Displaying 1 - 9 of 9 results
- Reference Material
- FAQH4. A firm operates a display ATS that only publishes periodic snapshots of aggregate quotes based on a pre-determined frequency (e.g., every X milliseconds). The aggregate quote published only reflects open interest at the time of the snapshot. Consequently, there may be orders that have been received, executed, canceled, or repriced as the result of a change in NBBO (or other relevant reference price), but no aggregate quote will be published until the time of the next snapshot. Is the ATS required to generate and report order display modifications under these circumstances?
- FAQH1. If an Industry Member holds a peg order, is the Industry Member required to report to the CAT a modification to the peg order every time the market moves?
- FAQH3. What should be populated in the "nbboTimestamp" fields on the New Order, Order Accept, Child Order, Child Order Modified, Order Modified, Order Adjusted and Trade Events for ATSs?
- FAQH6. How should an ATS report NBBO (or other relevant reference price) information if the NBBO is invalid or one sided at the time the ATS referenced the NBBO (or other relevant reference price)?
- FAQH5. An ATS receives an IOC order and prior to obtaining any applicable reference price necessary to process the order, the ATS determines there is no contra side interest available for execution. Consequently, the ATS immediately cancels the order back to the subscriber without ever determining an applicable reference price. What should the ATS populate in the NBBO (or other applicable reference price) information fields?
- FAQH7. Is the handlingInstructions field required to be populated by ATSs when the atsOrder Type includes a condition that is also an allowable handlingInstruction value, such as Add Liquidity Only?
- CAT Alert