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Wednesday, February 22, 2017

UTP Vendor Alert #2017 - 2
Limit Up Limit Down Changes to Trade Resumption after a Pause

Markets Impacted:

Products Impacted:

Contact Information:

What you need to know:

  • The Limit Up / Limit Down (LULD) committee is proposing enhancements to the automated reopening process following a LULD Pause, via their 12th Amendment to the LULD Plan.
    • Trading Pause will continue until the Primary Listing Exchange has reopened trading
    • Eliminate the current 10 minute restriction
    • Prior to resuming trading there must be published Price Bands
  • A new Administrative Message will be introduced to support the Auction Collars (Category A – Type E)
  • Tentative implementation for the new message is scheduled for August/September 2017

What you need to know?

The Limit Up / Limit Down (LULD) Plan Participants propose to amend the LULD Plan to provide that a Trading Pause will continue until the Primary Listing Exchange has reopened trading using its established reopening procedures and reports a Reopening Price.

The Participants further propose to eliminate the current allowance for a trading center to resume trading in an NMS Stock following a Trading Pause if the Primary Listing Exchange has not reported a Reopening Price within ten minutes after the declaration of a Trading Pause and has not declared a Regulatory Halt.

In addition, to preclude potential scenarios when trading may resume without Price Bands, the Participants propose to amend the Plan to provide that a trading center may not resume trading in an NMS Stock following a Trading Pause without Price Bands in such NMS Stock.

To address potential scenarios in which there is no Reopening Price from the Primary Listing Exchange to use to calculate Price Bands, the Participants propose to make related amendments to the Plan to address when trading may resume if the Primary Listing Exchange is unable to reopen due to a systems or technology issue and how the Reference Price would be determined in such a scenario or if the Primary Listing Exchange reopens trading on a zero bid or zero offer, or both.

As proposed, in such case, trading centers may resume trading an NMS Stock, but only if:

  • (i) the Primary Listing Exchange notifies the Processor that it is unable to reopen trading due to a systems or technology issue and
  • (ii) the Processor has disseminated Price Bands based on a Reference Price.

How will the affect the UTP Data Services?

The following proposal seeks to provide the market participants with harmonized procedures for automated re-openings with LULD Bands that would require changes to the rules of the primary exchanges, and CTA and UTP SIP technology enhancements as described below.

  • The SIP shall no longer establish and disseminate new LULD bands after 10 minutes from the initial trading pause if the primary market is unable to reopen.
  • The SIP shall receive and disseminate the new Auction Collars (New message Category A – Type E), that also identifies the Auction Extension and associated Auction Collars Bid/Offer Prices with zero Bid/Offer Sizes from the primary market.

The new message will be generated by the listing market and disseminated via the UTP Data Services as pass-through processing.

New Outbound Auction Collar Message (Category A - Type E)

Name Offset Length Type Notes
version 0 1 byte 1 - Protocol Version
msgCategory 1 1 byte A- Administrative
msgType 2 1 byte E- Collar Message
orig 3 1 byte Market Center Originator ID
subMarketId 4 1 byte Sub Market Center ID
sipTime 5 8 long SIP Timestamp
timestamp1 13 8 long Participant Timestamp
partToken 21 8 long Participant Token
symbol 29 11 byte[] Security Identifier
actionSequence 40 4 int Trading Action Sequence Number
CollarReferencePrice 44 8 Long Reference price used to set collars
CollarUpPrice 52 8 long Collar Up Price
CollarDownPrice 60 8 long Collar Down Price
CollarExtension 68 1 byte Collar Extension indicator
Total 69

When will the new message be implemented?

The new message is scheduled to be implemented in August/September 2017, pending final approval by the LULD committee and SEC.

Will there be testing opportunities?

As is the normal process, the UTP SIP plans to offer evening format and Saturday testing opportunities for data feed subscribers prior to release to ensure that firms can process the new Auction Collar message format. Once the UTP SIP confirms its testing and release schedule with the UTP participants, it will post a follow up notice with the dates.

Who should I contact for additional information?