i.e., one of the TRFs, the ADF, or the OTC Reporting Facility), it must be reported under Rule 4552 if it occurs within the ATS. Debt securities reported to TRACE are not subject to the reporting requirement.

ATS Reporting: Calculations

 

1.  If my ATS crosses a buy order for 500 shares of a covered security with a sell order for 500 shares of that security and reports it to a TRF as a single trade for 500 shares, how would I count this under Rule 4552?
The ATS would count this for purposes of Rule 4552 as a single trade of 500 shares.
2.  If my ATS crosses a buy order for 1,000 shares of a covered security with two sell orders of 500 shares of that security and reports it to a TRF as a single trade for 1,000 shares, how would I count this under Rule 4552?
The ATS would count this for purposes of Rule 4552 as a single trade of 1,000 shares. ATSs may wish to review Trade Reporting FAQ 306.3, which addresses reporting trades that occur from the matching of multiple orders.
3.  If, in the same scenario above, my ATS crosses the orders separately (i.e., as two 500-share crosses) and reports two trades to the TRF, each of 500 shares, how would I count this under Rule 4552?
In this scenario, because the ATS reported two trades of 500 shares to the TRF, the ATS would report two trades and 1,000 shares of volume under Rule 4552. ATSs may wish to review Trade Reporting FAQ 306.3, which addresses reporting trades that occur from the matching of multiple orders.

ATS Reporting: Weekly Reports

 

1.  My firm operates an ATS that trades only securities that are not covered securities under Rule 4552 (i.e., the ATS does not trade NMS stocks or OTC Equity Securities). Do I have to submit weekly reports to FINRA pursuant to Rule 4552 indicating no volume? Do I have to comply with the unique MPID requirement?
If your ATS never trades a covered security, you do not have to file a report with FINRA pursuant to Rule 4552. If your ATS has trades in a covered security some weeks, and other weeks does not, you must file a report each week, even if your ATS did not have any volume in any covered security during the week. In those instances, you should file a report indicating zero volume (i.e., by submitting a file with a header and a footer and no records in between). For more information regarding file submission, please see the ATS Documentation page. If an ATS reports any trade to FINRA, either to an equity trade reporting facility or to TRACE, it must comply with the MPID requirements that become effective on November 10, 2014. See Regulatory Notice 14-07.

ATS MPID Requirement

 

1.  My firm operates a single ATS that currently uses two MPIDs: one for fixed-income securities reported to TRACE and another for equity securities reported to one of FINRA's trade reporting facilities. Can I continue to use two MPIDs under these circumstances?
Yes. ATSs are required to use a single, unique MPID to report transactions within the ATS with one exception. ATSs are permitted to use two separate MPIDs if one is used exclusively to report transactions in debt securities to TRACE and the other is used exclusively to report transactions in equity securities to a FINRA equity trade reporting facility (i.e., one of the TRFs, the ADF, or the OTC Reporting Facility).
2.  My firm is an ATS, and our sole business is operating the ATS. Our firm currently has a single MPID; however, the ATS sometimes routes orders away to fill an odd-lot portion of a customer order after the ATS crosses the round-lot portion within the ATS. My ATS also may route orders away to correct an error. In every case, these routed orders are executed outside of the ATS, and the ATS is listed as the contra-side executing broker in the trade report. Does the ATS need an additional MPID for these routed orders?
Under these circumstances, the ATS would not need an additional MPID provided that in every case where an order is routed outside of the ATS, the ATS's MPID is only ever indicated as the contra-side executing broker of a trade reported to a FINRA facility.
3.  Once the MPID requirement for ATSs becomes effective in November, what capacity should an ATS indicate when reporting trades in equity securities?
When reporting trades in equity securities, the capacity associated with the ATS's MPID should be agency except in the rare instances where the ATS is trading for its own proprietary account (e.g., the ATS is executing a trade for its own error account to flatten a position). The capacity associated with the ATS's MPID should not be riskless principal.