CAT Reporting Technical Specifications for Industry Members

1 CAT Reporting Technical Specifications for Industry Members 6/248/30/2019. version Table of Contents Preface .. xii Executive Summary .. xiv 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 .. 4. Firm ROE ID .. 5. Error ROE ID .. 5. Reference Data .. 5. Industry Member Identifier (IMID) .. 5. Firm Designated ID (FDID) .. 6. Equity Symbols .. 7. Option Symbols .. 7. Corporate Actions .. 7. Data Types .. 8. Data Validation Based on Data Types .. 8. Required, Conditional, and Optional Fields .. 14. Linkage Overview .. 15. CAT Linkage Keys .. 15. Reporting Responsibilities of Sender/Receiver.

2 16. Summary of Route and TRF Linkage Keys .. 17. 3. Special Reporting Requirements .. 21. Alternative Trading Systems ( ATS ) Reporting .. 21. National Best Bid and Offer (NBBO) .. 21. ATS Order Types .. 21. Sequence Number .. 22. Display and Non-Display ATSs .. 22. Manual Orders .. 22. Manually Received CAT Events Immediately Systematized .. 22. Manual CAT Events Followed by Separate Electronic Messages .. 23. version i Manual Trade events and Order Fulfillment events .. 23. 4. Equity Events .. 24. New Order Event .. 25. New Order Supplement Event .. 30. Order Route .. 32. Order Modify Route (Potential Phase 2c Event) .. 35. Order Cancel Route (Potential Phase 2c Event) .. 36. Order Accepted .. 36. Order Internal Route Accepted .. 39. Order Internal Route Accepted .. 39. Order Internal Route Modified (Phase 2c).

3 41. Order Internal Route Cancelled (Phase 2c).. 41. Child Order .. 42. Child Order Event .. 42. Child Order Modified .. 44. Child Order Cancelled .. 46. Order Modified and Cancel/Replace Event .. 47. Order Modified (Cancel/Replace) Supplement Event .. 54. Order Adjusted Event .. 55. Order Cancelled .. 58. New Quote .. 59. Quote Received .. 62. Quote Cancelled .. 64. Trade .. 65. Trade Event .. 67. Trade Supplement Event .. 70. Order Fulfillment .. 72. Order Fulfillment Event .. 72. Order Fulfillment 74. Post-trade Allocation (Phase 2c) .. 76. 5. Single Leg Option Events .. 77. New Option Order Event .. 80. Option Order Supplement Event .. 83. Paired Option Order (Phase 2d) .. 85. Option Order Route .. 85. Option Order Route Event .. 86. Option Order Modify Route Event (Potential Phase 2d).

4 89. version ii Option Order Cancel Route Event (Potential Phase 2d) .. 89. Option Order Accepted .. 89. Option Order Internal Route Accepted .. 92. Option Order Internal Route Accepted Event .. 93. Option Order Internal Route Modify Event (Phase 2d) .. 95. Option Order Internal Route Cancelled Event (Phase 2d) .. 95. Child Option Order .. 95. Child Option Order 96. Child Option Order Modified Event .. 97. Child Option Order Cancelled .. 99. Option Order Modified and Cancel/Replace Event .. 101. Option Order Modified Supplement Event (Phase 2d) .. 105. Option Order Adjusted Event .. 105. Option Order Cancelled Event .. 107. Option Order Fulfillment .. 109. Option Order Fulfillment Event .. 109. Option Order Fulfillment Amendment Event .. 111. Linked Multi-Leg Option Order Events (Phase 2d).

5 113. Option Post-Trade Allocations (Phase 2d) .. 113. 6. Submission Process .. 114. File Submissions and Data Formats .. 114. File Submission Names .. 114. Submission Formats .. 115. Metadata Files .. 117. Data Files .. 120. Schema .. 121. Connectivity .. 123. CAT Interface Methods .. 125. CAT File Transfer .. 126. CAT Reporter Portal .. 126. CAT Reporting Hours .. 127. Submission of CAT Events .. 127. Deadline of Repair for Errors Identified by CAT .. 128. Deadline for Firm Initiated Corrections and Deletions .. 129. Security .. 129. Encryption (In-transit) .. 129. Encryption (At-rest) .. 129. version iii Authentication .. 129. 7. Feedback and Corrections .. 131. File and Error Feedback .. 131. Feedback Generation .. 132. Feedback File Names .. 134. File Acknowledgement .. 136. File Acknowledgement Feedback Definition.

6 136. JSON Examples of File 137. Submission Acknowledgement .. 138. CSV Examples of File Acknowledgement .. 139. File Integrity .. 139. File Integrity Feedback Definition .. 141. JSON Examples for File Integrity Feedback .. 142. CSV Example for File Integrity 144. Data Ingestion .. 145. Ingestion Feedback Definitions .. 146. JSON Examples for Data Ingestion Feedback .. 147. CSV Examples for File Ingestion Feedback .. 149. Linkage Discovery .. 150. Linkage Discovery Feedback 151. JSON Examples for Linkage Discovery Feedback .. 153. CSV Examples for Linkage Discovery Feedback .. 155. Corrections .. 156. Repair CAT Errors .. 156. Firm Initiated Corrections .. 157. Delete Instructions .. 158. File Deletion .. 160. Same Day Corrections .. 161. 8. Testing .. 162. 9. Additional Information.

7 163. Public Website .. 163. Appendices .. 164. Appendix A: Change Release Management Process .. 165. Appendix B: Clock Synchronization Requirement .. 166. Appendix C: Representative Order 167. Phase 2a Requirements .. 167. Representative Order Reporting .. 167. version iv Representative Order Linkages .. 168. Representative Order Marking and Linkage Requirements by Phase .. 170. Single Order Scenarios .. 170. Options 172. Aggregated Order Scenarios .. 172. Appendix D: CAT Date Definitions and Reporting Guidelines .. 173. Appendix E: Error Codes .. 176. File Integrity Errors .. 176. Data Ingestion Errors .. 179. Linkage Discovery Errors .. 186. Warning Error Codes .. 194. Appendix F: Glossary .. 196. Appendix G: Data Dictionary .. 199. Appendix H: Processing Stages Feedback and Examples.

8 220. : Processing Stages Feedback .. 220. : File Feedback (JSON) .. 221. : File Feedback (CSV) .. 244. Preface .. vi Executive Summary .. viii 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. version v Reference Data .. 6.. Industry Member Identifier (IMID).. 6.. Firm Designated ID. (FDID) .. 6.. Equity 7.. Option 7.. Corporate Actions .. 8. Data Types .. 9.. Data Validation Based on Data Types .. 9.. Required, Conditional, and Optional Fields .. 16. Linkage Overview .. 17.. CAT Linkage Keys .. 17.. Reporting Responsibilities of Sender/Receiver.

9 19.. Summary of Route and TRF Linkage Keys .. 19. 3. Special Reporting Requirements .. 23. Alternative Trading Systems ( ATS ) Reporting .. 23.. National Best Bid and Offer (NBBO).. 23.. ATS Order Types .. 23.. Sequence Number .. 23.. Display and Non-Display ATSs .. 23. Manual Orders .. 24.. Manually Received CAT Events Immediately Systematized .. 24. version vi ..Manual CAT Events Followed by Separate Electronic Messages .. 24. 4. Equity Events .. 26. New Order Event .. 27. New Order Supplement Event .. 32. Order Route .. 34.. Order Modify Route (Potential Phase 2c Event).. 37.. Order Cancel Route (Potential Phase 2c Event).. 38. Order Accepted .. 38. Order Internal Route Accepted .. 41.. Order Internal Route Accepted .. 42.. Order Internal Route Modified (Phase 2c) .. 44.. Order Internal Route Cancelled (Phase 2c).

10 44. Child Order .. 44.. Child Order Event .. 44.. Child Order Modified .. 46.. Child Order Cancelled .. 48. Order Modified and Cancel/Replace Event .. 50. Order Modified (Cancel/Replace) Supplement Event .. 55. Order Adjusted Event .. 57. Order Cancelled .. 59. New Quote .. 61.. Quote Received .. 64.. Quote Cancelled .. 66. Trade .. 68.. Trade Event .. 69. version vii ..Trade Supplement Event .. 73. Order Fulfillment .. 75.. Order Fulfillment Event .. 76.. Order Fulfillment Amendment .. 78. Post-trade Allocation (Phase 2c) .. 80. 5. Single Leg Option Events .. 81. New Option Order Event .. 84. Option Order Supplement Event .. 87. Paired Option Order (Phase 2d) .. 90. Option Order Route .. 90.. Option Order Route Event .. 90.. Option Order Modify Route Event (Potential Phase 2d) .. 95.