A 5313
P&S 4883
August 22, 2001
ATTENTION: MANAGING PARTNER/OFFICER, OPERATIONS PARTNER/OFFICER, MANAGER P&S DEPARTMENT, MANAGER DATA PROCESSING DEPARTMENT
SUBJECT: NSCC INTRODUCES NEW RECORD LAYOUTS AND TIME SCHEDULES FOR INTRA-DAY REPORTING OF TRADE OUTPUT FOR ALL MARKETSNational Securities Clearing Corporation ("NSCC"), a subsidiary of The Depository Trust & Clearing Corporation, is planning to provide intra-day reporting of trade output from all market places to help pave the way for a straight-through-processing (STP) environment. Intra-day reporting of trading activity is a building block in achieving a T+1 settlement cycle.
NSCC’s trade reporting of equity trading activity on behalf of the various market places has, historically, been limited to reporting at the end of the trading / processing day. Improvements in technology during the last few years along with significant increases in trading volume have resulted in the intra-day reporting of trading activity to NSCC by a variety of participants and market places. In preparation for the move towards shortened settlement cycles, NSCC will begin creating contract output for participants on a multi-cycle intra-day basis to report activity that has been submitted by, or on behalf of, participants intra-day. Such reporting will provide NSCC participants with trade information on an earlier and more frequent basis as well as increase NSCC’s processing capacity.
Multi-cycle output schedule:
It is anticipated that the new output will be available to participants on a
test basis beginning in September 2001 and into next year according to the
following schedule:
New York Stock Exchange --- September 2001
Nasdaq/OTC --- September 2001
Correspondent Clearing --- October 2001
Regional Trade Activity --- November 2001
American Stock Exchange --- First Quarter 2002
Note: Print image output will not be available intra-day
Next Steps:
Discussions with industry groups, market places and organizations responsible
for developing messaging standards have been concluded and a new unified format
was developed by NSCC for intra-day trade reporting of trading activity for all markets. The
unified output format is being introduced to accommodate virtually all data
elements represented by FIX "trade capture reporting" standards.
There will be no changes to the existing methods of trade reporting. End-of-day print and data files will continue to be provided; however participants are advised that NSCC is planning to discontinue all end-of-day reporting of trading activity by year-end 2002. NSCC encourages participants to parallel test the new intra-day output with the end-of-day output during the time period beginning in the third quarter of 2001 and ending in the fourth quarter of 2002.
As the various trade reporting systems are prepared to roll out the intra-day trade reporting output, notices will be issued that explain the mapping of current end-of-day output files to the new intra-day files. In addition the notices will define the approximate time of the data files availability.
The new unified machine readable output (MRO) format for intra-day trade reporting is attached to this notice. This file format, as well as all other participant file formats, are available for your use at NSCC's website, http://formats.nscc.com
Questions regarding this change or this notice may be e-mailed to the undersigned at gkrobisch@dtcc.com or contact your DTCC Relationship Manager or Participant Services Representative at (212) 855-4155.
Gerhard Krobisch
Vice President, Product Marketing and Development
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NSCC INTRADAY OUTPUTS |
Detail |
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AUTOROUTE ID’S: NYSE: 02013036 AMEX: 02013037 NASDAQ/OTC: 02023183 RIO: 02143125 CORR: 02063127 |
Record Length: 400 |
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|
Description |
Length |
Start |
End |
Type |
Comments |
|
PARTIES DATA |
|||||
|
Major Clearing Firm |
4 |
1 |
4 |
A/N |
Market Mnemonic |
|
" " |
4 |
5 |
8 |
A/N |
Future Use |
|
" " |
4 |
9 |
12 |
A/N |
Future Use – Zero Filled |
|
" " |
4 |
13 |
16 |
A/N |
NSCC Participant Number |
|
" " |
11 |
17 |
27 |
A/N |
BIC Format |
|
Major Executing Broker |
4 |
28 |
31 |
A/N |
Badge Identifier or For Account Of (FAO) if Step Out |
|
" " |
4 |
32 |
35 |
A/N |
Future Use |
|
" " |
11 |
36 |
46 |
A/N |
BIC Format |
|
Major Entering Broker |
4 |
47 |
50 |
A/N |
Market Mnemonic |
|
" " |
7 |
51 |
57 |
A/N |
Future Use |
|
Contra Clearing Firm |
4 |
58 |
61 |
A/N |
Market Mnemonic |
|
" " |
4 |
62 |
65 |
A/N |
Future Use |
|
" " |
4 |
66 |
69 |
A/N |
Future Use – Zero Filled |
|
" " |
4 |
70 |
73 |
A/N |
NSCC Participant Number |
|
" " |
11 |
74 |
84 |
A/N |
BIC Format |
|
Contra Executing Broker |
4 |
85 |
88 |
A/N |
Badge Identifier or For Account Of (FAO) if Step Out |
|
" " |
4 |
89 |
92 |
A/N |
Future Use |
|
" " |
11 |
93 |
103 |
A/N |
BIC Format |
|
Order Capacity |
1 |
104 |
104 |
A/N |
For NYSE and AMEX: A = Agency single order I = Individual Investor single order P = Principal R = Competing dealer trades S = Specialist trades T = Competing dealer trades U = Program Order, index arbitrage, for other agency W = All other orders as agent for other member X = Short exempt transaction for member competing market-maker not affiliated with the firm clearing the trade (refer to W and T types) Y = Program Order, non-index arbitrage, for other agency Z = Program Order, non-index arbitrage, for other agency Blank = Other For NASDAQ: A = Agency F = Firm P = Principal R = Riskless Principal Blank = Other |
|
MARKET DATA |
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|
Originating Market /Trade Source |
4 |
105 |
108 |
A/N |
XASE = American Stock Exchange XBOS = Boston Stock Exchange XCBO = CBOE (Chicago Board Options Exchange) XCHI = Chicago Stock Exchange XCIS = Cincinnati Stock Exchange XCME = Chicago Mercantile Exchange XNAS = NASDAQ XNYS = New York Stock Exchange XOTC = Over the Counter XPHL = Philadelphia Stock Exchange XPSE = Pacific Stock Exchange BOT = Board of Trade Clearing Corporation COR = Correspondent Clearing OCC = Options Clearing Corporation PID = Prime Broker Institutional Delivery |
|
Last Market System |
4 |
109 |
112 |
A/N |
For NYSE: F = FDC (Locked In) N = NSCC (Specialist Force) O = OCS S = SOS (Step Out) For AMEX: C = CBT (Locked In) N = NSCC (Specialist Force) O = OCS S = SOS (Step Out) For NASDAQ: A = ACT (Automated Confirmation Transaction Service) C = CAES (Computer Assisted Execution Service) D = PORT (Portal 144A Security) E = EACT (Clearing Broker ACT Accepted) I = ITS N = SUPERMONTAGE O = SENT (SelectNet) Q = QSR S = SOES (Small Order Execution Service) X = PRIMEX For XCHI, XPHL and XPSE: M = OPTIMARK For Correspondent Clearing: XASE = American Stock Exchange XBOS = Boston Stock Exchange XCBO = CBOE (Chicago Board Options Exchange) XCHI = Chicago Stock Exchange XCIS = Cincinnati Stock Exchange XCME = Chicago Mercantile Exchange XNAS = NASDAQ XNYS = New York Stock Exchange XOTC = Over The Counter XPHL = Philadelphia Stock Exchange XPSE = Pacific Stock Exchange BOT = Board of Trade Clearing Corporation OCC = Options Clearing Corporation Blank = Other |
|
Last Market Match |
2 |
113 |
114 |
A/N |
For NYSE and AMEX: Exact Match fields are: Trade Date, Stock Symbol, Quantity, Price,
Trade Type, and Special Trade Indicator A4 = Exact match plus two badges AQ = Compared records resulting from stamped advisories or specialist accepts/pair-offs S1 to S5 = Summarized Match using A1 to A5 exact match criteria except quantity is summarized M1 = Exact Match minus badges and times M2 = Summarized Match minus badges and times MT = OCS Locked In For NASDAQ: M1 = ACT M1 Match M2 = ACT M2 Match M3 = ACT Accepted Trade M4 = ACT Default Trade M5 = ACT Default After M2 M6 = ACT M6 Match MT = Non-ACT |
|
SECURITY DATA |
|||||
|
Security ID |
9 |
115 |
123 |
A/N |
CUSIP |
|
Future Use |
1 |
124 |
124 |
A/N |
Filler Value = 1 |
|
Security ID Symbol |
15 |
125 |
139 |
A/N |
Market Mnemonic |
|
Security ID ISIN |
12 |
140 |
151 |
A/N |
ISIN |
|
Security Type |
6 |
152 |
157 |
A/N |
D = Debt (Bond) ES = Equity Stock EU = Equity Unit FD = Future Debt (Bond) FE = Future Equity (Stock) FU = Future Unit OC = Option Call OP = Option Put |
|
DEAL DATA |
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|
Trade Status |
1 |
158 |
158 |
A/N |
C = Compared/Affirmed U = Uncompared/Unaffirmed A = Advisory/Alert Blank if Market Reject |
|
Side |
1 |
159 |
159 |
A/N |
1 = Buy 2 = Sell |
|
Last Shares |
11 |
160 |
170 |
N |
Share Quantity |
|
Odd-lot |
1 |
171 |
171 |
A/N |
0 = Round-lot 1 = Odd-lot |
|
Last Price |
12 |
172 |
183 |
N |
12 Digits – Use Last Price Decimal Indicator to determine decimal position |
|
Last Price Decimal Indicator |
1 |
184 |
184 |
A/N |
0 = No decimal Positions 1 = 1 Decimal Position 2 = 2 Decimals 3 = 3 Decimals 4 = 4 Decimals 5 = 5 Decimals 6 = 6 Decimals 7 = 7 Decimals 8 = 8 Decimals 9 = 9 Decimals A = 10 Decimals B = 11 Decimals C = 12 Decimals |
|
Principal Trade Amount |
16 |
185 |
200 |
N |
Price x Quantity 2 Decimal Positions |
|
Currency |
3 |
201 |
203 |
A/N |
USD = US Dollars |
|
Transaction Time |
6 |
204 |
209 |
A/N |
Time of Execution HHMMSS (Military) |
|
Order Time |
6 |
210 |
215 |
A/N |
Currently populated for NYSE use: HHMMSS (Military) |
|
Trade Type |
1 |
216 |
216 |
A/N |
B = Basket S = Step Out Blank = Regular |
|
Trade Date |
8 |
217 |
224 |
A/N |
CCYYMMDD |
|
SETTLEMENT DATA |
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|
Settlement Date |
8 |
225 |
232 |
A/N |
CCYYMMDD 99991231 When and if Issued when no date is announced Blank if Reject |
|
When and if Issued |
1 |
233 |
233 |
A/N |
0 = Regular Way 1 = When and if Issued |
|
Netting Indicator |
1 |
234 |
234 |
A/N |
B = Balance Order (No Netting) C = CNS (Netting) F = Foreign Balance Order (Netting) N = Balance Order (Netting) Z = Trade is NOT Netted |
|
Special Trade |
1 |
235 |
235 |
A/N |
Blank = Regular Way E = Ex Clearing F = Foreign Trade G = Foreign Special Trade N = NSCC Special Trade R = Regional Special Trade X = Special Trade |
|
Settlement Type |
3 |
236 |
238 |
A/N |
Blank = Regular Way CA = Cash ND = Next Day ### = Delayed Delivery (Seller’s Option) number of business days up to 180 |
|
Settlement Location |
2 |
239 |
240 |
A/N |
DT = DTC |
|
Accrued Interest Amount |
9 |
241 |
249 |
N |
2 Decimal Positions |
|
Net Settlement Money |
16 |
250 |
265 |
N |
2 Decimal Positions |
|
TRADE ID’S / ORIGINATING MARKET |
|||||
|
Executing ID |
15 |
266 |
280 |
A/N |
Trade Control Number For NYSE, first character defines input mode: 0 = FDC 1 = SOS 5 = OCS MQM 6 = OCS LU6.2 7 = OCS RJE 8 = OCS BBSS 9 = OCS Terminal |
|
Order ID |
15 |
281 |
295 |
A/N |
Branch ID/Sequence Number |
|
Secondary Order ID |
15 |
296 |
310 |
A/N |
Future Use |
|
Client Order ID |
15 |
311 |
325 |
A/N |
Future Use |
|
Turnaround Number |
9 |
326 |
334 |
A/N |
Trade Reference Number |
|
CONTROL DATA |
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|
Accepted/Rejected |
1 |
335 |
335 |
A/N |
0 = Accepted 1 = Market Rejected Final 2 = NSCC Rejected Final 3 = NSCC Reject Pending |
|
NSCC Reject Codes |
2 |
336 |
337 |
A/N |
00 = No NSCC Rejects 01 = Invalid Participant 02 = Invalid Trade Date 03 = Invalid Security 04 = Invalid Quantity 05 = Invalid Price 06 = Invalid Trade Source 07 = Invalid Trade Originator 08 = Multiple Rejects 09 = Invalid Value |
|
Reversal/Correction |
1 |
338 |
338 |
A/N |
Blank = Original Trade C = Correction by Market N = Correction by NSCC R = Reversal by Market S = Reversal by NSCC |
|
MARKET SPECIFIC DETAILS |
|||||
|
Redefined Area |
30 |
339 |
368 |
For Market Use |
|
|
Correspondent Clearing Fields: |
|||||
|
Commission |
8 |
339 |
346 |
N |
2 Decimal Positions |
|
Fees |
6 |
347 |
352 |
N |
2 Decimal Positions |
|
Taxes |
7 |
353 |
359 |
N |
2 Decimal Positions |
|
Submitting Participant |
4 |
360 |
363 |
A/N |
|
|
Future Use |
5 |
364 |
368 |
A/N |
|
|
NYSE Fields: |
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|
OCS Comments 1 |
10 |
339 |
348 |
A/N |
Knows Quantity or Free Form Comments |
|
OCS Comments 2 |
15 |
349 |
363 |
A/N |
Free Form Comments |
|
ADOT Execution |
1 |
364 |
364 |
A/N |
1 = ADOT Blank Otherwise |
|
CAP ORDER Execution |
1 |
365 |
365 |
A/N |
4 = CAP Order Blank Otherwise |
|
NX Execution |
1 |
366 |
366 |
A/N |
1 = With Names 2 = Without Names Blank Otherwise |
|
Xpress Execution |
1 |
367 |
367 |
A/N |
9 = Xpress Blank Otherwise |
|
Inhibitor |
1 |
368 |
368 |
A/N |
I = Yes Blank = No |
|
FUTURE USE |
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|
Future Use |
32 |
369 |
400 |
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