2002.4 Release Notes

October 24, 2002

 

NASD plans to implement its next regular quarterly release for the fourth quarter of 2002 (2002.4) into the testing environment on December 2, 2002 and into the production environment on December 16, 2002. This release contains one enhancement that may require changes to firms' system codes.

 

Originating MPID

 

NASD is adding a field called "Originating MPID" to the end of four order event types. This is a conditional field that will be used to link secondary reports (Cancel, Route, Desk, Execution) to a New Order Report submitted under a different MPID such as in the case of a merger/ acquisition or a symbol change. The field is optional meaning that OATS will accept order events that do not contain this additional field.

 

Currently, the audit trail is lost for orders when the original new order is submitted to OATS under one MPID and any secondary events, such as an execution, are submitted to OATS under a different MPID. For example, Firm A merges with Firm B. The new combined firm continues to use Firm B's firm MPID. Firm A has a GTC limit order that was submitted to OATS prior to the merger. After the merger, the order is executed and an execution report is submitted to OATS under the MPID of Firm B. Since the original limit order had an MPID of Firm A and the execution report has an MPID of Firm B, OATS can not link the two and therefore, will reject the execution report with an error of 'Order does not exist in OATS'. With this release, using the new Originating MPID field, OATS will be able to connect these two order events and accept the execution report.

 

In order to make this link, member firms will need to provide the originating MPID (Firm A's MPID in this example) in any secondary order events submitted after a symbol change has become effective. In order to account for subsequent orders as well as cancel/replacements, a new field is being added to each of the 4 subsequent order event types. To link a secondary event to a previous order submitted under a different firm MPID, firms will need to use this field to avoid rejections of those secondary events. If the field is not used, the event will be rejected and firms will be responsible for reestablishing the New Order under the new MPID and for repairing the rejection, as they are today.

 

If a firm is planning a symbol change, they need to contact the OATS Help Desk prior to the effectiveness of the change so that the relationship between the new MPID and the old MPID may be established in the OATS system. If the relationship does not exist in the OATS system, the secondary ROEs submitted under the new MPID will be rejected as they are today.

 

New error messages to accommodate the new field and relationship validations are 1) 'Invalid Originating MPID for the original order received date', and 2) 'No relationship exists between Originating MPID and Order Receiving Firm MPID'.

 

Below are the order report definitions for each subsequent order event type that will be in the next version of the OATS Technical Specification due out in October.

 

Routing Report *

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M '#OE#'-identifies an order event record. Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M 'RT'-identifies the order event record type as a routing record. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values: 'N,' 'C,' 'D,' or 'R.' Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter.
5 Correction/Deletion Timestamp Numeric (14) C Required if the Action Type Code is 'C,' 'D,' or 'R.' The format is YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: 'Y.' Case sensitive, must be a capital letter.
7 Order Receiving Firm MP ID Alphanumeric (4) C Must be supplied if the MP ID in effect on the Order Sent Date is different from the MP ID in the Header Record. Must be a valid MP ID for the Order Sent Date. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format: YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter.
10 Sent to Firm MP ID Alphanumeric (4) C Required if the order was routed to a member firm or ECN. Optional if the order was routed to a Nasdaq execution system or to a non-member firm. Must be a valid MP ID for the Order Sent Timestamp. Should not be a valid MP ID if the order was routed to a non-member firm. Case sensitive, must be capital letters.
11 Routed Order ID Alphanumeric (20) C Required if an electronic order is routed to a member or Nasdaq execution system. If an order is routed to the same destination within the same second, the Routed Order ID passed to the receiving firm must be different for each route having the same shares quantity. Values: Any alphanumeric not containing a delimiter.
12 Issue Symbol ID Alphanumeric (14) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Sent Date. Case sensitive, must be capital letters.
13 Order Sent Timestamp Numeric (14) M Format: YYYYMMDDHHMMSS.
14 Routed Shares Quantity Numeric (9) M The number of shares routed. If the order was bunched, this would be the total number of bunched shares routed. Values are any integer greater than zero.
15 Routing Method Code Alphanumeric (1) M Values: 'C', 'E', 'L', 'M', 'N', 'O', 'P', 'S', 'U'. Case sensitive, must be a capital letter.
16 Bunched Order Indicator Alphanumeric (1) C Required for orders when the identified order is bunched with other orders and routed to another firm or ECN. Values: Y or blank. Case sensitive, must be a capital letter.
17 Originating MP ID Alphanumeric (4) C Must be provided if this ROE needs to link to a previously submitted ROE with a different Order Receiving Firm MP ID. Firms may include or exclude the field from the report. Case sensitive, must be capital letters.
18 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

* Was not required for electronic orders until 8/1/1999; not required for non-electronic orders until Phase 3.

 

Desk Report *

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M '#OE#'-identifies a order event record. Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M 'DS'-identifies the order event record type as a desk record. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values: 'N', 'C', 'D' or 'R.' Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter.
5 Correction/Deletion Timestamp Numeric (14) C Required if the Action Type Code is 'C,' 'D,' or 'R.' Format: YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: 'Y.' Case sensitive, must be a capital letter.
7 Order Receiving Firm MP ID Alphanumeric (4) C Must be supplied if the MP ID in effect on the Desk Received Date is different from the MP ID in the Header Record. Must be a valid MP ID for the Desk Received Date. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format: YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter.
10 Received by Desk ID Alphanumeric (12) M Values: Any alphanumeric not containing a delimiter.
11 Issue Symbol ID Alphanumeric (14 ) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Received Date. Case sensitive, must be capital letters.
12 Desk Received Timestamp Numeric (14) M Format: YYYYMMDDHHMMSS
13 Originating MP ID Alphanumeric (4) C Must be provided if this ROE needs to link to a previously submitted ROE with a different Order Receiving Firm MP ID. Firms may include or exclude the field from the report. Case sensitive, must be capital letters.
14 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

*Was not required for electronic orders until 8/1/1999; not required for non-electronic orders.

 

Execution Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M '#OE#' Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M 'EX' is the value for this report. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values are: 'N,' 'C,' 'D,' or 'R.' Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is 'C,' 'D,' or 'R.' The format is YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: 'Y'. Case sensitive, must be a capital letter.
7 Order Receiving Firm MP ID Alphanumeric (4) C Must be supplied if the MP ID in effect on the Execution Date is different from the MP ID in the Header Record. Must be a valid MP ID for the Execution Date. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter.
10 Execution Timestamp Numeric (14) M The format is YYYYMMDDHHMMSS.
11 Branch/Sequence Number Alphanumeric (8) C Must be provided when a trade is reported to ACT or TRACS. Not required if a Reporting Exception Code value or a Market Center ID of A, B, C, M, P, or X is supplied.
12 Execution Quantity Numeric (9) M The number of shares executed. Values are any integer greater than zero.
13 Trader Terminal ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter. Required for electronic orders that were executed by a trader. Optional for trades made through an automated system without trader intervention.*
14 Reporting Exception Code Alphanumeric (1) C Values: 'P', 'M', 'C', 'O', 'S', 'R'. Must be provided if the execution is not required to be reported to ACT or TRACS. Case sensitive, must be a capital letter.
15 Issue Symbol ID Alphanumeric(14) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Execution Date. Case sensitive, must be capital letters.
16 Execution Type Indicator Alphanumeric (1) M Values: 'F' or 'P'. Case sensitive, must be a capital letter.
17 Leaves Quantity Numeric (9) C Must be provided when the Execution Type Indicator value is 'P.' If the partial execution reported results in the sum of all executions equaling the order quantity, the value should be zero.
18 Market Center ID Alphanumeric (1) M Values: 'A', 'B', 'C', 'D', 'M', 'P', 'Q', or 'X'. Case sensitive, must be a capital letter.
19 Originating MP ID Alphanumeric (4) C Must be provided if this ROE needs to link to a previously submitted ROE with a different Order Receiving Firm MP ID. Firms may include or exclude the field from the report. Case sensitive, must be capital letters.
20 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

* Not required for non-electronic orders.

 

Cancel Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M '#OE#' Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M 'CL' is the value for this report. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values are: 'N,' 'C,' 'D,' or 'R.' Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is 'C,' 'D,' or 'R.' The format is YYYYMMDDHHMMSS
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: 'Y.' Case sensitive, must be a capital letter.
7 Order Receiving Firm MP ID Alphanumeric (4) C Must be supplied if the MP ID in effect on the date in the Order Cancel Timestamp is different from the MP ID in the Header Record. Must be a valid MP ID on the date indicated in the Order Cancel Timestamp. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter.
10 Issue Symbol ID Alphanumeric (14 ) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Received Date. Case sensitive, must be capital letters.
11 Order Cancel Timestamp Numeric (14) M The format is YYYYMMDDHHMMSS.
12 Cancel Type Flag Alphanumeric (1) M Values are: 'F' or 'P'. Case sensitive, must be a capital letter.
13 Cancel Quantity Numeric (9) C Required when the Cancel Type Flag value is 'P.' Must be an integer greater than zero.
14 Cancel Leaves Quantity Numeric (9) C Required when the Cancel Type Flag value is 'P.' Must be an integer greater than or equal to zero.
15 Canceled by Flag Alphanumeric (1) M Values are: 'C' or 'F'. Case sensitive, must be a capital letter.
16 Originating MP ID Alphanumeric (4) C Must be provided if this ROE needs to link to a previously submitted ROE with a different Order Receiving Firm MP ID. Firms may include or exclude the field from the report. Case sensitive, must be capital letters.
17 End of Record Marker (1 or 2) M Values: LF (Line Feed), or CR/LF (Carriage Return/Line Feed)
Last Updated: 10/24/2002