CAT Reporting Technical Specifications for Industry …

1 CAT Reporting Technical Specifications for Industry Members 5/10/2021 Version r13 Version r13 i Table of Contents Preface .. vii Executive Summary .. x 1. Introduction .. 1 CAT Overview .. 1 Registration .. 2 2. CAT Reporting Fundamentals .. 3 Industry Member Perspective .. 3 Key Data Elements .. 3 Firm Identifiers in File Submissions .. 3 Order ID .. 4 Timestamps .. 4 Order Handling Instructions .. 5 Firm ROE ID .. 5 Error ROE ID .. 5 Reference Data .. 5 Industry Member Identifiers .. 5 Firm Designated ID (FDID) .. 8 Equity Symbols .. 9 Option Symbols .. 10 Corporate Actions .. 10 Data Types .. 11 Data Validation Based on Data Types .. 11 Required, Conditional, and Optional Fields .. 17 Linkage Overview .. 18 CAT Linkage Keys .. 18 Reporting Responsibilities of Sender/Receiver .. 20 Summary of Route and TRF Linkage Keys.

2 23 3. Special Reporting Requirements .. 30 Alternative Trading Systems ( ATS ) Reporting .. 30 National Best Bid and Offer (NBBO) .. 30 ATS Order Types .. 30 Sequence Number .. 31 Display and Non-Display ATSs .. 31 CAT Reporter IMID .. 31 Manual Orders .. 31 Manually Received CAT Events Immediately Systematized .. 32 Version r13 ii Manual CAT Events Followed by Separate Electronic Messages .. 32 Manual Trade events and Order Fulfillment events .. 33 Allocation Events .. 33 Definition and Requirements .. 33 Reporting Obligation .. 33 Cancelling an Allocation .. 34 Responses to RFQs and Solicitation .. 34 Scope .. 34 Reporting .. 36 Stop Orders .. 37 Stop Loss Orders .. 37 Stop Stock Orders .. 38 Conditional Orders .. 39 Multi-Leg Orders and Paired Orders .. 40 Orders Tied at a Net Price .. 40 4. Equity Events .. 42 New Order Event.

3 44 New Order Supplement Event .. 48 Order Route .. 50 Route Modified Event (Phase 2d) .. 53 Route Cancelled Event (Phase 2d) .. 53 Order Route Supplement Event .. 54 Order Accepted .. 56 Order Internal Route Accepted .. 60 Order Internal Route Accepted .. 60 Order Internal Route Modified .. 62 Order Internal Route Cancelled .. 64 Child Order .. 66 Child Order Event .. 66 Child Order Modified .. 68 Child Order Cancelled .. 71 Order Modified and Cancel/Replace Event .. 72 Order Modification Request .. 77 Order Modified (Cancel/Replace) Supplement Event .. 80 Order Adjusted Event .. 82 Order Cancelled .. 85 Order Cancel Request .. 86 Version r13 iii Quotes .. 88 New Quote Event .. 88 Quote Received .. 91 Quote Cancelled .. 94 Trade .. 95 Trade Event .. 97 Trade Supplement Event .. 101 Order Fulfillment.

4 103 Order Fulfillment Event .. 104 Order Fulfillment Supplement Event .. 106 Order Fulfillment 108 Allocations .. 110 Post-Trade Allocation Event .. 110 Amended Allocation Event .. 112 Order Effective Event .. 115 5. Single Leg Option Events .. 118 New Option Order Event .. 121 Option Order Supplement Event .. 124 Paired Option Order (Phase 2d) .. 127 Option Order Route .. 127 Option Order Route Event .. 127 Option Route Modified Event (Phase 2d) .. 130 Option Route Cancelled Event (Phase 2d) .. 131 Option Order Accepted .. 131 Option Order Internal Route Accepted .. 134 Option Order Internal Route Accepted Event .. 134 Option Order Internal Route Modify Event (Phase 2d) .. 136 Option Order Internal Route Cancelled Event (Phase 2d) .. 137 Child Option Order .. 137 Child Option Order 137 Child Option Order Modified Event.

5 139 Child Option Order Cancelled .. 141 Option Order Modified and Cancel/Replace Event .. 143 Option Order Modified Supplement Event (Phase 2d) .. 147 Option Order Adjusted Event .. 147 Option Order Cancelled Event .. 150 Option Order Fulfillment .. 151 Version r13 iv Option Order Fulfillment Event .. 152 Option Order Fulfillment Amendment Event .. 154 Linked Multi-Leg Option Order Events (Phase 2d) .. 156 Option Post-Trade Allocations (Phase 2d) .. 156 6. Submission Process .. 157 File Submissions and Data Formats .. 157 File Submission Names .. 157 Submission Formats .. 159 Metadata File 160 Data File Submission .. 163 Schema .. 165 Connectivity .. 167 CAT Interface Methods .. 168 CAT File Transfer .. 169 CAT Reporter Portal .. 169 CAT Reporting Hours .. 170 Submission of CAT Events .. 170 Deadline of Repair for Errors Identified by CAT.

6 171 Deadline for Firm Initiated Corrections and Deletions .. 172 Security .. 172 Encryption (In-transit) .. 172 Encryption (At-rest) .. 172 Authentication .. 172 7. Feedback and Corrections .. 173 File and Error Feedback .. 173 Feedback Generation .. 174 Feedback File Names .. 174 File Acknowledgement .. 177 File Acknowledgement Feedback Definition .. 178 JSON Examples of File 178 CSV Example for File Integrity 179 CSV Examples of File Acknowledgement .. 180 File Integrity .. 181 JSON Examples for File Integrity Feedback .. 182 File Integrity Feedback Definition .. 183 Data Ingestion .. 184 Ingestion Feedback Definitions .. 185 Version r13 v JSON Examples for Data Ingestion Feedback .. 187 CSV Examples for File Ingestion Feedback .. 188 Linkage Discovery .. 189 Linkage Discovery Feedback 190 JSON Examples for Linkage Discovery Feedback.

7 197 CSV Examples for Linkage Discovery Feedback .. 199 Corrections .. 200 Repair CAT Errors .. 201 Firm Initiated Corrections .. 202 Record Delete Instructions .. 203 File Deletion .. 205 Same Day Corrections .. 206 8. Testing .. 207 9. Additional Information .. 208 Public Website .. 208 Appendices .. 209 Appendix A: change Release Management Process .. 210 Appendix B: Clock Synchronization Requirement .. 211 Appendix C: Representative Order 212 Representative Order Reporting Requirements .. 212 Representative Order Reporting .. 212 Representative Order Linkages .. 213 Representative Order Marking and Linkage Requirements .. 214 Single Order Scenarios .. 214 Net Trading Scenarios .. 216 Options 216 Aggregated Order Scenarios .. 217 Representative Eligible Scenarios .. 217 Appendix D: CAT Date Definitions and Reporting Guidelines.

8 219 Appendix E: Error Codes .. 222 File Integrity Errors .. 222 Data Ingestion Errors .. 224 Linkage Discovery Errors .. 233 Warning Error Codes .. 241 Appendix F: Glossary .. 242 Appendix G: Data Dictionary .. 245 Appendix H: Processing Stages Feedback and Examples .. 270 Version r13 vi : Processing Stages Feedback .. 270 : File Feedback (JSON) .. 271 : File Feedback (CSV) .. 285 Version r13 vii Preface Rule 613 of the Securities Exchange Act of 1934 requires national securities exchanges and national securities associations ( SROs ) to submit a national market system plan to the Securities and Exchange Commission ( Commission or SEC ) to create, implement, and maintain a consolidated audit trail (the CAT ) that would allow regulators to more efficiently and accurately track all activity in equity and listed options markets.

9 Pursuant to Rule 613, the SROs filed with the Commission the National Market System Plan Governing the Consolidated Audit Trail ( CAT NMS Plan ), which was approved by the Commission on November 15, 2016. Under Rule 613(g)(2), each member of a national securities exchange or national securities association is required to comply with all the provisions of the CAT NMS Plan. Relatedly, as mandated under Rule 613, the CAT NMS Plan requires each SRO to adopt rules requiring its members to comply with Rule 613 and the CAT NMS Plan, and to agree to enforce compliance by its members in that regard. Accordingly, each SRO has adopted rules requiring its members to comply with Rule 613 and the CAT NMS Plan. See, , FINRA Rule 6800 Series. The SROs jointly own Consolidated Audit Trail, LLC, which was formed by the SROs to arrange for and oversee the creation, implementation, and maintenance of the CAT as required under Rule 613.

10 Thus, the CAT is a facility of each SRO. This specification represents a phased approach to Industry Reporting . Key dates are as noted below. Version of this specification reflects finalized Phase 2c Reporting requirements based on version r5. The Participants propose to seek a modification of the requirements of the CAT NMS Plan from the Commission to reflect the phased approach for Industry Member CAT Reporting described in these Technical Specifications . Table 1: Industry Specifications Phased Approach Phase 2a Equities Part 1 Go Live 6/22/2020 Phase 2c Equities Part 2 Go Live 4/26/2021 All events and scenarios covered by OATS Linkages to the customer order(s) being represented for all representative order scenarios including agency average price, net trading, aggregated orders, OMS-EMS scenarios All proprietary orders including market maker orders Marking as a representative order any order originated to work a customer order in price guarantee scenarios, such as a guaranteed VWAP Firm Designated ID Rejected External Routes with flag indicating route was not accepted by receiving destination All street side representative orders (both agency and proprietary)