Chi-X Australia Technical Notice
Further to Market Operations Notice 0019/13 dated 19 July 2013, Chi-X is making a number of changes to the trading system in September and October 2013 to comply with ASIC’s Market Integrity Rules (MIRs), including the introduction of regulatory data requirements. Details concerning the key changes are set out below.
Changes to Primary/Market Peg and Mid-Point Orders
Participants are reminded that these changes will alter the way that some of Chi-X’s pegged orders work so that they will always offer price improvement over the NBBO in accordance with the Market Integrity Rules (MIRs). Going forward the pegged orders will be referred to as Price Improvement Orders and will be described as follows:
• Primary Peg order – NearPointX: orders will rest on the passive side of the order book with at least 1 tick of price improvement from the NBBO. FIX tag <18> ExecInst=R.
• Mid-Point order – Mid-PointX: orders continue to rest at the mid-point of the NBBO spread. FIX tag <18> ExecInst=M
• Market Peg order – FarPointX: orders will rest on the aggressive side of the order book with at least 1 tick of price improvement from the NBBO. FIX tag <18> ExecInst=P.
Collectively these changes provide 3 pegs of price improvement delivering more options for traders to achieve price improvement on the Chi-X market. If participants send an aggressive order designed to cross the spread they will interact with any available Price Improvement Orders that may be resting in the order book before trading against any visible orders. If you have previously coded to Chi-X’s 3 pegged order types, the identifiers for each of these orders in tag <18>ExecInst remain unchanged and the trading system will implement the new functionality as outlined above.
We confirm that this system change is expected to be available in PTE for testing from 19 August 2013.
Changes to implement new ASIC Regulatory Data Requirements
The system changes to support the new ASIC Regulatory Data requirements, which are outlined in Market Operations Notice 0019/13, are expected to be available in PTE for testing from 30 September 2013.
The updated FIX Trading Interface Specification is available here. The following is a high level summary of the key changes:
• Added M= Mixed as a valid value for Order Capacity and Last Capacity.
• Added <4805>ExecVenue to Off Exchange Trade reports.
• Added <8138>OriginofTrans to New Orders and Trade Reports.
• Added <8139>IntermediaryID to New Orders and Trade Reports.
• Added <8140>DirectedWholesaleIndic to New Orders and Trade Reports
• Added <8141>ContraOriginofTrans to Trade Reports.
• Added <8142>ContraIntermediaryID to Trade Reports.
• Added <8143>ContraDirectedWholesaleIndic to Trade Reports
Additional minor changes are also noted in the Version History table on page 6 of the technical specification. The above tags will be optional and if supplied should comply with ASIC Regulatory Guide 223. Apart from checking for conformity with the technical specification the regulatory data will not be validated by Chi-X.