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CAT Reporting Technical Specifications for Industry Members

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CAT Reporting Technical Specifications for Industry Members CAT Reporting Technical Specifications for Industry Members 8/11/2020 Version 3.1.0 r5 Table of Contents Preface ........................................................................................................................................................ vi Executive Summary ................................................................................................................................... ix 1. Introduction ......................................................................................................................................... 1 1.1. CAT Overview ............................................................................................................................. 1 1.2. Registration ................................................................................................................................ 2 2. CAT Reporting Fundamentals ........................................................................................................... 3 2.1. Industry Member Perspective ................................................................................................... 3 2.2. Key Data Elements ..................................................................................................................... 3 2.2.1. Firm Identifiers in File Submissions ........................................................................... 3 2.3. Order ID ....................................................................................................................................... 4 2.3.1. Timestamps ................................................................................................................... 4 2.3.2. Order Handling Instructions ........................................................................................ 5 2.3.3. Firm ROE ID ................................................................................................................... 5 2.3.4. Error ROE ID .................................................................................................................. 5 2.4. Reference Data ........................................................................................................................... 5 2.4.1. Industry Member Identifiers ........................................................................................ 5 2.4.2. Firm Designated ID (FDID) ........................................................................................... 8 2.4.3. Equity Symbols ............................................................................................................. 9 2.4.4. Option Symbols ............................................................................................................ 9 2.4.5. Corporate Actions ...................................................................................................... 10 2.5. Data Types ................................................................................................................................ 10 2.5.1. Data Validation Based on Data Types ...................................................................... 10 2.5.2. Required, Conditional, and Optional Fields ............................................................. 17 2.6. Linkage Overview .................................................................................................................... 17 2.6.1. CAT Linkage Keys ...................................................................................................... 17 2.6.2. Reporting Responsibilities of Sender/Receiver ...................................................... 19 2.6.3. Summary of Route and TRF Linkage Keys .............................................................. 20 3. Special Reporting Requirements .................................................................................................... 26 3.1. Alternative Trading Systems (“ATS”) Reporting .................................................................. 26 3.1.1. National Best Bid and Offer (NBBO) ......................................................................... 26 3.1.2. ATS Order Types ........................................................................................................ 26 3.1.3. Sequence Number ...................................................................................................... 27 3.1.4. Display and Non-Display ATSs ................................................................................. 27 3.1.5. CAT Reporter IMID ...................................................................................................... 27 3.2. Manual Orders .......................................................................................................................... 27 3.2.1. Manually Received CAT Events Immediately Systematized .................................. 28 Version 3.1.0 r5 i 3.2.2. Manual CAT Events Followed by Separate Electronic Messages ......................... 28 3.2.3. Manual Trade events and Order Fulfillment events ................................................ 29 3.3. Allocation Events ..................................................................................................................... 29 3.3.1. Definition and Requirements ..................................................................................... 29 3.3.2. Reporting Obligation .................................................................................................. 29 3.4. Responses to RFQs and Solicitation ..................................................................................... 30 3.4.1. Scope ........................................................................................................................... 30 3.4.2. Reporting ..................................................................................................................... 31 4. Equity Events .................................................................................................................................... 32 4.1. New Order Event ...................................................................................................................... 34 4.2. New Order Supplement Event ................................................................................................ 38 4.3. Order Route .............................................................................................................................. 40 4.3.1. Order Modify Route (Potential Phase 2d Event) ...................................................... 43 4.3.2. Order Cancel Route (Potential Phase 2d Event) ..................................................... 43 4.3.3. Order Route Supplement Event ................................................................................ 43 4.4. Order Accepted ........................................................................................................................ 45 4.5. Order Internal Route Accepted ............................................................................................... 49 4.5.1. Order Internal Route Accepted ................................................................................. 49 4.5.2. Order Internal Route Modified ................................................................................... 52 4.5.3. Order Internal Route Cancelled ................................................................................. 54 4.6. Child Order ............................................................................................................................... 55 4.6.1. Child Order Event ....................................................................................................... 56 4.6.2. Child Order Modified .................................................................................................. 58 4.6.3. Child Order Cancelled ................................................................................................ 60 4.7. Order Modified and Cancel/Replace Event ........................................................................... 61 4.7.1. Order Modification Request ...................................................................................... 66 4.8. Order Modified (Cancel/Replace) Supplement Event ........................................................... 70 4.9. Order Adjusted Event .............................................................................................................. 71 4.10. Order Cancelled ....................................................................................................................... 74 4.10.1. Order Cancel Request ............................................................................................ 75 4.11. New Quote ................................................................................................................................ 77 4.11.1. Quote Received ...................................................................................................... 79 4.11.2. Quote Cancelled ..................................................................................................... 82 4.12. Trade ......................................................................................................................................... 83 4.12.1. Trade Event ............................................................................................................. 85 4.12.2. Trade Supplement Event ......................................................................................
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