Technical Notice

OATS Technical Specification Changes

June 10, 2015

This version of the OATS Reporting Technical Specifications contains code changes specific to certain FINRA member firms that provide algorithms to NYSE Floor Brokers and validation changes that are specific to non-FINRA member firms that are required to record OATS data pursuant to certain exchange rules.   The changes described in this version of the OATS Reporting Technical Specifications include all required changes related to expanding FINRA’s OATS Rules to all NMS stocks (SR-FINRA-2010-44), along with other technical enhancements. All changes described in this version of the OATS Reporting Technical Specifications will be available in the OATS Production environment on January 16, 2012 and in the OATS Certificate Test environment on January 9, 2012.  The effective date for the changes specific to the NYSE Floor Broker Algorithm is February 27, 2012.
 
The following is an overview of the additional enhancements in this edition:

  • Added the following permitted value for Routing Method Code:
    • ‘F’ NYSE Floor Broker Algorithm
  • Added the following Special handling Code:
    • ‘FBA’ NYSE Floor Broker Algorithm
  • Modified the following validations:
    • 2750 - Sent To Routed Order ID is required for electronically routed orders
      Sent To Routed Order ID must be provided if the Routing Method Code is ‘E’ (Electronic), ‘F’ (NYSE Floor Broker Algorithm) or ‘S’ (Smart Router).
    • 2411– Routed Order ID is required for electronically routed orders
      Routed Order ID must be provided if the Routing Method Code is ‘E’ (Electronic), ‘F’ (NYSE Floor Broker Algorithm) or ‘S’ (Smart Router).
    • 2163 - Combination of Member Type Code and Account Type Code is not valid
      For the New Order, Cancel/Replace, Combined Order/Route, and Combined Order/Execution Reports, when the Order Origination Code is ‘F’, the following Member Type Code and Account Type Code combinations are valid:
      • Member Type Code is ‘A’ or ‘N’,  and the Account Type Code is ‘A’, ‘C’, ‘R’,  ‘I’ or ‘E’
      • Member Type Code is ‘M’ or ‘N’, and the Account Type Code is ‘O’, ‘P’, or ‘X’

The following is an overview of the enhancements previously announced in the May 03, 2011 OATS Reporting Technical Specifications edition:

  • Expanded the OATS Rules to include all NMS stocks including securities listed on the New York Stock Exchange, NYSE Amex and NYSE Arca.  The expansion of the OATS Rules will be accomplished in three phases based on the symbol of the security. The phases will be implemented on October 17, 2011, November 7, 2011 and November 28, 2011. FINRA will announce at a later date the details of which symbols will be subject to OATS reporting during each phase.
    • For exchange listed securities, the symbol format of the Issue Symbol ID reported to OATS must follow the format published by the primary listing market.
  • Added the Order Origination Code as a mandatory field to New Order, Combined Order/Route, Combined Order/Execution and Cancel/Replace Reports to identify whether the order was received from a customer of the firm, originated by the firm or whether the order was received from another Broker/Dealer. Refer to Appendix A for the list of allowable values.
  • Re–purposed the Account Type Code field to represent the type of beneficial owner of the account for which an order was received or originated; and modified allowable values to more closely align with NYSE Account Type Indicators where appropriate. Refer to Appendix A for the list of allowable values.
  • Added the Exchange Participant ID as a conditional field to Route and Combined Order/Route Reports to capture the firm identifier assigned by the exchange.
    • The Exchange Participant ID is required for all orders routed to a national securities exchange.
    • The Exchange Participant ID will be included as match criteria in the Exchange Route Matching process. Refer to Chapter 6.
    • The Exchange Participant ID has also been added to the Unmatched Exchange Route Reports feedback which is provided back to firms. Refer to Appendix C.
  • Added the Connection ID as a conditional field to the Route and Combined Order/Route Reports to capture the unique identifier representing the name of the connection used when routing to another firm or national securities exchange.
    • The Connection ID may be populated to guarantee uniqueness for a Routed Order ID / Sent to Routed Order ID.
    • If populated, the Connection ID will be included in the validation for unique Routed Order ID.
    • If populated, the Connection ID will be included as match criteria in the Exchange Route Matching process. Refer to Chapter 6.
    • The Connection ID was added to the Unmatched Exchange Route and Unmatched Interfirm Route Reports feedback which is provided back to firms. Refer to Appendix C.
  • Added the Information Barrier ID as a conditional field to the New Order, Desk Report, Cancel/Replace, Combined Order/Route, and Combined Order/Execution to capture the identifier of the information barrier in place for a trading unit that will meet the criteria of the “no-knowledge” exception in FINRA Rule 5320.02.
    • Information Barrier ID will be placed in the field position previously defined for the Received by Desk ID in the New Order, Desk Report, Combined Order/Route and Combined Order/Execution.
    • Information Barrier ID will be added as a new field for the Cancel/Replace Report.
  • Renamed the Bunched Order Indicator field to Special Routing Condition. This field name change applies to Route and Combined Order/Route reports; added new allowable value and new validation. Refer to Appendix A.
  • Created standard allowable values for Receiving Department ID and Originating Department ID. Refer to Appendix A.
  • Modified allowable values for Destination Code, Member Type Code, Reporting Exception Code, and Special Handling Codes. Refer to Appendix A for the list of allowable values.
  • For executions reported to a FINRA transaction reporting system, the Branch Sequence Number must be unique within the firm within the day except in instances involving an agency cross where one side of the cross is comprised of multiple orders.  Refer to the OATS Report titled: FINRA Guidance on OATS Order Trade Matching Obligations for Orders Matched as Agent by a Member, including an ECN or ATS.
  • For orders routed electronically, the Routed Order ID field on the Route Report and Sent to Routed Order ID field on the Combined Order/Route report must be unique, except in instances when the route has a Special Routing Condition, as per the following:
    • For orders routed to another member, the Routed Order ID must be unique for the MPID, Order Sent Date, Sent to MPID, and Connection ID.
    • For orders routed to a national securities exchange, the Routed Order ID must be unique for the MPID, Order Sent Date, Destination Code, Exchange Participant ID and Connection ID.
    • All Route and Combined Order/Routes containing a duplicated Routed Order ID / Sent to Routed Order ID will be rejected.

    Refer to Chapter 4, Section 4.2.3 for the definition of a bunched order.

  • Modified the match criteria and unmatched reason codes associated with Exchange Route Matching and Interfirm Route Matching. Refer to Chapter 6.
  • All timestamps captured by the firm in milliseconds shall be reported to OATS in milliseconds. If a firm does not capture time in milliseconds, the milliseconds portion of the timestamp may be reported as 000.
    • The data type for the following Timestamp fields has been increased to Numeric(17) and must be in the format YYYYMMDDHHMMSSCCC:
      • Correction/Deletion Timestamp
      • Order Receiving Firm Order Received Date
      • Replaced Order Received Date
      • Order Received Timestamp
      • Order Sent Timestamp
      • Order Cancel Timestamp
      • Desk Received Timestamp
      • Execution Timestamp
      • TMO Trigger Timestamp
    • The data type for the Expiration Time field has been increased to Numeric (9) and must be in the format HHMMSSCCC.
  • The data type for the following fields has been increased to Alphanumeric (40):
    • Order Receiving Firm Order ID
    • Replaced Firm Order ID
    • Routed Order ID
    • Sent to Routed Order ID
  • All computer system clocks and mechanical time stamping devices must be synchronized to within one second of the National Institute of Standards and Technology (NIST) atomic clock. Refer to Chapter 2.
  • The reporting deadline to submit OATS data has been extended to 8:00 a.m. Eastern Time. Refer to Chapter 8.
  • Firms may submit compressed files to OATS using the GNU gzip compression protocol. Refer to Chapter 3.
  • The FORE file size limit has been increased to a maximum uncompressed file size of 25MB.
  • Firms may transmit OATS data using SFTP, which enables firms to transmit encrypted secure files via the OATS/SAVVIS network or the public Internet.
    • OSOs submitting via SFTP over the Internet are required to maintain a static IP address and must contact FINRA Technical Support to associate the static IP address with FINRA’s firewall. OSOs must allow for a ninety day period for the firewall and network setup to be put in place.
    • The following addresses must be used to access OATS via SFTP:(Refer to Chapter 3)
      • Production Environment: oats-sftp.finra.org
      • Test Environment: oatstest-sftp.finra.org
  • Made the following enhancements to the ROE Rejection process:
    • Syntax and Semantics rejections will be available within 4 hours of submission.
    • Context Rejections will continue to be available within 2 business days of the processing date.
    • Firms will have 5 business days from the date when Context Rejections are available to repair and resubmit all rejections that require repair.
    • Context Rejections that do not require repair will not be automatically provided back to firms. Firms may contact the OATS Business Support Helpdesk to obtain this data.
  • Added the following validations: (Refer to Appendix B for the full definition)
    • 2032 – Issue Symbol does not match listing market format
    • 2039 – Invalid Information Barrier ID
    • 2040 – Invalid Connection ID
    • 2138 – Missing or invalid Order Origination Code
    • 2139 – Missing or invalid Exchange Participant ID
    • 2166 – Combination of Order Origination Code and Member Type Code is not valid
    • 2167 – Combination of Order Origination Code and Account Type Code is not valid
    • 2168 – Receiving Department ID or Originating Department ID must be populated
    • 2607 – Order Received Date must be equal to the Date Portion of the Order Received Timestamp
    • 3512 – Duplicate Routed Order ID or Sent to Routed Order ID reported on same day
    • 3513 – Duplicate Routed Order ID or Sent to Routed Order ID reported on previous day
  • Modified the following validations: (Refer to Appendix B for the full definition)
    • 1030 – FORE file exceeds the supported size limit
    • 2023 – Sent To Firm MPID must be a non–FINRA member when the Destination Code is ‘N’ or ‘A’
    • 2029 – Issue is not reportable to OATS
    • 2107 – Missing or invalid Routed Order ID
    • 2108 – Invalid Sent To Routed Order ID
    • 2129 – Invalid Program Trading Code
    • 2130 – Invalid Arbitrage Code
    • 2144 – Missing or invalid Customer Instruction Flag
    • 2153 – Routing Firm MPID must be a non–FINRA member when the Order Origination Code is ‘W’ and the Member Type Code is ‘N’ or ‘A’
    • 2154 – Routing Firm MPID must be blank when the Order Origination Code is ‘F’
    • 2163 – Combination of Member Type Code and Account Type Code is not valid
    • 2169 – Missing Receiving Department ID
    • 2170 – Missing Originating Department ID
    • 2201 – Missing or invalid Branch Sequence Number
    • 2407 – Invalid Special Routing Condition Indicator
    • 2411 – Routed Order ID is required for electronically routed orders
    • 2750 – Sent to Routed Order ID is required for electronically routed orders
    • 2752 – Missing Routing Firm MPID
  • Modified the following validations impacted by changes to allowable values: (Refer to Appendix B for the full definition)
    • 2125  - Missing or invalid Account Type Code
    • 2128 – Invalid Receiving Department ID
    • 2145 – Invalid Originating Department ID
    • 2147, 2148, 2149, 2150, 2151, 2509, 2510, 2511, 2513, 2514 – Invalid Special Handling Code
    • 2159 – Missing or invalid Member Type Code
    • 2161 – Missing or invalid Destination Code
    • 2207 – Invalid Reporting Exception Code
    • 2508 – Missing or invalid Desk Type Code
  • Removed the following validations:
    • 2155 – Routed Order ID must be blank for this Member Type Code and Account Type Code
    • 2502 – Missing or invalid Desk Received Identifier
  • Added the following Unmatched Reason Codes:
    • 4015 – Multiple fields did not match
    • 4025 – Multiple fields did not match
  • Modified the following Unmatched Reason Codes:
    • 4013 – Exchange Participant ID did not match
    • 4023 – Routing Firm or Order Receiving Firm Market Participant ID did not match
    • 4024 – Issue Symbol did not match
    • 4025 – Multiple fields did not match
    • 4014 – Issue Symbol did not match
  • Removed the following Unmatched Reason Codes:
    • 4013 – Sent to Timestamp reported on the Route event is not equal to the Exchange Order
    • 4014 – Unmatched due to secondary Exchange Route match data error
    • 4023 – Sent to Timestamp reported on the Route report is not within allowable timestamp difference of Order Received Timestamp on the Order receipt
    • 4024 – Unmatched due to secondary Interfirm Route match data error
  • Updated all OATS Reporting Scenarios in Chapter 4 to recognize the inclusion of the additional NYSE market centers, and to reflect the changes to OATS fields and field values.
  • Added the following OATS Reporting Scenarios: (Refer to Chapter 4)
    • Execution of Orders Matched as Agent by a Member (Including ATS or ECN)
    • Manual Order Routing to a National Securities Exchange
    • Electronic Order Routing to a National Securities Exchange
    • Order Routing to an Options Exchange
    • Order received by a Member and subsequently entered into an Order Management System (OMS)  or trading system for further handling and execution
  • Added Event Listings to all Capacity Reporting Scenarios. Refer to Chapter 4.
  • Removed the following OATS Reporting Scenarios:
    • Agency Customer Cross Execution
    • Order Execution via an ECN
    • Bunched Desk Transmittal
  • Added OATS Reportable Security Daily List information to FINRA.org.
  • Alternatively, firms may also obtain reportable securities at the following links:
  • The following OATS Reports, available on FINRA.org, provide additional guidance related to changes associated with this release:
    • FINRA Guidance on OATS Order Trade Matching Obligations for Orders Matched as Agent by a Member, including an ECN or ATS – provides guidance for OATS Order Trade Matching when a member, including an ECN or ATS, matches orders as agent.  This guidance will be effective upon implementation of the OATS expansion to all NMS stocks.
    • Validation of Order Origination Code and Account Type Code – provides guidance related to the use of the Order Origination Code, Account Type Code, Member Type Code, Routing Firm MPID and Routed Order ID fields on all New, Combined Order/Route, Combined Order/Execution, and Cancel/Replace Reports.
    • ROE Rejection Feedback - provides additional guidance related to the ROE Rejections process.