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Friday, February 1, 2013

Options Technical Update #2013 - 1
PHLX Updates CTI and FIX specifications to Support Order Exposure Alert Executions and LULD

Markets Impacted:

Contact Information:

What you need to know:

  • Effective February 4, 2013 CTI liquidity codes will be available that indicate when an execution was the result of an Order Exposure Alert
  • Effective March 1, 2013 a new FIX liquidity code will be available that indicates when an execution was the result of an Order Exposure Alert
  • FIX will support a new market order reject code in relation to the Limit Up/Limit Down changes to be implemented April 8, 2013

What is changing?

NASDAQ OMX PHLXSM (PHLX®) is updating liquidity codes on CTI and FIX in order to support executions resulting from Order Exposure Alerts.

Date Protocol Liquidity Code Description
2/4/13 CTI v1.3 J Participant's order triggered an Order Exposure Alert and executed during exposure period
2/4/13 CTI v1.3 K Participant responded to an Order Exposure Alert and executed against exposed order during exposure period
3/1/13 FIX J Participant's order triggered an Order Exposure Alert and executed during exposure period

PHLX is also updating the FIX specification to include a new market order reject code in support of the April 8, 2013 implementation of Limit Up/Limit Down:

Tag 103 OrdRejectReason Text Description
17 "MKT INVALID DURING LULD" MKT Order cancelled or rejected due to underlying being in Limit Up Limit Down state.

What do I need to do to get the new liquidity codes on CTI and FIX?

Firms should notify subscriber services to have the new liquidity codes enabled for their ports. Subscriber Services can be reached at: +1 212 231 5180 or subscriberservices@nasdaqomx.com.

Where can I find additional information?

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