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UBS MTF Trading NoticeRules of Engagement Update30 June 2016Dear Member,UBS MTF would like to announce an update to our FIX implementation.If an order Cancel or Cancel/Replace request is received by the FIX gateway, and is not accepted, due to a fillor partial fill occurring on the order immediately beforehand, UBS MTF will now generate a second ExecutionReport indicating that the request has been rejected. This will follow the initial Execution Report advising thedetails of the fill.This change is available now in the UBS MTF Test environment, and will be rolled out in production starting 6July, to be completed by 11 July.Updated FIX Rules of Engagement (version 3.4) is attached with this Trading Notice.If you have any queries regarding this notice please contact the UBS MTF Supervisors at 44 20 7568 2052 orubs mtf@ubs.com.UBS MTF ManagementNotice 6, 2016UBS Limited is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the PrudentialRegulation Authority.UBS Limited is a subsidiary of UBS AG.UBS Limited is a company limited by shares incorporated in the United Kingdom registered in England and Wales with number 2035362.Registered office: 1 Finsbury Avenue, London EC2M 2PP.
UBS Limited1 Finsbury AvenueLondon, EC2M 2PPTel. 44-20-7567 8000www.ubs.comUBS MTF FIX InterfaceRules of EngagementClassificationDateVersionStatusPublic15 April30 June 20163.34FinalUBS Limited is a subsidiary of UBS AGUBS Limited is a company limited by shares incorporated in the United Kingdom registered in England and Wales with number 2035362. Registered office: 1 FinsburyAvenue, London EC2M 2PP. UBS Limited is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the PrudentialRegulation Authority.
PublicUBS MTF FIX InterfaceTable of Contents1.Introduction 3.9.Functional Overview.4General .4Order Priority .4Minimum Acceptable Quantity (MAQ) .4Internalization .5Session Times .5Time Stamps .5Cancel on Disconnect .5Pending messages.5Drop Copy .64.Connectivity.65.5.1.5.2.Symbology .7Uniform Symbology .7Exchange Codes .86.UBS MTF-Specific FIX 7.4.7.4.1.7.4.2.7.5.FIX Message details .9Components .9Standard Header .9Standard Trailer.9Session-Level Messages .9Login.10Heartbeat.10Test Request .10Resend Request .10Reject .10Sequence Reset .11Logout .11Messages from Member to UBS MTF .11New Order Single .11Order Cancel Request .13Order Cancel Replace Request .13Don’t Know Trade (DK) .14Messages from UBS MTF to Member .15Execution Report.15Order Cancel Reject .17Order Rejection Codes .188.References .189.Disclaimer .20Page 2 of 20
PublicUBS MTF FIX InterfaceVersionDateChanges and remarks3.4June 2016Return an execution report following attempted order modification/cancellation where this is prevented by an execution immediately prior(3.8, Pending messages).3.3April 2016Added tag 15 – Currency in FIX Message details.Updated examples in Uniform Symbology to reflect recent changes by Reutersfor XVTX instruments.3.2February 2016Added tag 1 – Account.3.1October 2015Clarifications on requirement to send tag 47, and reject reasons documentedfor tags 102 and 103.Corrected description of replace request handling for unacknowledgedorders.3.0September 2015Major update for new connectivity model.Transact time now sent on all execution reports.2.5June 2015New layout. Timestamp precision increased.2.4December 2014Updated to reflect new names of external organisations.2.3September 2013Clarified MinQty usage.2.2June 2012Tag 9004 – Internalization.2.1April 2012Minor clarifications.2.0September 2011Sent LastLiquidityInd on execution reports.1.9August 2011Refer to ESMA, rather than CESR.1.8August 2011Introduces Bid and Offer order books.1.7March 2011Minor clarifications for pegged orders.1.6November 2010Initial version at launch.Page 3 of 20
PublicUBS MTF FIX Interface1.IntroductionThis document defines UBS MTF’s implementation of the FIX protocol.The document is designed to facilitate the work required to establish trading connectivity and isintended to supplement the published FIX protocol specification [1] and the UBS MTF Rule Book [2].2.BackgroundThe Markets in Financial Instruments Directive (MiFID) was a catalyst for change in the Europeanexecution market place, with the result that the importance of credible electronic trading technologyand the ability to harness technology to source liquidity have become paramount for the brokingcommunity.UBS MTF operates as a “dark order book” and continuous matching is performed at the mid, bid oroffer price of the primary market.Access to UBS MTF is restricted to its members and requires seperate documentation to the standardtrading terms and conditions that regulate other execution services provided by UBS. Thisdocumentation can be obtained via your usual relationship manager, on the web athttp://ubs.com/mtf/, or by contacting UBS MTF directly at ubs mtf@ubs.com .3.Functional Overview3.1.GeneralUBS MTF accepts and matches Pegged orders only, on a non-discretionary basis using a price/timepriority at the Bid, Mid or Offer of the Primary market. There is no minimum order size on UBS MTF.Members of UBS MTF may send either IOC or Day duration orders, and have the ability to set aMinimum Acceptable Quantity and Limit Price on all orders. Open orders are automatically cancelledat the end of each trading day.3.2.Order PriorityOrders are matched according to price and time. If multiple orders are eligible to execute at theprevailing reference price, they are executed in the order in which they were received.3.3.Minimum Acceptable Quantity (MAQ)Where a partial fill occurs on an order that had an MAQ, should the remaining quantity on that orderbe below the MAQ the Minimum Acceptable Quantity will fall to one share. Orders received by UBSMTF with an MAQ that is greater than the order quantity are rejected.Page 4 of 20
PublicUBS MTF FIX Interface3.4.InternalizationBy default, orders will be from a member may be self-crossed.Members can use a FIX instruction of '9004 4' on orders to prevent self-trading or intra-team trading(within the same member entity, see section 6 below).Where a member operates under more than one member code, these may be configured by UBS MTFto act as a single family for the purpose of this instruction.3.5.Session TimesUBS MTF operates during regular market hours in Europe, between 08:00 and 16:30 (UK time), andsession times match those of the primary market where the underlying security is listed.Matching is not performed outside the primary market's continuous trading phase.There is no trading during auctions or halts. If trading on the primary market is suspended UBS MTFwill suspend execution for each affected instrument until continuous trading is resumed. During thesetimes orders may be entered, amended, and cancelled, but will not be executed.3.6.Time StampsThe UTCTimestamp fields (TransactTime, SendingTime, and OrigSendingTime) may be sent to UBSMTF in either whole seconds, or milliseconds UTC.Members may elect to receive timestamps from UBS MTF at either second- or millisecond-levelprecision. This is configured on a per-session basis, and defaults to milliseconds for new sessions.3.7.Cancel on DisconnectOrder entry sessions are configured by default to automatically cancel all open orders in the event ofdisconnection. Any outstanding execution reports will be returned during session recovery whenconnectivity is re-established.3.8.Pending messagesUBS MTF allows cancellation when a new order has not yet been acknowledged, i.e. the order is in a'Pending New' state. Amends / Cancels will be rejected by UBS MTF if the order is already in a'Pending Amend' or 'Pending Cancel' state.If an order Cancel or Cancel/Replace request is received by the FIX gateway, and is not accepted dueto a fill occurring on the order immediately beforehand, a reject message will also be returned in asecond Execution Report following the initial Execution Report notifying the member of the fill.In summary:Current Order StateRequestOutcomePending NewPending NewPending Amend / Pending CancelWorking, Fill message in flightPending CancelPending AmendPending Amend/ Pending CancelReplace requestedWorking, Partial Fill message inflightReplace RequestedAllowedAmend is RejectedSecond Request is RejectedFill is deliveredReplace Request is rejected asorder is fully filledFill is deliveredReplace Request is rejected ifPage 5 of 20
PublicUBS MTF FIX InterfaceWorking, Fill message in flightCancel requestedWorking, Partial Fill message inflightCancel requestedunsuccessfulFill is DeliveredCancel request is rejected asorder is fully filledFill is DeliveredCancel request is acceptedCurrent Order State Request OutcomePending New Pending Cancel AllowedPending New Pending Amend Amend is RejectedPending Amend / Pending Cancel Pending Amend/ Pending Cancel Second Request is Rejected3.9.Drop CopyMembers may request a drop copy feed for executions on their FIX sessions. The format of theexecution reports provided by this feed, and session-level messages, correspond to the details insection 7 below.4.ConnectivityUBS MTF is vendor neutral, although there is existing connectivity with the following providers:Radianz, TNS and Fnetetix. It is also possible for members to cross-connect if they have presence inthe Equinix LD4 Data Centre in Slough.A restricting factor on the number of FIX sessions a member can have is the overall bandwidth of themember's line. The suggested bandwidth for a managed service is a 1MB line and 1G or 10G for adirect cross-connect.Each member is allocated a TCP/IP port per connection – this port is unique to the member and asingle connection is allowed per port.In UAT, the use of an Internet session is recommended, as this allows members to begin testing andcertification whilst awaiting the establishment of production connectivity. A UAT session via themember's chosen transport vendor is also possible, but certification would be delayed until thisconnectivity is in place.Page 6 of 20
PublicUBS MTF FIX Interface5.SymbologyUBS MTF lists a subset of stocks in the ESMA list of approved securities for regulated markets, as well asSwiss listed stocks.5.1.Uniform SymbologyIn all cases the Symbol[55] value must be the Uniform Symbology (UMTF) code. This code has beenadopted by a number of European execution venues to uniformly identify securities traded acrossEurope. The following details on how this code is generated have been extracted from the Wikipediaarticle - Uniform Symbology [1].The Uniform Symbology Algorithm is designed to be human readable, fit into 6 characters, have nosymbol clashes and where possible, be derivable from another, freely available code.It will consist of a stock code followed by a single, lower case letter designating the primary listingexchange. The stock code will be derived from the “local code” published by the primary exchange.These will be truncated where necessary.If the local code contains a single letter class designator of A through Z (eg. “STE A”) then the singleletter class designator shall be retained and the code will be truncated to a maximum of 4 characters,plus the single letter class (A through Z) designator. For some Nordic stocks the share designator will beprefixed with “SDB” (eg. “SDBA”). In this case the “SDB” should be removed and the single letter class(A through Z) designator will be retained.Any codes containing spaces, periods, underscores or second words (other than the single letter class (Athrough Z) described above) will be truncated at the space, period, etc. All remaining non-alphanumericcharacters should be removed.Market codes by market centre (including examples)Market CentreMICMarketSampleCodeLocal CodeCopenhagen StockExchangeDeutscheBorse/GermanyEuronext AmsterdamEuronext BrusselsEuronext ParisEuronextLisbon/PortugalHelsinki StockExchangeSampleUMTF eDanske BankOrdiShares DAX ALTRuHeinekenINBEVRenaultALTRI SGPSASBRPALSXHELhNOK1VNOK1VhNokiaHEPage 7 of 20RICSuffixCODE
PublicUBS MTF FIX InterfaceIrish Stock ExchangeXDUBiGNCGNCiPrague Stock ExchangeXPRAkBOREYBOREYLondon StockExchangeMadrid/Spain (Espana)Borsa Italiana/MilanOslo Stock ExchangeStockholm StockExchangeBudapest StockExchangeVienna Stock OLBXBUDtXWBOSwiss Exchange/Zurich(blue chip)Swiss Exchange/Zurich(non-blue chip)5.2.ICOLeSPMmNHYoVOLBsGreencoreGroup plcBorealisExplorationVodafoneGroup OrdINMOB ColonialSaipemNorsk HydroVolvo B OrdOTPOTPtOTP Bank BS Group AGXSWXzACINACINzAcino HoldingAGSPRLMCMIOLSTSExchange CodesUBS MTF sends its assigned ISO 10383 MIC Code in the LastMkt 30 field on execution reports.The MIC code for UBS MTF is XUBS.On the incoming order, there is no need to specify an exchange and hence ExDestination 100 is notrequired. Any value sent in this field will be ignored.6.UBS MTF-Specific FIX FieldsThe following FIX field is specific to UBS MTF:TagField NameNotesRequired9004InternalizationProvides crossing restrictions4 (Do not execute against own orders). See section 3.4above.NPage 8 of 20
PublicUBS MTF FIX Interface7.FIX Message details7.1.Components7.1.1.Standard ime7.1.2.Standard TrailerTag10NameChecksum7.2.Session-Level MessagesNotesFIX.4.2Must be the first field in the message.Must be the second field in the message.Must be the third field in the message.Always required for retransmitted messages, whetherprompted by the sending system or as the result of a resendrequest.As specified by UBS MTFAs specified by UBS MTFMay be used to provide the identity of the trader whoentered the order.Required when message may be duplicate of anothermessage sent under a different sequence number.Required for message resent as a result of a ResendRequest.If data is not available set to same value as SendingTimeRequiredThree byte, simple checksum (see [2] Volume 2: "ChecksumCalculation" for description).RequiredYYYNYYYYNNNRequiredYThe following messages are supported in both Test RequestResend RequestRejectSequence ResetLogoutPage 9 of 20
PublicUBS MTF FIX Interface7.2.1.LoginTagField NameStandard 41CommentsMsgType A0 (Always unencrypted)Note same value used by both sidesIndicates both sides of a FIX session should reset sequencenumbersStandard Trailer7.2.2.HeartbeatTagField NameStandard HeaderTestReqID112YCommentsMsgType 0Required when the heartbeat is the result of a Test Requestmessage.Standard Trailer7.2.3.Test RequestTagField NameStandard HeaderTestReqIDStandard Trailer1127.2.4.Resend RequestTagField NameStandard HeaderBeginSeqNoEndSeqNoStandard Trailer716RequiredYNYNRequiredYNYCommentsMsgType 1RequiredYYYCommentsMsgType 2RequiredYYYY7.2.5.RejectTagField NameStandard onCommentsMsgType 3MsgSeqNum of rejected messageThe tag number of the FIX field being referenced.The MsgType of the FIX message being referenced.Code to identify reason for a session-level Reject message.RequiredYYNNNTextStandard TrailerWhere possible, message to explain reason for rejectionNY4537137237358Page 10 of 20
PublicUBS MTF FIX Interface7.2.6.Sequence ResetTagField NameStandard HeaderGapFillFlagNewSeqNoStandard Trailer123367.2.7.RequiredYNYYLogoutTagField NameStandard HeaderTextStandard Trailer587.3.CommentsMsgType 4CommentsMsgType 5RequiredYNYMessages from Member to UBS MTFThe following messages may be sent by a Member to UBS MTF:MsgTypeDFGQ7.3.1.TagDescriptionNew Order - SingleOrder Cancel RequestOrder Cancel/Replace RequestDon't know tradeNew Order Single109NameStandard sgType DThe member ID.If not set will use default configured persession. We will validate set of membersper session.Identifier of the order as assigned bythe member.Must be unique per session, per day.Instructions for order handling.Amendments to tag 18 are rejected.RequiredYNTicker SymbolYPossible ValuesAs assigned byUBS MTFYYM if buying orselling at themidP if buying atoffer or sellingat bidR if buying atbid or selling atofferUMTF CodePage 11 of 20
PublicUBS MTF FIX Interface1 Buy2 Sell54SideSide of cityNumber of shares orderedOrder typeTime the order was initiatedDesignates the capacity of the firmplacing the orderYYYY59TimeInForceDay or IOCY44PriceN15CurrencyOptional price limit, specified in thecurrency of the instrumentIf specified, must match the instrumentcurrency code as specified in UBS MTFsymbology file.NISO 4217Currency code;with theaddition of GBXfor instrumentstraded in Pencesterling.110MinQtyDisplaying the minimum quantity of anorder to be executed acting as an MAQwithin UBS MTFN9004InternalizationSelf-execution preventionNThe value placedin tag 110 mustbe either equalor less than theOrderQty (tag38). If theremainingquantity of apartially filledorder falls belowthe value givenhere, theeffective MinQtybecomes one (1)Default: 14 (Do notexecute againstown orders).See section 2.5.Default: Cancross againstown ordersP PeggedA Agency(default)P PrincipalR RisklessPrincipal0 Day3 IOCPage 12 of 20
PublicUBS MTF FIX Interface1AccountReturned on execution reportsassociated with this orderStandard TrailerY7.3.2.Order Cancel RequestTagNameStandard HeaderClientID109CommentsMsgType FThe member ID.If not set will use default configured per session. We willvalidate set of members per session.Unique identifier of cancel request as assigned by participantClOrdID of the originating orderMust match original orderMust match original orderTime the cancel request was nsactTimeStandard Trailer7.3.3.Order Cancel Replace RequestTag109NameStandard Capacity5944TimeInForcePrice1NCommentsMsgType GThe member ID.If not set will use default configured persession. We will validate set of membersper session.Identifier of the order as assigned bythe participant.Must be unique per session, per day.ClOrdID of the order to be replaced.Must match original order.Must match original order.Must match original order.New order quantityMust match original order.Time the replace request was initiatedDesignates the capacity of the firmplacing the order.Must match original order if set.RequiredYNMust match original order if set.New limit priceNNRequiredYNYYYYYYPossible ValuesAs assigned byUBS MTFYYYYYYYYN1UMTF CodePA Agency(default)P PrincipalR RisklessPrincipalOptional priceThis will become mandatory in the next RoE update; expected in 2016.Page 13 of 20
PublicUBS MTF FIX Interface15CurrencyMust match original order if set.N110MinQtyDisplaying the minimum quantity of anorder to be executed acting as an MAQwithin UBS MTF.N9004InternalizationMust match original order if set.If receivedon originalorder1AccountReturned on execution reportsassociated with this orderMust match original order if set.Otherwise amend will be rejected.If not setvalue fromoriginalorder ispreserved.Standard Trailer7.3.4.limitISO 4217Currency code;with theaddition of GBXfor instrumentstraded in Pencesterling.The value placedin tag 110 mustbe either equalor less than theOrderQty (tag38). If theremainingquantity of apartially filledorder falls belowthe value givenhere, theeffective MinQtybecomes one (1)Default: 1YDon’t Know Trade (DK)TagField NameCommentsRequired109Standard HeaderClientIDYN37OrderID17ExecIDMsgType QThe member ID.If not set will use default configured persession. We will validate set of membersper session.Order ID as identified on problemexecutionExecution ID of problem executionPossible ValuesAs assigned byUBS MTFYYPage 14 of 20
PublicUBS MTF FIX rd Trailer7.4.YMust match original orderMust match original orderMust match original orderA UnknownSymbolB Wrong SideC Quantityexceeds orderD No matchingorderE Price exceedslimitZ OtherYYNYMessages from UBS MTF to MemberUBS MTF may send the following messages to members:7.4.1.TagExecution Report37NameStandard ier of the execution message.Unique on a daily basis.Y150ExecTypeDescribes the type of execution reportY20ExecTransTypeIdentifies transaction typeY19ExecRefIDIdentifies cancelled executionY323CommentsMsgType 8Identifier of the order as assigned byUBS MTF.Unique across all orders on a daily basis.Identifier of replacement order asassigned by participant.OrderID for which cancellation orreplacment was requestedRequiredYYPossible ValuesYY20 New1 Partial Fill2 Fill4 Cancelled5 Replaced8 Rejected0 New1 CancelExecId of thecancelledRequired If sent in response to Cancel or Cancel/ReplaceIf ExecTransType 1 (Trade cancel)Page 15 of 20
PublicUBS MTF FIX Interfaceexecution, ifExecTransType 155543839SymbolSideOrderQtyOrdStatusAs sent on the originating orderAs sent on the originating orderAs sent on the originating orderCurrent status of the orderYYYY32LastShares31LastPxQuantity of shares bought/sold on this(last) fillPrice of this (last) fill15CurrencyPopulated if specified on New Order –Single message (35 D)If 150 1or 2If 150 1or 2If sent on35 D30LastMktVenue of execution of this (last) fill29LastCapacityCapacity on order execution. Thisreflects the order 51LastLiquidityIndAmount of shares open for furtherexecutionAmount of executed shares on theorderAverage price of all fills on the orderTime the transaction represented by thisExecution Report occurredApplicable only on ExecTransType(150)If 150 1or 2If 150 1or 20 New1 Partially Filled2 Filled4 Cancelled5 Replaced6 PendingCancel (i.e.result of OrderCancel Request)8 RejectedE PendingReplace (i.e.result of OrderCancel/ReplaceRequest)IntegerISO 4217Currency code;with theaddition of GBXfor instrumentstraded in Pencesterling.XUBS1 Agent3 RisklessPrincipal4 PrincipalYYYY1 AddedPage 16 of 20
PublicUBS MTF FIX Interfaceof Partial or Filled.58Text103OrdRejReason1AccountIf receivedon originalorderStandard TrailerY7.4.2.TagAdditional information ifExecType 8(Rejected)Additional information ifExecType 8(Rejected)Liquidity2 RemovedLiquidityN0 Broker Option1 UnknownSymbol2 ExchangeClosed6 DuplicateOrderOrder Cancel Reject37NameStandard DTextCommentsMsgType 9Identifier of the order as assigned byUBS MTF.Current status of the orderRequiredYYPossible ValuesY0 New1 Partially Filled2 Filled4 Cancelled5 Replaced6 PendingCancel (i.e.result of OrderCancel Request)8 RejectedE PendingReplace (i.e.result of OrderCancel/ReplaceRequest)ClOrdID as assigned by the order cancelor replace requestAs sent on the originating orderYCxlRejReasonYNY0 Too late tocancel1 Unknownorder2 ExchangePage 17 of 20
PublicUBS MTF FIX Interfaceoption3 Order alreadyin PendingCancel orPending Replacestatus434CxlRejResponseToStandard Trailer7.5.N1 Order cancelrequest2 Ordercancel/replacerequestYOrder Rejection CodesThe following Rejection Codes may be sent back to Members in the event of an order reject; these arein addition to the reason code in tag 103. This is not a comprehensive list, and other messages may alsoappear in tag 58. Additional values for tags 102 and tag 103 are reserved for future use.Code (Tag DescriptionSystem is not enabledMarket is not openOrder is not eligible for tradingOrder is not eligible for crossingInstrument is not openMarket manually disabledInstrument manually disabledAccount disabledInstrument suspendedReferences[1] Wikipedia contributors, "Uniform Symbology," Wikipedia, The Free Encyclopedia, July 2015.[Online]. le Uniform Symbology&oldid 664368300.[2] FIX Protocol Ltd, "FIX 4.2," 01 May 2001. [Online]. ructure/tech-specs/fix-version/42. [Accessed 6 July 2015].[3] UBS Ltd, "Member Information," 2015. [Online]. Available: http://www.ubs.com/mtf.Page 18 of 20
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PublicUBS MTF FIX Interface9.DisclaimerThe key symbol and UBS are registered and unregistered trademarks of UBS. All rights reserved. UBSspecifically prohibits the redistribution of this material and accepts no liability whatsoever for the actionsof third parties in this respect.UBS, by publishing this document, does not guarantee that any information contained herein is and willremain accurate or that use of the information will ensure correct and faultless operation of the relevantservice or equipment.Page 20 of 20
UBS Limited 1 Finsbury Avenue Tel. 44-20-7567 8000 www.ubs.com Classification Public Date 15 April30 June 2016 Version 3. 34 Status Final UBS Limited is a subsidiary of UBS AG UBS Limited is a company limited by shares incorporated in the United Kingdom registered in England and Wales with number 2035362. Registered office: 1 Finsbury
