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Friday, April 24, 2015

UTP Vendor Alert #2015 - 7
New Timestamp Definitions for July 2015 Release

Markets Impacted:

Products Impacted:

Contact Information:

What you need to know:

  • As announced in UTP Vendor Alert #2015-6, the Policy/Technical Committees and in agreement with the Securities Exchange Commission (SEC have instructed the SIPs to make modifications to the Message Header formats to support two new Timestamp values.
    • The purpose of the Timestamp 1 values is to allow Data Recipients to identify the differences between the current Multicast Output Timestamp and the Matching Engine timestamp of the Participant Exchange when an order or trade occurs or the time of execution that a FINRA member reports to a FINRA Trade Reporting Facility.
    • The purpose of the Timestamp 2 values is to allow Data Recipients to identify the differences in processing time between the current Multicast Output Timestamp and the time of the trade or quotation data feed on a FINRA facilities proprietary data feed.
  • The Policy/Technical Committees have finalized the definitions and use of each of the two new timestamps as described below.

What’s Changing?

As outlined in UTP Vendor Alert #2015-2, the UTP SIP will be expanding the UQDF, UTDF and OMDF message header to support two new timestamp fields on July 27, 2015. Below are the definitions for the two new timestamps to be added:

The ‘Timestamp 1’ field in the new Message Header will be used by the Participants to provide the Timestamp in terms of the number of microseconds since midnight Eastern Time (ET).

The ‘Timestamp 2’ field in the new Message Header will be used by the FINRA ADF and/or a FINRA TRF to provide the Timestamp in terms of the number of microseconds since midnight Eastern Time (ET).

Trade Feed Definition

Timestamp 1:

  • If from an Exchange: Timestamp 1 denotes the Exchange Matching Engine Publication timestamp for a transaction. Exchanges use a clock sync methodology ensuring that timestamps are accurate within tolerances of 100 microseconds or less.
  • If from the FINRA Alternative Display Facility (ADF) and/or a FINRA Trade Reporting Facility (TRF): Timestamp 1 denotes the time of execution that a FINRA member reports to the FINRA ADF or a FINRA TRF. FINRA shall convert times that its members report to it in seconds or milliseconds to microseconds and shall provide such times to the Processor in microseconds since midnight Estern Time (ET).

Timestamp 2:

  • If from an Exchange: Timestamp 2 will be blank.
  • If from the FINRA Alternative Display Facility (ADF) or a FINRA Trade Reporting Facility (TRF):
    • If the FINRA ADF or a FINRA TRF provides a proprietary feed of trades reported by the facility, then the FINRA facility will publish the time of the transmission as also published on the facility’s proprietary trade feed in Timestamp 2. The TRF or ADF shall convert times that it reports trades on its proprietary trade feed in seconds or milliseconds to microseconds and shall provide such times to the Processor in microseconds since midnight Eastern Time (ET).
    • If the FINRA ADF or the FINRA TRF facility does not have a proprietary trade feed, Timestamp 2 will be blank.

Quote Feed Definition

Timestamp 1:

  • If from an Exchange: Timestamp 1 denotes the time where the quote bid price and/or the offer price for a security is designated with an Exchange’s Matching Engine Publication timestamp. Exchanges use a clock sync methodology ensuring that timestamps are accurate within tolerances of 100 microseconds or less.
  • If from the FINRA Alternative Display Facility (ADF): Timestamp 1 denotes the time of the quote bid price and/or the offer price for a security that a FINRA member reports to the FINRA Alternative Display Facility. FINRA shall convert times that its members report to it in seconds or milliseconds to microseconds and shall provide such times to the Processor in microseconds since midnight Eastern Time (ET).

Timestamp 2:

  • If from an Exchange: Timestamp 2 will be blank.
  • If from the FINRA Alternative Display Facility (ADF):
    • If the FINRA ADF provides a proprietary feed of its quotation information, then the FINRA ADF will publish the time of the quotation as also published on the facility’s proprietary feed in Timestamp 2. FINRA shall convert times that it reports quotations on its proprietary feed in seconds or milliseconds to microseconds and shall provide such times to the Processor in microseconds since midnight Eastern Time (ET).
    • If the FINRA ADF does not have a proprietary quotation feed, Timestamp 2 will be blank.

Where can I find additional information?