Pending regulatory approval, the following enhancements will be rolled out for SR2-17 in the NFX Production Environment for the Open Session for July 9th, 2017:

Improved Implied Engine and Performance:

• NFX will introduce a change in how implied orders are represented in the ITCH Market Data Feed. Currently, Implied Orders are listed in the aggregate. Implied Orders will now be listed individually. This upgrade will provide greater visibility into order book depth with all implied orders within a pre-set price limit being displayed. This will also support performance tuning and the expansion of standard combinations including butterflies and strips that will trade through the Central Limit Order Book (CLOB).

Self-Match Prevention:

• NFX is adopting the futures industry standard order handling methodology and removing self-match prevention (“SMP”) from both Implied Out and Implied In Orders. Currently, NFX allows market participants to elect self-match prevention functionality which will prevent Orders and Quotes on one side of the order book from matching with an Order or Quote from a market participant with the same Market Participant Identification (MPID) on the other side of the order book. Currently, NFX offers SMP for Implied Orders in addition to outright Orders. NFX has decided to remove SMP functionality from Implied Orders to align itself with futures industry practice.

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 the NFX 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 NFX 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 the NFX FIX Spec Section 10.5.1.

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.

These enhancements have been available for testing in the NFX test environment beginning May 19th. If you have any questions or would like access to or assistance with testing, please contact NFX Market Operations or call 215.496.5409.