SECURITIES INDUSTRY AUTOMATION CORPORATION CTS CONSOLIDATED TAPE SYSTEM PARTICIPANT COMMUNICATIONS INTERFACE SPECIFICATION June 2, 2017 Version 3.1 CONSOLIDATED TAPE SYSTEM (CTS) PARTICIPANT COMMUNICATIONS INTERFACE SPECIFICATION TABLE OF CONTENTS SUMMARY OF CHANGES ...................................................................................................................................... 3 1.0 INTRODUCTION ......................................................................................................................................... 10 1.1 Document Scope ................................................................................................................................. 10 1.2 Background ........................................................................................................................................ 10 2.0 DUAL SITE REDUNDANCY ...................................................................................................................... 11 3.0 TRANSFER CONTROL PROTOCOL/INTERNET PROTOCOL (TCP/IP) COMMUNICATIONS . 12 3.1 TCP/IP Interface Requirements ....................................................................................................... 12 3.2 TCP/IP Dynamic Input Throttling ................................................................................................... 12 4.0 GENERAL PARTICIPANT INPUT MESSAGE PROCESSING ............................................................ 13 4.1 Interface Method ................................................................................................................................ 13 4.2 Restart Considerations ...................................................................................................................... 13 4.3 General Design Considerations ......................................................................................................... 14 4.4 Basic Requirements ........................................................................................................................... 14 5.0 TRANSMISSION CHARACTERISTICS .................................................................................................. 15 5.1 Transmission Block ......................................................................................................................................... 15 5.2 Data Format .................................................................................................................................................... 15 5.3 TCP/IP Header ................................................................................................................................... 15 5.4 Block Length Header ......................................................................................................................... 16 5.5 Block Header ...................................................................................................................................... 16 5.6 Expanded Message Header ............................................................................................................... 17 5.6.1 Message Header Field Descriptions ..................................................................................................... 18 5.6.1.1 Message Category ......................................................................................................................... 18 5.6.1.2 Message Type .............................................................................................................................. 19 5.6.1.3 Originating Participant ID ............................................................................................................ 20 5.6.1.4 Destination Participant ID ............................................................................................................ 21 5.6.1.5 Message Sequence Number ......................................................................................................... 22 5.6.1.6 Message Status ............................................................................................................................. 24 5.6.1.7 Message Header Identifier ........................................................................................................... 24 5.6.1.8 Reserved ...................................................................................................................................... 24 5.6.1.9 Regional Reference Number (RRN) ............................................................................................ 25 5.6.2.0 Timestamp 1 ................................................................................................................................ 26 5.6.2.1 Timestamp 2 ................................................................................................................................... 26 June 2, 2017 1 CONSOLIDATED TAPE SYSTEM (CTS) PARTICIPANT COMMUNICATIONS INTERFACE SPECIFICATION 6.0 MESSAGE FORMATS ................................................................................................................................ 28 6.1 Category A – Administrative/Announcement/Market Status/Rejection/Warning Messages ...... 29 6.1.1 Category A Type F – Symbol Maintenance ......................................................................................... 30 6.1.2 Category A Type M – Administrative Unformatted (free form text) ................................................... 31 6.1.3 Category A Type R – Rejection/Warning ............................................................................................ 32 6.1.4 Category A Type T – Market Activity Information ............................................................................. 34 6.2 Category C – Control Messages ................................................................................................................ 35 6.2.1 Category C Type 1 – Start of Participant Reporting ............................................................................ 36 6.2.2 Category C Type 2 – End of Participant Reporting (EOPR)................................................................ 36 6.2.3 Category C Type 4 – Line Integrity – Participant to CTS .................................................................... 37 6.2.4 Category C Type I – Sequence Inquiry ................................................................................................ 39 6.2.5 Category C Type N – Sequence Information ....................................................................................... 40 6.2.6 Category C Type 4 – Line Integrity – CTS to Participant .................................................................... 41 6.2.7 Category C Type 5 – Test .................................................................................................................... 42 6.3 Category M– Market Status Messages ............................................................................................. 43 6.3.1 Category M Type B – Start of Most Active Issues .............................................................................. 44 6.3.2 Category M Type D – End of Most Active Issues ................................................................................... 44 6.3.3 Category M Type E – Start of Closing Trade Prices ................................................................................ 44 6.3.4 Category M Type G – End of Closing Trade Prices ................................................................................ 44 6.3.5 Category M Type H – Start of BID/OFFER Closing Trade Prices .......................................................... 45 6.3.6 Category M Type J – End of BID/OFFER Closing Trade Prices ............................................................. 45 6.3.7 Category M Type C –Most Active Issues ................................................................................................ 46 6.3.8 Category M Type F – NYSE MKT Stock Market or NYSE Closing Trade Prices ................................. 47 6.3.9 Category M Type I –BID/OFFER Closing Prices .................................................................................. 48 6.3.10 Category M Type O – Approximate Trades and Total Dollar Value .................................................... 49 6.3.11 Category M Type P –Crossing Session ................................................................................................. 50 6.4 Category P– Prior Day Messages............................................................................................................ 51 6.4.1 Category P Type C –Prior Day Trade Correction ................................................................................ 52 6.4.2 Category P Type E –Prior Day Trade Last Sale ................................................................................... 53 6.4.3 Category P Type X –Prior Day Trade Cancel/Error ............................................................................ 54 6.5 Category T– Trade Messages .................................................................................................................... 55 6.5.1 Category T Type C – Trade Correction ............................................................................................... 56 6.5.2 Category T Type E – Trade Last Sale Report Expanded ..................................................................... 57 6.5.3 Category T Type G – Trading Status ..................................................................................................