OATS Report - June 21, 2002

June 21, 2002

NASD will begin providing statistical reports to members for orders electronically routed to a Nasdaq Execution System (NES) for which OATS was not able to match the OATS Route Report to the related NES order (i.e., SuperSOES, SOES, and SelectNet orders). These statistics will be provided on a new report titled the NES Unmatched Route Report that will be available beginning with data from September 2002. The statistics of the Route Reports that fail to link with orders sent to an NES will be displayed in an Order/Route Match Statistics window. These statistical reports will be available to the Order Sending Organization (OSO) that submitted the original FORE and to the firm that is the subject of the reporting. Similar to the Unmatched Execution Report, the NES Unmatched Route Report will identify Route and/or Combined Order/Route Reports that do not link with corresponding orders sent to an NES.

One of the requirements of OATS is the ability to link OATS orders with the related NES order. OATS attempts to match the OATS Route Report to the related NES order by comparing the following fields:

SuperSOES/SOES SelectNet OATS Route Report Matching Field
Trade Date Trade Date Order Sent Timestamp
(date and time)
Entry Time Entry Time Order Sent Timestamp
(date and time)
Issue Symbol Issue Symbol Issue Symbol ID
Order Entry Firm MPID Order Entry Firm MPID Order Receiving Firm MPID
Order Quantity Order Quantity Routed Shares Quantity
Branch ID
(4 characters)
Branch Sequence Code Routed Order ID
Branch Sequence
Number (4 characters)
  Routed Order ID

This matching process occurs for any Route Report submitted to OATS with a Routing Method Code of "L" (SelectNet), "S" (SOES), or "O" (SuperSOES). Whenever a Routing Method Code does not specify one of the aforementioned systems, OATS will not attempt to make a match. An Action Type Code of "D" (Delete) or "R" (Replace) on an OATS Route Report will also prevent the matching process from occurring.

OATS will attempt this match for the OATS Reporting Day when the OATS Route Report is received. If there is no match, OATS will attempt to match again on the next OATS Reporting Day. If OATS is unable to find a corresponding NES order record with the exact values in these fields, the OATS Route Report will be deemed "unmatched." These Unmatched Route and Combined Order/Route reports may be viewed or downloaded via the OATS Web interface two business days after submission of the original FORE.

Routing Method Code and SuperMontage Implementation

Once SuperMontage is implemented, orders entered in SuperMontage will also be subject to the NES order matching process. SuperMontage will be phased-in over several weeks until all Nasdaq securities are included. During this phase-in, Nasdaq may automatically re-direct orders to SuperMontage that were originally sent by the member to SuperSOES. This situation impacts OATS reporting because the member or service bureau may record for OATS purposes the Routing Method Code as "O" (SuperSOES) when in fact the order was routed to SuperMontage, (Routing Method Code "U"). In this situation, Market Regulation requests that members report the Routing Method Code for the NES to which the firm sent the order. In the above example, the firm would continue to populate the Routing Method Code with "O" during the initial phase-in period. Once SuperMontage is fully implemented, however, members are expected to populate the field with a Routing Method Code of "U".

Questions or comments regarding this matter or OATS in general may be directed to the OATS Business Help Desk at (800) 321-NASD.