FINRA Tick Size Pilot Program Market Maker Transaction Reporting Specification Guide July 28, 2016

FINRA Tick Size Pilot Program Market Maker Transaction Reporting Specification Guide July 28, 2016 Copyright 2016 FINRA FINRA Tick Size Pilot Progr...
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FINRA Tick Size Pilot Program Market Maker Transaction Reporting Specification Guide July 28, 2016

Copyright 2016 FINRA

FINRA Tick Size Pilot Program File Format Specification Guide

Contents 1.

Introduction .................................................................................................................................... 1-3

2.

System Access ................................................................................................................................. 2-4 2.1.

3.

Data Reporting Formats................................................................................................................ 3-5 3.1.

3.2.

4.

SFTP Protocol ..................................................................................................................................... 2-4 File Requirements ............................................................................................................................... 3-5 3.1.1. Naming Convention................................................................................................................ 3-5 3.1.2. File Formatting ....................................................................................................................... 3-5 3.1.3. Trailer Record ........................................................................................................................ 3-6 Record Formats .................................................................................................................................. 3-6

Feedback and Corrections .......................................................................................................... 4-10 4.1. 4.2.

4.3.

Submission Status ............................................................................................................................ 4-10 FINRA Response .............................................................................................................................. 4-10 4.2.1. File Validation and Feedback ............................................................................................... 4-10 4.2.2. Record Processing ............................................................................................................... 4-11 4.2.3. Content Rejection Feedback ................................................................................................ 4-12 4.2.4. Unlinked Trade Feedback .................................................................................................... 4-15 4.2.5. FINRA Response File Timing .............................................................................................. 4-16 Corrections ........................................................................................................................................ 4-16 4.3.1. Repairing Rejections ............................................................................................................ 4-17 4.3.2. Repairing Unlinked Trades .................................................................................................. 4-17

5.

Testing ........................................................................................................................................... 5-18

6.

Additional Information ............................................................................................................... 6-19 6.1.

FINRA Contacts ................................................................................................................................ 6-19

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Change Log Version

Change Description

1.0

Initial Version

1.1

Added IEX Exchange Code - V Added Options Exchange Code - O Updated Table 4-6 Unlinked Feedback File Naming Convention to display Unlinked Feedback File Processed Time

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1. Introduction This specification is being published to collect certain transaction data from Market Makers who are required to submit data pursuant to Appendix B.IV and C under the Plan to Implement a Tick Size Pilot Program (“Plan”). As reflected in FINRA’s proposed Tick Size Pilot Data Collection rule filing (SRFINRA-2015-048), Tick Size Market Makers will comply with the Data Collection requirements contained in Item IV of Appendix B and Item C of the Plan by complying with the market maker transaction reporting requirements included in this Market Maker Transaction Data Technical Specification. FINRA and the other Plan Participants will use the detail transaction data provided by Tick Size Market Makers to compile the data required pursuant to Item IV of Appendix B and Item C of the Plan. Please refer to SR-FINRA-2015-48 and the Tick Size Market Maker Reporting Requirements FAQs at http://www.finra.org/industry/tick-size-pilot-program for information on what market making activity is required to be reported under the Plan and related SRO rules.

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2. System Access 2.1.

SFTP Protocol

Files may be submitted to FINRA using the secure SFTP Protocol. Firms must be authorized as a File Transfer Application user within the FINRA Entitlement Program prior to submitting files. For additional information please refer to http://www.finra.org/industry/entitlement-information-ftpift-users. Table 2-1 FINRA Data Folders Environment

IP Address/Host

Port

Drop Off Folder

Production

IP Address: 75.98.61.45 (For Internet connections) Host Name: filetransfer.finra.org

22

Drop off: tick/in Pick up: tick/out Unlink repairs drop off: tick/unlink_in Unlink repairs pick up: tick/unlink_out

22

Drop off: tick/in Pick up: tick/out Unlink repairs drop off: tick/unlink_in Unlink repairs pick up: tick/unlink_out

IP Address: 150.123.246.45 (For Savvis connections) Test

IP Address 198.202.241.37 (For Internet connections) Host Name: filetransfer.qa.finra.org IP Address: 150.123.247.37 (For Savvis connections)

Files may be submitted to the Production Environment 24 hours per day, 5 days per week, from 08:00 Eastern Time on Monday to 08:00 Eastern Time on Saturday. Events that occurred on a particular trade date must be reported by the fourth business day (T+4) following the trade date before 12:00 p.m. (noon) Eastern Time. Records received after the deadline will be marked late. .

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3. Data Reporting Formats 3.1.

File Requirements

3.1.1. Naming Convention The file naming convention the Firm must use is: TSP___. Table 3-1 Reporting File Naming Convention Field

Data Type (Length)

Description

CRD Number

Numeric (8)

The CRD Number identifying the Market Maker for which the records in the file are reported. Must be valid for the File Submission Date

Submission Date

Numeric (8)

Format: YYYYMMDD The date in which the file is submitted to FINRA.

Unique File Identifier

Alphanumeric (20)

Uniquely identifies the file within the submission date.

File Extension

Alphanumeric (20)

Files may be submitted either compressed or uncompressed. If compressed, the file extension must be .gz for gzip or .bz2 for bzip.

For example: TSP_123_20160601_1.txt TSP_123_20160601_2.txt … TSP_123_20160601_n.txt 3.1.2. File Formatting The following rules apply to the formatting of the files: 1. 2.

3. 4.

Each file must contain a trailer record as the last record. Failure to pass syntax and semantic validations will result in rejection of the entire file. A Market Maker will be required to address all the rejects and resubmit all the records in the file. Data records within the file may be in any sequence. FINRA will return a Response file for all submissions.

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5. 6.

A Response file from FINRA will contain feedback for the accepted and rejected records for an individual file. In the event multiple files with the same name are received, FINRA will use the last file received based on FINRA’s file received timestamp.

3.1.3. Trailer Record Trailer records are used to signify the end of the file. They include integrity information, such as the number of records included in the file. Table 3-2 Trailer Record Format Seq.

Name

Data Type (Length)

M/C

Permissible Values and Instructions

1

Record Type Code

Alphanumeric (2)

M

Populate with TR to identify the record as the trailer.

2

Record Count

Numeric (8)

M

Total number of records in the file. NOTE: This does not include the trailer.

3.2.

Record Formats

This section describes the methods required to format and package the Market Maker transaction data for submission to FINRA. FINRA’s submission interface only supports a delimited format. A complete description of all fields in each Market Maker transaction data record is detailed in Table 3-3 below. The delimited format can also be described as a field separated format, because fields within each record are separated by a delimiter. The delimiter marks the end of the current field and the beginning of the next field. Each field is identified by its relative position within each record. The sequence of the fields within each record must be exactly as stated in the record descriptions. In addition, each field is designated mandatory (M) or conditional (C). Conditional fields must appear in the record, but they may contain only the delimiter. The following rules apply to the delimited formats: 1. The Tick Size Pilot Files must be submitted in pipe delimited text format (decimal 124; ASCII). The sequence of the fields within each record is fixed. 2. Each record must end with an end of record marker (ASCII LF or CR/LF). 3. Each field must be terminated by a delimiter even if the field is the maximum length. 4. The values in the record cannot contain the character used for the delimiter. 5. The last field in a record is not required to be terminated by a delimiter, but the field will still be considered to be acceptable if the delimiter is included. 6. Each field is positional, that is, the order of the fields within each record is a fixed sequence. The position of each field is relative to the beginning of its associated record.

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7. Fields must be equal to or less than the full length specified. 8. Conditional fields (C) are omitted by only including the delimiter. 9. Mandatory (M) fields must contain an appropriate value and be terminated by the delimiter. 10. Values that do not fill the fields may be padded with blanks, as appropriate, but padding is NOT required. 11. Numeric fields may be padded with leading zeros. 12. Alphanumeric fields may be optionally padded with trailing blanks. 13. The Execution Price field, labeled as Numeric (n,m), must contain no more than n characters, including the decimal; must contain no more than m characters to the right of the decimal; and must contain no more than n-m characters to the left of the decimal, whether a decimal is implied or not. The decimal is optional only in a case where the price is a whole number.

Table 3-3 Market Maker Transaction Data Record Format Seq.

Name

Data Type (Length)

M/C

Permissible Values and Instructions

1

Trade Date

Numeric (8)

M

Format: YYYYMMDD Date the Trade was executed.

2

Unique Record Identifier

Alphanumeric (20)

M

Assigned by firm to uniquely identify each record submitted. Must not be duplicated on a given trade date.

3

Issue Symbol ID

Alphanumeric (14)

M

Case sensitive. Must be a valid Tick Size Pre-Pilot Data Collection or Pilot reportable security. The symbol format must follow the format published by the primary listing market.

4

Execution Time

Numeric (9)

M

Format: HH24MMSSCCC Time of Execution. Must be reported in Eastern Military time.

5

Execution Price

Numeric (18,8)

M

Values: Must be greater than 0.

6

Shares Quantity

Numeric (11)

M

Values: Any integer greater than zero.

7

Buy/Sell Code

Alphanumeric (2)

M

Case sensitive. Values: B – Buy S – Sell SS – Short Sell SX – Sell Short Exempt

8

Trading Center Type

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Alphanumeric (1)

M

Case sensitive.

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Seq.

Name

Data Type (Length)

M/C

Permissible Values and Instructions Values: E – Market Maker was the Trading Center or the Market Maker was the contra party in a trade negotiated between the two parties where neither party is considered to have routed an order to the other party. An example would be a trade negotiated between two dealers over the telephone or via some other type of negotiation system R – Routed away for execution.

9

Exchange Code

Alphanumeric (1)

C

Case sensitive. Must be populated if the Trading Center Type = ‘R’ and the routing destination is an exchange: Values: A = NYSE MKT B = NASDAQ OMX BX C = National Stock Exchange F = Non–US Exchange I = International Securities Exchange J = EDGA Exchange K = EDGX Exchange M = Chicago Stock Exchange N = New York Stock Exchange O = Options Exchange P = NYSE Arca Q = The NASDAQ Stock Market W = CBOE Stock Exchange V = Investors Exchange X = NASDAQ OMX PHLX Y = BATS BYX Exchange Z = BATS BZX Exchange

10

Trading Center or SentTo Firm MPID

Alphanumeric (4)

C

If the Trading Center Type = E, populate with the FINRA MPID of the FINRA Member Executing the Trade. If the Trading Center Type = R, populate with the MPID of the broker/dealer to whom the order was routed. If a foreign broker/dealer, populate with an ‘F’.

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Seq.

Name

Data Type (Length)

M/C

Permissible Values and Instructions

11

Order Entry Firm Identifier

Alphanumeric (6)

C

MPID or other exchange assigned identifier used for order entry (e.g., ETPID, NYSE mnemonic). Must be populated if the Trading Center Type = ‘R’.

12

Order Sent Date

Number (8)

C

Format: YYYYMMDD Must be populated if the order was routed on a date other than the Trade Date.

13

Routed Order ID

Alphanumeric (40)

C

Order identifier used for routing. Must be populated if the Trading Center Type = ‘R’ For orders sent to another BD, this would be Fix Tag 11. For exchanges, this would be the firm assigned order identifier required by the exchange, such as Client Order ID.

14

Connection ID

Alphanumeric (12)

C

Case sensitive. Value: Any alphanumeric not containing a delimiter. Optional – may be used to guarantee uniqueness of the routed order ID at the order level. If populated, will be used as part of the matching key.

15

Cancellation Indicator

Alphanumeric (1)

C

Must be populated when a firm is cancelling a previously submitted and accepted trade. Values: = The trades do not represent a cancellation. C = The cancellation of a trade previously reported

16

Original Trade Date for Report Being Cancelled

Numeric (8)

C

Must be populated when the Cancellation Field = C. The date in this field must represent the trade date of the original execution that is being cancelled. Format: YYYYMMDD

17

Original Unique Record Identifier

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Alphanumeric(20)

C

Must be populated when the Cancellation Field = C. The value in this field must represent the Unique Record Identifier assigned to the original trade for which this cancellation report is being submitted.

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4. Feedback and Corrections 4.1.

Submission Status

Submission feedback information gives the submitter information about whether a file was accepted or if repairs to submission files or records are required. This section addresses the procedures for repairing submission errors. 4.2.

FINRA Response

4.2.1. File Validation and Feedback FINRA will provide initial feedback upon receipt of a file from a Market Maker. Feedback will be provided on both accepted and rejected files and will be located in the user’s tick/out folder. The feedback file will contain the original filename, posix timestamp and status message and will be formatted as follows: .. Table 4-1 Feedback File Naming Convention Name

Description

Original Filename

The original filename as originally submitted by the Market Maker.

Timestamp

A “ts” followed by the posix timestamp in which the file is received. The posix time format is the number of seconds since 1/1/1970 in EST.

File Status

If the file is accepted, it will be appended with a “fileaccept” suffix. If the file is rejected, it will be appended with a. “filereject” suffix.

For example: OriginalFileName.ts1375311600.fileaccept OriginalFileName.ts1375311750.filereject The Feedback Files will be returned in pipe delimited text format (decimal 124; ASCII). The content of the File Feedback will contain the following information:

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Table 4-2 File Feedback Format Seq.

Name

Data Type (Length)

Description

1

Original Filename

Alphanumeric (200)

2

File Status

Alphanumeric (8)

Values: “Accepted” for .fileaccept “Rejected” for .filereject

3

Total Records

Numeric (8)

The number of records FINRA counted

4

Record count in Trailer Record

Numeric (8)

The number of records specified by the Market Maker

5

Error Code

Alphanumeric (100)

Reason for the file rejection. The field will be blank if the file is accepted. See Table 4-5 for error codes.

4.2.2. Record Processing Content status messages are generated for each file submitted by the Market Maker to indicate the file’s status after FINRA’s content validation process is complete (i.e. pass or fail/error). FINRA will provide Rejections or unlinked trades based on the type of validation. The validations are described below: Once File Processing is complete, FINRA will begin processing records and validating for rejections and unlinked trades. FINRA will provide feedback on Rejections and Unlinked Trades. Content Rejections The types of validations that result in a Rejection are described below: Duplicate Record Identifiers If two records share the same record identifier and trade date within a file, FINRA will reject both records and the Market Maker must repair and resubmit. Syntax and Semantics FINRA will validate each record to determine if the format and length are correct, valid values are used, and required fields are populated. Common syntax and semantic reasons include:

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  

Missing mandatory field – a value is not provided for a mandatory field. For example, the shares quantity field is blank. Invalid value – a value supplied contains invalid characters or is not among the allowed values for the field. Invalid Field Combination – two fields supplied in the record are in conflict.

If a syntax or semantic error is identified, the record will be rejected. Content Rejection Feedback is described in Section 4.2.3 and the process to correct rejections is described in 4.3.1 Unlinked Trades For trades with a Trading Center Type of ‘R’, FINRA will attempt to link to the broker/dealer or Exchange to identify the executing Trading Center. The following fields are used for the match criteria: For orders routed to an Exchange:      

Trade Date Exchange Code Order Entry Firm Identifier Issue Symbol ID Routed Order ID Connection ID

For orders routed to another Broker/Dealer:    

Trade Date Sent To Firm MPID Issue Symbol ID Routed Order ID

Unlinked trades may require action by the Market Maker. Feedback on unlinked trades is described in Section 4.2.4 and the correction process for unlinked trades is described in Section 4.3.2. 4.2.3. Content Rejection Feedback As described in Section 4.2.2, rejections are stored in the user’s directory under the “tick/out” folder. The naming convention of the Content Rejection Feedback is: ..

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Table 4-3 Content Rejection File Naming Convention Name

Description

Original Filename

The original filename as originally submitted by the Market Maker.

Timestamp

A “ts” followed by the posix timestamp in which the file is received. The posix time format is the number of seconds since 1/1/1970 in EST.

Content Status

If the file is accepted, it will be appended with a “contentaccept” suffix. If the file is rejected, it will be appended with a “contentreject” suffix.

Both the accept and reject files will contain the information below. Please note that up to three error codes will be provided for each record. Table 4-4 Content Rejection Record Format Seq.

Name

Data Type (Length)

Description

1

Trade date

Numeric (8)

Trade date from the submitted file

2

Unique Record Identifier

Alphanumeric (20)

Unique Record identifier from the submitted file

3

Status

Alphanumeric (8)

Accepted or Rejected

4

Error 1

Alphanumeric(100)

Populated only for Rejected row. Error code for the first field that had the error. See Table 4-5 for error codes. Format: :Error Code

5

Error 2

Alphanumeric(100)

Populated only for Rejected row. Error code for the second field that had the error. See Table 4-5 for error codes. Format: :Error Code

6

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Error 3

Alphanumeric(100)

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Populated only for Rejected row. Error code for the third field that had the error.

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Seq.

Name

Data Type (Length)

Description See Table 4-5 for error codes. Format: :Error Code

Table 4-5 Error Codes

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#

Error Code

Applicable to

1

MISSING_FIELD

Content Feedback

2

INVALID_MIN_STRING_LENGTH

Content Feedback

3

INVALID_MAX_STRING_LENGTH

Content Feedback

4

INVALID_MIN_VALUE

Content Feedback

5

INVALID_MAX_VALUE

Content Feedback

6

INVALID_DATE_FORMAT

Content and File Feedback

7

INVALID_TIMESTAMP_FORMAT

Content Feedback

8

NOT_AN_INTEGER

Content Feedback

9

NOT_A_DECIMAL

Content Feedback

10

INVALID_DECIMAL_PRECISION

Content Feedback

11

INVALID_DECIMAL_SCALE

Content Feedback

12

MISSING_TRAILER

File Feedback

13

INVALID_RECORD_COUNT

File Feedback

14

INVALID_FILE_NAME

File Feedback

15

INVALID_CRD_NUMBER

File Feedback

16

INVALID_FIELD_COMBO

Content Feedback

17

DUPLICATE_RECORD

Content Feedback

18

INVALID_VALUE

Content and File Feedback

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4.2.4. Unlinked Trade Feedback As described in Section 4.2.2, the subset of unlinked trades will be provided to Market Makers as an unlinked trade that may require action. The unlinked trades are stored in the user’s directory under the “tick/unlink_out” folder. The naming convention of the Unlinked Feedback is: ..unlink

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Table 4-6 Unlinked Trade File Naming Convention Name

Description

Original Filename

The original filename as originally submitted by the Market Maker.

Timestamp

A “ts” followed by the posix timestamp in which the unlink feedback file is processed. The posix time format is the number of seconds since 1/1/1970 in EST.

The contents of the Unlinked Feedback file will contain only those records that did not link and will provide the following information: Table 4-7 Unlinked Trade Record Format Seq.

Name

Data Type (Length)

Description

1

Line Number

Numeric (8)

FINRA assigned line number

2

Trade date

Numeric (8)

Trade date from the submitted file

3

Unique Record Identifier

Alphanumeric (20)

Unique Record identifier from the submitted file

4

Status

Alphanumeric (8)

Value: “Unlinked”

4.2.5. FINRA Response File Timing Rejection response files will be made available for Market Makers to pick up by 12:00 p.m. (Noon) ET. on the following business day after submission. Market Makers may submit files prior to the T+4 submission deadline; however, Unlinked response files will not be made available until 12:00 p.m. ET. on T+5. 4.3.

Corrections

Market Makers must correct any rejected records and repair them within two (2) business days of the Market Maker receiving the rejection. Market Makers must review unlinked trades to ensure all linkage keys were reported accurately. This includes ensuring the Exchange Code, Sent To Firm MPID, Order Entry Firm Identifier, Routed Order ID, Connection ID, and Sent To Date, if required, are accurate and match what was transmitted to the routing destination. If any of these fields are determined to be inaccurate, the Market Maker must correct the field and resubmit the record so that FINRA may attempt another link. Corrections to unlinked trades must be made within three (3) business days of being notified of the unlinked trade. If the Market Maker determines all linkage keys were reported accurately,

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the Market Maker must contact the FINRA Gateway Call Center and open a ticket to evidence that they have reviewed the unlinked trades and cannot make any repairs. 4.3.1. Repairing Rejections When a Market Maker has made all necessary repairs to rejected records within a file, the firm must resubmit the entire file with the original filename and place it in the “tick/in” folder. 4.3.2. Repairing Unlinked Trades When a Market Maker has made any necessary corrections to unlinked trades, the firm must resubmit the records by placing a file in the tick/unlink_in folder. FINRA will attempt to find a link for the corrected records. If a link is found, no further unlinked trade feedback will be provided and the Market Maker may assume the record was linked successfully.

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5. Testing FINRA provides an independent environment for testing. All parties transmitting Market Maker transaction data should test their reporting systems thoroughly before they begin reporting production data. Requests for test user accounts should be sent to [email protected] with the subject line “Request for Tick Size Pilot Test Account.” Test user accounts cannot be used to submit data in production. The test environment will not be supported after production environment goes live. After the production environment goes live, the test environment can be made available for any specific special requests from firms.

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6. Additional Information This section includes contact information that you may need. 6.1. 

FINRA Contacts FINRA Business and Technology Support:  1-800-321-6273

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