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- 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?
Each time an Industry Member reprices a peg order based on a market move (e.g., when there is a change in the national best bid or offer or the best bid or offer on a particular exchange, as applicable based on the terms of the order), the Industry Member must report a price modification of the peg order to the CAT pursuant to Section 6.3(d) of the CAT NMS Plan, as applied to Industry Members by Section 6.4(d)(i) of the CAT NMS Plan, if the price is modified.
- Reference Material
- 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?
The nbboTimestamp field should be populated with the time that the ATS referenced, or "looked up" the existing reference price.
- 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)?
One sided or invalid prices should be reflected as zero. The time the ATS referenced the NBBO (or other relevant reference price) and NBBO source must still be reported.
Yes. FINRA member ATSs must use the ATS MPID when reporting ATS activity to CAT.
- 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?
Because the order was cancelled before the ATS referenced the NBBO (or other applicable reference price), there would be no such information to report. Therefore, the ATS should populate the nbboSource field with “NA”.
- 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?
For purposes of FINRA Rule 4554, because display is not on an order by order basis, an ATS that only displays aggregate level pricing information at pre-determined intervals of time is not required to report order display modifications to CAT.
- 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?
If the ATSs’ Order Type encompasses the handling instruction, then the handlingInstructions field would not be required. For example, if ATS 1 has an Order Type that is NBBO midpoint peg, add liquidity only, then the handling instruction of Add Liquidity Only ("ALO") would not be necessary since the Order Type includes the add liquidity only restriction.
- CAT Alert