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Wednesday, February 25, 2015

UTP Vendor Alert #2015 - 4
UTP SIP to Modify Sale Condition Modifiers in July 2015

Markets Impacted:

Products Impacted:

Contact Information:

What you need to know:

  • At a recent policy committee meeting, the UTP Operating Committee (UTPOC) voted to redefine two Sale Condition Modifiers on the UTP Trade Data Feed (UTDF).
  • In accordance with the vote, the UTP Securities Information Processor (UTP SIP) will implement the following Sale Condition Modifiers as part of the next UTDF release:
    • Redefine the existing Stock Option Trade (V) modifier
    • Introduce a new Qualified Contingent Trade (7) modifier
  • These two Sale Condition Modifier changes will be implemented the last week of July 2015, with the previously announced UTP message header changes.

What is being announced?

At the request of the UTP Operating Committee (UTPOC), the UTP Securities Information Processor (UTP SIP) will implement two Sale Condition Modifier changes the last week of July 2015.

Sale Condition Modifier Current Definition New Definition
V Stock Option Trade Contingent Trade
7 Reserved / Placeholder for 611 Exempt Trades Qualified Contingent Trade

Please note that the Sale Condition Modifier field is included in the outbound trade messages on the UTP Trade Data FeedSM (UTDFSM). The CTA is expected to make a similar change for the new sale condition modifiers on the SIAC data feeds in the same timeframe.

How will the modifiers be changed?

The SIPs will redefine the Stock Option Trade Modifier (V) to be a Contingent Trade and associated trade statistic processing rules. The updates are as follows:

  • Modified Definition: Contingent Trade (V) - The Contingent Trade sale condition code is used to identify transactions where the execution of the transaction is contingent upon some event.
  • Modified Processing Rules: Modified rules to remove its eligibility to update high/low or last for both consolidated and market center processing. A Contingent Trade would still update volume and would still be eligible for Reg NMS revenue sharing. The “V” code will continue to be disseminated as a Level 4 – Byte SRO Trade Detail.

Additionally, the SIPs will activate sale condition modifier “7” as a Qualified Contingent Trade. Please note that the “7” code is currently listed in the UTDF specification as a placeholder for 611 exempt trades. The new definition and processing rules are as follows:

  • Definition: Qualified Contingent Trade (“QCT”) is a transaction consisting of two or more component orders executed as agent or principal where the execution of one component is contingent upon the execution of all other components at or near the same time and the price is determined by the relationship between the component orders and not the current market price for the security.
  • Processing Rules: Allow the rules for both consolidated and market center processing to update volume only. QCT transactions would be eligible for Reg NMS revenue sharing. The “7” code will be disseminated as a Level 2 – Byte Reason for TT Exemption.

Please visit the SEC website for the order granting an exemption for Qualified Contingent Trades from Rule 611(a).

Where can I find additional information?

The updated UTP sale condition modifiers are outlined in the updated UTDF specifications located on the UTP Technical Specifications page website.

Will there be testing opportunities?

Yes. To ensure that firms can process the updated sale condition modifiers, the UTP SIP plans to offer evening format and Saturday testing opportunities for UTDF data feed subscribers.

As noted above, the UTP SIP will include the sale condition modifiers as part of a larger UTP SIP release in July 2015. Evening format testing is scheduled to be available the first week of March 2015 for both releases.

Where can I find additional information?

  • Refer to the UTDF specification document.
  • For questions regarding the UTP Data Feeds, please contact products@utpplan.com.