Role of Identifiers in Order Protection Compliance
Establishing identifiers is one way in which firms can demonstrate that a quote, order or trade is or is not subject to the Order Protection Rule. Identifiers are not the only way to flag order protection exemptions. Firms can modify existing internal order and trade databases to include exemption information rather than adding flags to inter-firm communication protocols like FIX or consolidated tapes like UTP and CTA. This document will focus on those identifiers that would be needed in communication between counterparties.
· Quote Identifiers: Quote Identifiers would be added to market data feeds that provide quote information via FIX, proprietary protocols, or through consolidated feeds like CQS, UQDF.
· Trade Identifiers: Trade identifiers would be added to market data feeds that provide trade information via FIX, proprietary protocols, or through consolidated feeds like CTS and UTDF.
· Order Identifiers: Incoming orders to trading centers would use Order Identifiers to indicate how an order should be handled. Order identifiers would be added to protocols for electronic trade communication including FIX, CMS and other proprietary protocols used by trading centers. Instituting appropriate order identifiers is the responsibility of each trading center but could be coordinated across industry participants for ease of implementation.
Additionally, outgoing execution reports could echo the order identifier. While not mandated by Regulation NMS, execution reports echoing exemptions designated on the order would be useful for evaluating execution quality.