Build Once, Interface Many Times: Tracking the Exchanges FIXML Rollouts

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Build Once, Interface Many Times Tracking the
Exchanges FIXML Rollouts

• Chair John Munro - Rolfe and Nolan
• Speakers
• Mark Cox - CME
• Robert Lake - OCC
• Barry Legros Nybot
• Carl Saunders Nymex

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2nd Quarter 2005

• Release of SLEDS API
• Roll out of Average Price API
• Roll out of Allocation API
• The mandate to cutover to FIXML for Position
  Change Submission and Trade Registers is April
  30th, 2005.

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1st Quarter 2006
3rd Quarter 2005

• CME will enhance Block and EFP API
• Roll out of Electronic Trade Confirm API

• Roll out of Pit Trade and Transfer API to FIXML

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Currently Available

• Non Proprietary Data
• Prices
• Open Interest
• Series Information

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Currently Available

• Proprietary Data
• Trade Report
• Position Report
• Position Movements
• EA

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2005 3Q

• Inbound Post-Trades
• Exercise Notices
• Transfers
• Adjustments
• Spreads
• Contrary Intentions

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2005 4Q

• Trade Allocation Messages (Give-Ups)

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2006

• Equity Collateral Eligible Securities
• DTC Collateral
• Deposit Withdrawal
• Open Depository Inventory

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Delivery Modes

• Batch
• All Data Available in Batch
• Real-Time
• Trades
• Position Movement
• Series Adds
• Gross Position Adj
• Allocation

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Current Focus Trade Capture Reporting

• Real-time Reporting via FixML Messages
• Bi-directional
• Firms able to Accept / Challenge
• Firms able to Modify

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Key Benefits

• Real-time reporting of trades provides timely
  execution of back-office processes
• Automation of accept / challenge provides timely
  response to floor
• Automation of CTI / account corrections increase
  cleanliness of data
• Accurate CTIs become increasingly important with
  new CTI-based billing structure
• Automation with machine-to-machine interfaces
  provide giant step towards Straight-thru-Processin
  g !

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Real-time Trade Capture ReportingWhats Included?

• Trade messages sent to firms as they are captured
  in TIPS and assigned to firm
• Subsequent trade adjustments are sent to firms
  via reverse / replace messages
• Firms can send requests to accept / challenge
• Firms can send requests to modify
• CTI and segregation code
• Customer account

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Real-time Trade Capture ReportingWhats
Included? (contd)

• Mechanical adjustments and transfers will also be
  reported via same API
• Firms will be able to use existing MQ
  infrastructure for processing

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Real-time Trade Capture ReportingWhats Not
Included?

• Unmatched trades will not be included initially
• Ability to partially accept by quantity
• Ability to breakdown across multiple accounts
• Query-based requests from firms will not be
  supported initially
• No support for firm-to-firm give-ups

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Automation with Manual Processes
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Messages via Trade State Transitions

• Trade Capture messages are sent in sync with ECS
  real-time clearing process
• Transitions into a clearable status result in
  submissions
• Transitions out of a clearable status result in
  reversals
• Changes made to submitted trades result in
  amendments (replaces)
• Same adjustment messages are sent to firm whether
  change was made with TIPS or FixML API
• Firms can continue to use TIPS functions if
  desired !

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Typical Message Sequences
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Trade Challenge Sequence
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Policy Issues

• Change methodology to clear once matched and
  allocated (MA) instead of matched, allocated and
  accepted (MAA)
• Consistent with current implicit acceptance
  practice
• Trade challenges will result in reversal, but
  will not cause instant submission to guarantor
• Give-up model remains the same for now done by
  broker via TIPS
• Brokers still allowed to re-allocate trades after
  submission to original firm
• Original firm will get a reversal

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Current Status

• Real-time Trade Capture Reporting currently in
  development
• Draft version of API specification distributed to
  FixML working group for feedback

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Still to Do

• Make adjustments in accordance with feedback from
  working group
• Distribute formal API
• Consider evolving MQ standards

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Timeframes

• Real-time Trade Capture Reporting
• Start testing with early adopters second quarter
  2005
• Production ready late 2Q2005 or early 3Q2005
  depending on testing results
• Other 2005 FixML Initiatives
• Batch-oriented files converted to FixML
• Trade Match-off
• Position Change Submission

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