The following enhancements will be rolled out for SR2-17 in the NFX Test Environment for the open session for May 19, 2017:

Improved Implied Engine and Performance:

• NFX will introduce a change in how implied orders are represented in the ITCH Market Data Feed, from aggregated to individual implied orders. This upgrade will lead to additional order book depth from implied orders being displayed, and also support performance tuning and the expansion of standard combinations including butterflies and strips that will trade through the Central Limit Order Book (CLOB).

Listed Strips for Order Book Trading:

• NFX will introduce quarter strip instruments (three consecutive calendar months) allowing market participants to execute strips where the execution price for each contract in the strip will be the average price of all instruments traded. The addition of quarterly strips will support liquidity generation and the trading of a more diverse product/term structure in the CLOB.
• The quarterly strips will differ from the traditional combination orders offered on the platform. Under the current combo pricing model, the combo transaction is priced on a net basis. In order to properly handle strips, a new average pricing model will be added.

Authorized Trader ID in Request For Quotes:

• An authorized trader field will be added to the Request for Quote (RFQ) message, making it possible for the RFQ sender to specify the Authorized Trader. The new tags for RFQ’s are detailed in attached FIX Spec Section 11.10.9.

Automatic RFQ Broadcast When a Tailor Made Combination is created:

• When a Tailor Made Combination (TMC) is created, the trading system will automatically generate a quote request broadcast over the ITCH Market Data Feed.
• Similar to existing audit trail requirements, an Authorized Trader ID will need to be specified when creating a TMC following this release. The new tags for TMC’s are detailed in attached FIX Spec Section 10.5.1.

Mass Quote in Combos (More than 1 Quote):

• Currently, only one (1) instrument in a mass quote transaction may contain a combination series. If more than one (1) instrument contains a combination, the transaction is rejected.
• Following this enhancement, it will be possible to send in a mass quote message containing two-way prices for twenty-nine (29) combination symbols.
• It shall also be possible to quote using a mix of combinations and other instruments.
• Combinations sent in as a mass quote will not interact with outright symbols through implied matching.

Cancel Message Improvement over FIX:

• When an order gets cancelled due to self-match prevention functionality, a more comprehensive rejection message will be disseminated detailing that the order cancellation stems from self-match prevention.

If you have any questions or would like to access the NFX test environment, please contact NFX Market Operations or call 215.496.5409.