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1. 67 5 2 grigio iT 67 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Revision History Date Version Description Author June 10 2013 On section 5 1 specified the need for recertification when migrating to UMDF 2 0 On section 3 2 3 added a note explaining not all instruments have statistics per venue Still on section 3 2 3 added a note explaining about the JLRM behavior change for tag 37 OrderlD and tags 272 MDEntryDate and 273 MDEntryTime On section 3 2 4 added a note to indicate that the group phase may be inferred from the instrument state whenever it rejoins the group to indicate if the security follows the group when the messages refer March 22 2013 Documented differences in the format of tag UniqueTradelD 6032 in section 2 3 22 Described impact in MegaDirect message flow for iceberg orders disclosed quantity in section 2 1 15 Described composition of fields DOmIni and NSeqOmIni in message SLE 0172 in sections 2 4 1 5 and 2 4 1 6 EP JLRM Added section 3 3 3 documenting that RLC 39 message is no longer being disseminated on Legacy ProxyDiff Changed description of tag 1174 SecurityTradingEvent on sections 3 2 3 and 3 2 4 to property reflect that this tag always report a value to a specific security having tag 48 March 04 2013 Changed SenderLocation value for give up agents in sect
2. lm Tag UniqueTradelD 6032 sent in Mega left of the number for example 603 UniqueTradelD 6032 does not contain gt the trade identifier sent in the EntryPoint pr N 2 3 23 Sender Location Each access category available in the Equities and Derivatives segments has an alpha numeric code which indicates that a given connection belongs to a specific category This alpha numeric code must be sent in every message as a Sender Location Party Role The following table depicts all access categories Access Category Market Segment Sender Location Desk traders categor has been changed to REPX The Y Sender Location Party Role 33 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 STM 2 4 1 Origin PUMA Trading System In order to allow back office systems to continue to consume Drop Copy messages in the SLE MMTP format even after the migration of equity instruments from Mega Bolsa to the PUMA Trading system the Exchange will convert the FIX Drop Copy messages and inject them into the STM Hub where Firms will be able to connect and get the information The following diagram shows the STM Hub being fed by both Mega Bolsa and PUMA Trading platforms and a client application consuming the information from a single point Drop Copy MEGA BOLSA D Matching Engine SLE MMTP SLE MMTP Back Office System
3. It is important to note that the cancelling and changes in the flow and layout of the messages as described herein this document will only affect the instruments which have been migrated to PUMA Messages for instruments which are still traded on Mega Bolsa will suffer no changes and will continue to be transmitted as is 2 4 1 1 Execution Notice Messages SLE 0105 Execution Notice related to User Defined Spreads UDS will not be reported In case of a matching regarding UDS instruments only the Execution Notice messages related to the trade of the legs will be sent 2 4 1 2 Order Elimination Message SLE 0138 Order Elimination is distributed to communicate the elimination of orders due to corporate events such as dividend split etc Although this message will not be produced for instruments migrated to the PUMA Trading System clients may rely on the field IPDRV in the message RLC 53 provided by market data to identify the group of instruments with such corporate events planned for the day and proceed with the appropriate elimination of the orders 35 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 1 3 Trade Creation Notice In this new scenario the message SLE 0103 Trade Creation Notice will be replaced by the SLE 0105 Execution Notice Whenever Market Ops create a trade on the PUMA Trading System an Execution Not
4. The Forward also known as Termo Declaration Acceptance model allows participants to record an out of band pre arranged deal in the exchange environment The negotiation starts with the Initiator sending a Quote Request 35 H message to the exchange BM amp FBOVESPA then forwards the Quote Request 35 R to the Counterparty s default FIX session In Mega Bolsa EntryPoint due to technical limitations imposed by the current systems the value of tag QuoteRegID 131 in the QuoteRequest 85 R message sent to the Counterparty is not the same as the value entered by the Initiator However the exchange guarantee the uniqueness of the new value assigned and the change of IDs is totally transparent and does not affect the negotiation In the PUMA Trading platform the value of tag QuoteRegID 131 in the QuoteRequest 35 R message sent to the Counterparty will replicate the value entered by the Initiator 2 3 8 Termo Vista Registered In Mega Bolsa EntryPoint during a Termo Vista Registered declaration tag ExecuteUndelyingTrade 35004 in the QuoteRequest 35 H message is not sent to the Counterparty That means the Counterparty cannot distinguish a Termo Vista Registered declaration from a simple Termo declaration It is also advised that the Respondent must not include tag ExecuteUndelyingTrade 35004 in the Quote 35 5 message when accepting a Termo Vista Registered in Mega Bolsa EntryPoint The limitations describe above are imp
5. The headline of a News message Must be set if EncodedHeadline field is specified and must EncodedHeadlineLen immediately precede it Can only be published in the Unified News Channel Encoded non ASCII characters representation of the Headline field in the encoded format specified via the EncodedHeadling Data 512 MessageEncoding field Can only be published in the Unified News Channel ER um NoRelatedSym NS NumlnGroup T the number of repeating symbols instruments Instrument identification block no changes to this block Deprecated Indicates the number of destinations of this message ee Deprecated Indicates the type of RoutinglD 217 specified 63 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Data type Comment a yaaa values 2s yata yawess List Deprecated Assigned value used to identify a specific routing destination Valid values 1 Vendors 2 Traders 3 BM amp FBOVESPA RSS feed 4 BBMNet 5 GLOBEX 83 NoLinesOfText Y NumlnGroup Identifies number of lines of text body Im Te Tx String 8192 Free format text string Length of EncodedText field Can only be published in the EncodedTextLen N Length Unined News Channel Encoded non ASCII characters representation of the Text 58 Encodedie Data field in the encoded format specified via the V
6. Customer Impact Document 3 2 1 2 Fixed Income products BovespaFIX oupported by the new message 35 n NonFixData which has the following layout header included Tag name Req Data type Comment 5 MsgType Y String Defines message type Fixed value n NonFixData PS e 1128 AppVerlD Y String Specifies the service pack release being applied at message level Fixed value 9 for FIX50SP2 MsgSeqNum Y i jlnteger message sequence number SendingTime un UTCTimesta UTC Date Time at message transmission m 212 DataLen Int Integer field representing the length of the field Data 213 in bytes Value must be positive 213 Daa ata Actual message data stream encoded Z5 347 MessageEncoding Y String Type of the encoded message inside the current message Fixed value RLC Z5 This message 35 n is used to carry a payload that is the unmodified RLC Z5 message from ProxyDiff that can be extracted and processed as usual by customers and vendors already capable of processing this message 3 2 1 3 Changes to other supported product types Here is a comprehensible list for all the product support features that were changed For more details please see sections 3 2 2 and 3 2 3 New tag 37014 MDlinterestRate for reporting the interest rate for Termo Forward Market Indicator for Non tradable products and eligibility for GTD GTC orders using 870 NolnstrAttribs block Support for multiple Lot
7. Drop Copy Sessions BVMF will offer drop copy functionality for MegaDirect flow in EntryPoint format Thus it will be possible to capture the whole equities trading flow MegaDirect EntryPoint and Megabolsa Station in a single drop copy session However note that the ClOrdID and OrigClOrdlD field of MegaDirect captured flow will be modified prefixed with the MegaDirect session SenderComplD Example e SenderComplD of MegaDirect session FIX123300 e ClordlD in order sent through MegaDirect ABCD1234 e ClOrdID in the EntryPoint Drop Copy session FIX123300ABCD1234 32 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 3 22 Field UniqueTradelD tag 6032 The trade identification represented by tag UniqueTradelD 6032 in EntryPoint and MegabDirect protocols differs in its format In MegaDirect the value is formatted with zeros added to the left This characteristic was inherited from the Megabolsa platform where the trade identification is handled as a string of 7 positions In EntryPoint and the PUMA Trading system tag UniqueTradelD 6032 is handled as a numeric value and the system does not include any zeros to the left of the trade identifier When comparing the trade identifier provided by the Megabolsa platform such as STM or other with the value in the EntryPoint protocol one should perform a numeric comparison in order to equalize the parameters
8. The New Exchange Migration from Mega Bolsa to the PUMA Trading System i 9 pact Document ago P Version 1 8 F modified 6 11 2013 BMAEBOVESPA Migration from Mega Bolsa to PUMA Trading System Version 1 7 The New Exchange Customer Impact Document Contacts e Services Development Department GDS handles all requests for connectivity setup and general exchange supported services o bvmfsolution bvmf com br e Certification and Testing Center CTC performs certification of all software solutions applying for EntryPoint connectivity o ctc bvmf com br e Trading Support Department GSN provides real time connectivity monitoring and troubleshooting o tradingsupport bvmf com br o 55 11 2565 5000 option 2 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document The information within this document has been compiled by BM amp FBOVESPA for general purposes only BM amp FBOVESPA assumes no responsibility for any errors or omissions Additionally all examples in this brochure are hypothetical situations used for explanation purposes only and should not be considered investment advice or the results of actual market experience All matters pertaining to rules and specifications herein are made subject to and are superseded by official BM amp FBOVESPA rules Current rules should be consulted in all cases concerning contract specifications
9. 4 Entry from previous business day 5 Theoretical price 3 Expected entry Preliminary price gt 15 Currency N Currency Identifies currency used for financial volume Absence of this field is interpreted as the default currency for the security gt LastTradeDate C UTCDateOnly Date the instrument last traded Used as an input in the calculation of the MaxTradeVol and used to trigger an Auction Not published if the product has never been traded Published as part of Adjusted Closing Price block 269 5 286 4 SC SJ S YO Cx d 3 1 313 18 gt 37013 PriceAdjustmentMethod C Indicator of previous day s closing price Used for Closing price adjustments related to 51 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag name Data type Comment Corporate Actions Valid values 0 No adjustment default 1 Theoretical price of EX share 2 Theoretical price of EX share when greater than WITH price 3 Theoretical price of EX share resulting from dividends in different types of stocks companies 4 Price arbitrated by Market Authority OrderlD String 5 Unique identifier for Order as assigned by the exchange maps to the SecondaryOrder D field in the Execution Report message for the derivatives market for the FX market it is the actual Order D Required for Bids or Offers for market by order laii SS a a Contains the unique id
10. NSeqOm and NSeqOmlni fields will still be contained in the messages and will be filled with the 6 six least significant digits of the data Field Content Sequential of the Order Complete Sequential of the Order 01 000781 zT 123456 Table 4 Example of fields in the new message layout With the purpose of reducing development effort a client system may choose not to read these new fields and continue to rely only upon the old ones However in this case there is no guarantee that there will not be coincidences among identifiers of different orders since only the 6 six least significant digits will be considered Field NSeqOmlni will be provided also upon order confirmation creation in the SLE 0172 Confirmation of Order Creation Modification or Cancelation message 2 4 1 6 Order Entry Date The Field DSaiOm in the SLE 0100 Trade Cancellation Notice SLE 0105 Execution Notice and SLE 0172 Confirmation of Order Creation Modification or Cancelation messages will not convey the date an order was placed Instead in the SLE 0100 and SLE 0105 messages the trade date will be conveyed and in the SLE 0172 message the current system date will be conveyed This should not represent a problem Since the new order identification is unique the date an order was placed is not required to identify GT orders In addition field DOmlni in the SLE 0172 Confirmation of Order Creation Modification or Cancelation me
11. or the order will be rejected This order may only be modified to a larger quantity while the auction is in place it cannot be cancelled while the auction is in place When the auction ends the order is executed When using the Mega Direct interface On Close orders are identified by tag OrdType 40 A In order to emulate this functionality in Mega Bolsa EntryPoint it is necessary to combine tag OrdType 40 1 with TimelnForce 59 A 2 9 19 Blocking Specification Megabolsa allows participants to send a blocking specification message which a greater quantity than the actual quantity of the associated options trade Megabolsa ignores the overstated quantity and blocks the position up to the quantity available in the trade PUMA Trading System does not allow overstating the block specification quantity in this situation the specification is rejected 2 3 14 Order Side Modification The side is one of the characteristics of an order that cannot be altered Should an order modification be issued with a different side than the indicated in the original order the request will be rejected In both Megabolsa and PUMA Trading systems the rejection message will indicate that the order was not found in the book However the order status indicated in the message may diverge PUMA Trading system may present the order status as REJECTED while Megabolsa would present the last known status of the original order the one with the correct
12. Cancellations Modifications Execution Reports EntryPoint EntryPoint FIX 4 4 EntryPoint EntryPoint Client System Orders Cancellations Modifications Execution Reports 2 2 4 New Functionalities for the EntryPoint Protocol in the PUMA Trading System The EntryPoint interface provides a wider range of functionalities when compared to MegaDirect and the migration to the new protocol is highly recommended to all participants Some of the new functionalities available in the EntryPoint interface include Creation of User Defined Spreads Exercise and Blocking of equities Option contracts Self Trade prevention at customer level On Behalf order management that allows a desk trader to operate on behalf of other clients Declaration and Acceptance of Forward contracts For a complete view on the EntryPoint functionalities please see the EntryPoint Message Specification at http www bmfbovespa com br entrypoint Clients that have already developed for the Mega Bolsa EntryPoint interface will experience few changes when moving to PUMA EntryPoint This section outlines the changes and increments available in the new platform 19 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 2 4 1 User Defined Spreads UDS User Defined Spreads provide users of the electronic trading platform the ability to create strategies composed by
13. Document Tag name Req Data type Comment MDEntrySeller String 50 For optional use in reporting trades selling party or Note not sent in FX messages blind screen NumberOfOrders Integer Contains the number of orders that make up the aggregate quantity at the price point Required if this is a price depth book entry Sella al Baud Displays the position of a bid or offer numbered from most the competitive to the least competitive per market side beginning with 1 Required when MDEntryType 0 or 1 Char Indicates which side is the aggressor of the trade If there is no existing value then there is no aggressor Reserved for future use Deprecated Valid values are 1 Buy 2 Sell PriceType Integer Code to represent the price type applicable to settlement data The default value is 2 Per unit Valid values 1 Percentage 2 Per unit i e per share or contract 3 Fixed amount absolute value gt 451 NetChgPrevDay N PriceOffset Net change from previous trading day s closing price vs last traded price gt 287 SellerDays N Integer Specifies the number of days that may elapse before the delivery of the security Only used for some types of trades in the forward market gt 731 SettlPriceType C Integer Required only for MDEntryType 6 Settlement Price Valid values 1 Final 2 Theoretical Preview 3 Updated gt 1020 TradeVolume N Qty Total traded quantity shares contracts of the trading day It wi
14. Drop Copy gateways only There is no guarantee that the text entered in tag Memo 5149 will reach other systems such as in the clearing or post trading areas In this aspect it is not recommended to use tag Memo 5149 as a key to correlate messages from the trading with data collected in the post trading systems for example If the participant needs to have the information reflected outside the scope of the trading environment it is advised to consider using the PartyRole 76 Desk ID that is also a free format text field but which content can be used to add a description or comment to the clients account number and therefore offered to external systems 2 3 18 Field PartyRole 76 Desk ID There are scenarios where participants need to include an annotation in the order entry message exclusively to identify the client associated with a given account number In most cases this 31 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document information is also used to correlate the order entry messages with the data in the back office and clearing systems Although in EntryPoint the Account 1 field cannot be used to convey any type of text information only numeric values are accepted it has been implemented an efficient alternative to support this functionality In this context users are advised to take advantage of PartyRole 76 Desk ID which provides
15. R Stock reserved for auction or auction extension space Other than I _ Opening of stock Scheduled or rescheduled time for stock opening 3 9 2 Last Trade Price Modification When receiving trades originated as a result from UDS trades on message RLC 02 Trade marked with the field Origin of Trade equal to E the customer application should not use this trade price to alter the Last Trade Price 3 3 3 Session Schedule by Quotation Group After conversion from PUMA UMDF 2 0 the information used to generate message RLC 39 Session ochedule by Quotation Group is no longer available hence this message is no longer disseminated on the Legacy ProxyDiff feed 65 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 4 Key dates All relevant dates around the migration process from Mega Bolsa to PUMA Trading System will be available at http www bmfbovespa com br puma 66 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 5 Certification Guidelines 5 1 PUMA UMDF 2 0 Customers are called to retest their current implementations of Mega Bolsa UMDF 1 6 against the PUMA UMDF 2 0 In order to consume UMDF 2 0 feed applications must undergo a certification process guided by BVMF Solution Team at bvmfsolution bvmf com br Below is a table containing the New Re
16. Types using 1234 NoLotTypeRules block Indicator for User defined spreads UDS versus Exchange defined spreads EDS using tag 1377 MultiLegModel ndicator for when strategy products legs contain individual prices tag 1378 MultiLegPriceMethod Index sequence tag 37100 and Composite Underlying Prices block 269 D and group 711 NoUnderlyings in incremental messages please note this will only become available when the index channel migrates to PUMA 2 0 Corporate Action Event identification tag 37010 CorporateActionEventIlD Market segment indicator tag 1300 MarketSegmentID Date when the instrument last had a trade tag 9325 LastTradeDate Indicator of previous day s closing price adjustment tag 37013 PriceAdjustmentMethod Governance level indicator tag 37011 Governancelndicator Special Auctions indicator tag 37015 SecurityMatchT ype Reviewed and enhanced security classification tags 460 Product 167 SecurityType and 762 SecuritySubT ype Option Exercise and Blocking change tag 167 domain from OPTEXC to OPTEXER a more compatible value with FIX5 0SP2 Alltags of the type UTCTimeOnly and UTCTimestamp now includes milliseconds 43 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Trades marked with 277 TradeCondition U Exchange Last will only be generated at the beg
17. a powerful and consistent method to allow participants to annotate the account Observe the example below Msg Account CIOrdID PartylDs NoPartyIDs 4 Party PartyID Field Account is paryRole numeric only 1234 ABC1 EE XE Entering firm i Bam erem ar D 54 Location Ee a JOHN D 76 Desk ID Note that in Mega Bolsa Entry Point the max length of fields Account and Desk ID concatenated is restricted to 16 characters In the PUMA Trading platform the length of Desk ID is not restricted by the Account 2 3 19 Field MsgSeqNum tag 34 The EntryPoint specification states that the max length of field MsgSeqNum 34 is 9 Although this value is supported by the PUMA Trading system in the Mega Bolsa platform this field must be limited at 7 digits only Consequently participants trading in the Mega Bolsa platform should not add leading zeros to the message sequence number nor surpass the limit of 10 million messages a day 2 3 20 Field CumQty tag 14 In the PUMA Trading System if a given trade for a fully filled order is cancelled trade bust the CumQlty 14 sent in the Execution Report message is set to zero If a trade of a partially filled order is cancelled the CumQty 14 will decrease in the same value of the busted quantity For the same scenario in Mega Bolsa EntryPoint the CumQty 14 sent in the Execution Reports will always be zero even if it is the trade is only partially canceled 20 2
18. filled for 500 contracts the matching engine will replenish the quantity back to 500 contracts until all of OrderQty is consumed In the PUMA Trading System in order to preserve the hidden nature of Iceberg orders the matching engine will assign a new order identifier tag SecondaryOrderlD 198 each time the order is replenished This is the actual order identifier published in the market data feed In the EntryPoint protocol this automatic change in the order identification is communicated to the client systems through a restatement message which is an ExecutionReport 3528 with tag ExecType 150 D The restatement message conveys the new value of SecondaryOrderID 198 2 1 15 1 Impact to MegaDirect client systems Since iceberg orders that were executed in the Megabolsa platform did not have its identification altered MegaDirect users never had to account for new messages indicating the new value of tag OrderID 37 In fact MegaDirect message specification does not support the restatement message 150 D 14 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document This divergence in the behavior of iceberg orders executed in the PUMA Trading system versus the ones executed in the Megabolsa platform has a direct impact on the messages flow of the MegabDirect interface When executing in the PUMA Trading system it is imperative ensure that the
19. interfaces an IOC that cannot be executed will return two Execution Reports one message indicating that the order was accepted OrdStatus 39 0 New followed by another message indicating that the order was canceled OrdStatus 39 4 Canceled BM amp FBOVESPA Order Entry Gateway NewOrderSingle 40 2 59 3 ExecutionReport 39 0 150 0 New ExecutionReport 39 4 150 4 Cancelled 2 1 6 Cancel On Disconnect The Cancel on Disconnect functionality prese YN interfaces will not be available in MegaDirect V4 2 1 7 Order Validity Modification Modification of order validity performed by Market Operations via surveillance tool will not be perceived in the Execution Report sent to MegaDirect V4 Although the modification will be effective and order will be handled by the matching engine accordingly to its new validity type MegaDirect V4 interface will continue to present a stale value for tag TimelnForce 59 12 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 1 8 On Close Orders In MegaDirect V4 interface On Close orders executed after the end of the auction will continue to be reported as order type On Close 40 4 This behavior observed in the MegaDirect V4 interface differs from previous versions of MegaDirect where the execution performed in this circumstance would be
20. minimize the impact to the customers the continued use of MegaDirect interface is subjected to some variances regarding tags and system behavior Observe below the differences your system may be prepared to support 2 1 1 Field OrderID tag 37 Orders generated in Mega Bolsa are assigned with a sequence number that is guaranteed to be unique within a single trading day per instrument In order to provide a strong key that would allow clients to uniquely identify their orders GT orders inclusive Mega Bolsa EntryPoint combines this sequence number with the session date and the instrument symbol in tag OrderID 37 In the PUMA Trading System the identifier generated is guaranteed to be globally unique across all parameters As a result the tag OrderlD 37 in the PUMA EntryPoint is a plain value that does not include the date or the symbol in its composition This example reinforces the statement for clients to avoid undocumented parsing Client systems should not parse the tag components since the current composition might change as the systems evolve IDs must be treated as opaque identifiers which comply with a given uniqueness rule 2 1 2 Field OrderStatus tag 39 In a trade bust scenario for example when an order is no longer in the book and the matching engine does not know the current status of the order to declare in the Execution Report it was decided that the PUMA Trading system will inform the value Z Previous Final State
21. modification to the order identifier is correctly communicated otherwise clients might lose the control over their orders In order to provide the new value of the OrderID 37 in a way that the client systems would be able to interpret it without the need of supporting the restatement message each time an iceberg order is replenished MegaDirect clients will receive a replacement notification This message takes the form of an already supported and well known ExecutionReport 3528 with tag ExecType 150 25 As such the message must be accepted by the client systems as an unsolicited modification and the new value of OrderlD 37 must be used to update the reference to the order greater than the disclosed quantity X then the restatement message is not sent and the execution report i In both EntryPoint and MegaDirect int mm j The example below depicts the message flow of an iceberg order that is placed through a MegaDirect interface and rests in the order book During the time the order is in the book it is hit by several counterparties which results in several trades Note that every time replenishment occurs the order assumes a new identifier Msg Last Leaves Exec D Ai too so J p Iceberg order is accepted and rests in the order book Disclosed quantity of 500 shares is totally filled 8 ABC ORD 1 10000 9500 Partially Filled Partial Fill Order is re
22. price banding tunnel Used for Price Banding when MDEntryType 269 g and when tags 1148 and 1149 are sent valle values 2 auction tunnel for future use 1 Hard Limit 2 Auction Limits 54 BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document Tag Tag name Req Data type 1500 MDStreamID String 2 m u MDEntryDate 273 MDEntryTime gt 37016 MDInsertDate UTCDateOnly 37017 MDInsertTime MDEntrylnterestRate UTCTimeOnly 37014 gt 274 TickDirection Security TradingStatus TradingSessionSubID Integer TradSesOpenTime UTCTimestamp Comment 3 Rejection Band 4z Static Limits The identifier or name of the price stream The default value is E Electronic Valid values E Electronic X Ex pit eel Leases O Option Exercise Sa ee cs T Termo N Index L Lending BTC A All Price of the Market Data Entry Required when this market data entry involves a price Represents the notional value for trade volume B Other entry types that do not involve price do not require this tag Quantity or volume represented by the Market Data Entry Required when MDUpdateAction New 0 and MDEntryType Bid 0 Offer 1 Trade 2 Trade Volume B or Opening Price 4 UTCDateOnly Date of Market Data Entry UTCTimeOnly Time of Market Data Entry This tag now includes up
23. same But once it rests in the order book and becomes passive any replenishment causes the change in the order identification which is notified by either a replacement or trade execution report 16 BMAFBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 2 System Architecture This section outlines the architecture of BM amp FBOVESPA s trading platforms throughout the migration period 2 2 1 Current Mega Bolsa Order Entry Architecture e All the products trade on the Mega Bolsa matching engine e Orders are entered into the system using the existing MegaDirect or Mega Bolsa EntryPoint FIX connections and converted into MMTP Mega Bolsa s internal messaging protocol by the Exchange for compatibility FIX 4 2 MegaDirect MEGADIRECT Client System SLE MMTP Orders Cancellations Modifications Execution Reports MEGA BOLSA SLE MMTP FIX 4 4 EntryPoint MEGA BOLSA EntryPoint Client System Orders Cancellations Modifications Execution Reports 17 BMAFBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange dud Customer Impact Document Mega Bolsa PUMA Hybrid Order Entry Architecture Architecture valid during the migration period from Mega Bolsa to PUMA Set of products traded on the Mega Bolsa matching engine another set in the PUMA matching engine Orders are entered into the sy
24. to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag name Req Data type Comment TradeDate N LocalMktDate Used to specify the trading date which a set of market data applies in YYYYMMDD format Absence of this field indicates current day expressed in local time at place of trade ou M RN a Number of following entries of Number of following entries entries Li ee Type Market Data entry Valid values 0 Bid 1 Offer 2 Trade 3 Index Value 4 Opening Price 5 Closing Price 6 Settlement Price 7 Trading Session High Price 8 Trading Session Low Price 9 Trading Session VWAP Price A Imbalance B Trade Volume C Open Interest J Empty Book g Price band h Quantity band D Composite Underlying Price MDUpdateAction Char Types of Market Data update action Valid values 0 New 1 Change 2 Delete 3 Delete Thru 4 Delete From 5 Overlay DO qe Integer Sequence number per Instrument update which contains the same data as the corresponding RptSeq in the Market Data Incremental Refresh tag 35 MsgType X Edi IndexSeq bd a Index Value sequence number Used only for index instruments 6939 PriceBandType Integer Indicates the type of price banding tunnel Used for Price Banding when MDEntryType 269 g and when tags 1148 and 1149 are sent d values 2 auction tunnel for future use 1 Hard Limit 2 Auction Limits 3 Rejec
25. 02 Security Status following Group Status NOTE On PUMA UMDF 2 0 orders resting in the explicitly reset every day just after the NE date changes NOTE Either tag 625 or 326 are sent at once state rejoins the group phase 1174 1 625 from the current instrument state On Mega Bolsa UMDF there were no explicit daily statistics reset and the cancellation of the orders resting in the book This procedure wasn t needed because the market data sequence number restarted to 1 every day However um PUMA UMDF 2 0 there is an explicit statistics reset message 352f 1174 4 just after the first group phase change for that given trade date All pending orders are also cancelled with the exception of GTD GTC orders at the same time 60 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 3 2 5 Bands and limits changes This new installment of the PUMA Trading System has numerous enhancements regarding the reporting of bands and limits on the market data feed The following types of bands and limits are now supported Hard limits Rejection band Auction band Static limits Quantity limit The bands are reported on the incremental refresh message 35 X using the following tags Tag Hard Limits Hard Rejection Auction Static Quantity non Limits Band Band Limits Limits tradeable MDEntryType 6939 PriceBandType 13
26. 06 PriceLimitType 1148 LowLimitPrice 1149 HighLimitPrice MDUpdateAction 279 269 48 22 207 83 272 73 2 1 Hard 3 2 Auction 4 Static Limit Rejection Limit Limit Band EN NEN NE tags marked with an X are required those marked with are not sent otherwise they have the specified values EN NE X X 3 2 6 Recovery changes Another important update for this release of PUMA Trading System is comprised by a series of enhancements for both recovery mechanisms Snapshot Market Recovery and TCP Recovery 61 BMAFBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 3 2 6 1 Snapshot Market Recovery The Snapshot Market Recovery feed now supports multiple Snapshot messages 35 W per packet greatly improving the recovery speed for channels that contain small Snapshot messages that can be bundled into a single UDP datagram 1430 bytes each UDP Packet 1430 bytes asn aw o Dew If the customer application is d packet this impact can lead to co 3 2 6 2 TCP Recovery The TCP Recovery feed can now be used to recover up to 10 000 messages missed in both Incremental feeds A and B The response time in these circumstances should be below the millisecond range However it is mandatory to note that customers should only request messages on the TCP Recovery 20ms later after the message being considered got lost in the in
27. 32 Indicates the type of the security Valid Values derivatives and FX FUT Futures SPOT Spot Market SOPT Spot Options FOPT Future Options DTERM Derivative Forward or Termo Valid Values equities CASH rights etc OPT Option FORWARD Equity Forward or Termo ETF Exchange Traded Fund INDEX Non Tradeable index OPTEXER Option Exercise MLEG Multileg Instrument UDS CS Common Stock PS Preferred Stock SECLOAN Security loan or BTC INDEXOPT Option on Index 62 7 SecuritySubType String 32 The sub type of the instrument Values for derivatives FX 4 FX spot 10 Gold 20 Index 30 Interest rate 40 FX rate 50 Foreign debt 60 Agricultural 47 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag name Req Data type Comment 70 Energy 80 Economic Indicator 90 Strategy 100 Future style Option 110 Volatility 120 Swap 130 MiniContract 140 Financial RollOver 141 Agricultural RollOver 190 Carbon credit Values for equities 1001 Ordinary Rights DO 1002 Preferred Rights DP 1003 Common Shares ON 1004 Preferred Shares PN 1005 Class A preferred shares PNA 1006 Class B preferred shares PNB 1007 Class C preferred shares PNC 1008 Class D preferred shares PND 1009 Ordinary Receipts ON REC 1010 Preferre
28. 52AM when provided in the request 26 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 3 2 Order Modification Behavior Changes Scenario Mega Bolsa PUMA Trading system Modifications of Limit orders with Accepted producing an Execution P es Rejected by means of an Execution B disclosed quantity of Limit orders Report ExecType 150 Rejected Report ExecType 150 without disclosed quantity 8 Replaced 5 Modification of an order to a quantity lower than the executed Modification is rejected with one OrderCancelReject 35 9 Modification returns an Execution Report ExecType 150 Canceled 4 Client submits an OrderCancelReplace without Modification is accepted producing Modification is rejected with i changing any parameter of the i an Execution Report ExecType 2 3 3 Suspended Orders The domain value Suspended 9 in the tags ExecType 150 and OrdStatus 39 will be discontinued in the PUMA Trading Platform In this new scenario even if an auction is triggered the instrument s phase state will automatically change and the order will be accepted with an Execution Report with the tags ExecType 150 and OrdStatus 39 indicating the value New 0 2 3 4 Unexecuted Orders Cancellation The behavior in the Equities segment will be harmonized to match what already occurs in Derivatives and FX At the end of the da
29. ABC1 BVMF D 54 Sender Location NoPartylDs 4 Part PartyID S D 12 Executing trader Ee EE 36 Entering trader 128 D 7 Entering firm BVMF D 54 Sender Location ACME4 E NE B OE Gateway B Supervisor S Comment New Order from trader Order confirmation is sent back to trader T S modifies an order previously sent by T Execution report flows back to T and supervisor S may be notified via Drop Copy session S cancels an order previously sent by T 24 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Execution report flows back to T and supervisor S ABC2 ACME4 Same as above may be notified via Drop Copy session In this case trader T remains in control of the order both S and T can modify or cancel the order in the following operations 2 2 4 5 Message Replay When using the Resend Request functionality the maximum number of messages allowed in the request will be limited by the system This limitation is configurable and intended to prevent any degradation in the system performance due to intensive use of the Resend Request feature The current configured limit is 10 000 messages If the client should need the retransmission of a larger number of application messages it is highly recommended to use the Message Replay service If the range of the Resend Request exceeds the li
30. AM r 347 field Can only be published in the Unified News Channel URLLink N String 1024 A full URL Uniform Resource Locator link to additional eames 3 3 Impact Assessment for Legacy ProxyDiff RLC MMTP Applications Taking into account that the Legacy ProxyDiff feed will be kept online after the migration the market data it disseminates will actually be converted from PUMA UMDF 2 0 to RLC by the UMDF2RLC component However since the source data have some structural changes it is impossible to avoid impacts The outstanding changes are listed below Functional Header Information Signal 5 8 section Il chapter 2 1 the field Quotation Group has been changed from numeric N to alphanumeric X S3and S4 messages Information Signal 5 8 section Il chapter 2 2 15 and 2 2 16 a new field Order Identification Extended was added to the end of both messages incrementing the total message length by 17 for each The details pertaining this changes can be found on the latest version of the Information Signal specs version 5 8 available on BM amp FBOVESPA website at Services Market Data Available packages gt ProxyDiff 5 8 Another minor impact is related to the procedure used to cancel all the orders resting in the book and market statistics every day since PUMA UMDF 2 0 is only restarted on a weekly basis Because of this procedure customers might see extra 03 and S4 messages every day just a
31. Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Broker User BVMF e A EN ProxyDiff Client UMDF 2 RLC RLC 2 UMDF UMDF MegaBolsa 4 Broadcaster UMDF FIX FAST 5 0 UMDF PUMA Broadcaster HUB Front End A PUMA Equities 3 2 Impact Assessment from Mega Bolsa UMDF 1 6 to PUMA UMDF 2 0 for Equities This section describes the expected messaging differences between the current Mega Bolsa UMDF 1 6 implementation and PUMA UMDF 2 0 for equities 3 2 1 New and improved support for equity products UMDF 2 0 now supports the following new products 3 2 1 1 Security Lending contracts BTC The following entry types are supported by Security Lending contracts MDEntry Description 269 0 1 2 BTC Book Entries 269 J BTC Book Reset 269 B BTC Trade Volume 269 C BTC Open Interest Remarks The BTC book order does not imply matching priority All market data for BTC comes with the tag 1500 MDStreamID L to differentiate the market data entries from other venues Tag 432 ExpireDate carries information on when the lending expires Tag 37019 EarlyTermination indicates if the lending can be terminated earlier More details for the specific messages changed to accommodate this new product please see sections 3 2 2 and 3 2 3 42 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange
32. Copyright 2012 BM amp FBOVESPA All rights reserved BMAEBOVESPA Migration from Mega Bolsa to PUMA Trading System Version 1 7 The New Exchange Customer Impact Document Contents 1 INTRODUCTION T r 9 1 1 DEPENDENCIES m 9 1 2 PA A TING 9 1 3 AS SRY cinta 9 2 ORDER ENTRY exc tsi crete ee ce E ARERR 11 2 1 CONTINUED SUPPORT FOR MEGADIRECT eeeeeessssseseee eene nennen nnns nnn nnns 11 2 1 1 Field OrderlD tag 37 csssccccccccccccsseeccsecccssecsseeeeeecceesssaueceeeecessssauaeeeeecessssassaesseceesesaaas 11 2 1 2 Field OrderStatus tag 39 eecccccccccsseeccsccccccccssceceecccssssseueeeeccessssaseeeeecessesssseeeeeecessessaas 11 2 1 3 Field SenderLocationlD tag 142 sse sessi 11 2 1 4 apo BREUI Emm 11 2 1 5 deeucmde u E 12 2 1 6 Ec HcESUNEBLIIUI cmMETTE M 12 2l Order Validity Modification eee essen nnne nnn nnne nhan nnne nna nna 12 2 1 8 Og ES ok O10 lt tT M 13 2 1 9 Order Modification without OrderQty tag 38 cccccccccssssseeeeeesesececcccseeesecssssesseeeeeessseees 13 2 1 10 Fields ClOradlD tag 11 and OrigClOralD tag 41 ccccccccccsscssseeeseecceseesseeeseeeeesseneaes 13 2 1 11 Field DeliverToComplD tag 128 ccccccccccccss
33. Exchange Customer Impact Document Tag name Req Data type Comment po 10 Final Closing Call T M Status related to a given instrument Valid values 02 Trading halt Pause 04 No Open Close 3 Security TradingStatus C Integer 17 Ready to trade Open 18 Not available for trading Forbidden 20 Unknown or invalid 21 Pre Open Reserved 101 Final Closing Call Identifier for Trading Session TradingSessionID C Valid values 1 Regular Day Session Default 6 z Non Regular Session After Hours ag 26 l UTCTimesta Estimated end of the current auction Included only if is Jtdososcpenie Security TradingStatus 21 Reserved TranssdtTime Y UTCTimesta Timestamp when the business transaction represented by the mp message occurred The identifier or the name of the market data stream If missing default E Valid values E Electronic X Ex pit S Surveillance 1500 MDStreamID Y String O Option Exercise pie ee eee T Termo N Index L Lending BTC A All Identifies an event related to a Trading This tag is also used to mark when an instrument state is kept separate from the group phase or when the instrument state follows the default group phase stops having a separate defined state Always sent when tag 48 1174 SecurityTradingEvent C is present Valid values 4 Change of Trading Session clears statistics 101 Security Status maintained separately from Group Status 1
34. IOC immediate or Cancel Order is cancelled MODI ABC1 ORD_1 1000 1000 Cancelled Cancelled Beak exchange car is immediately canceled in C1 Bolsa EE Msg Orig Leaves Exec Time Sem Received CIOAID cordi Order ay Q status Type imroce Comment ABO Lasse 1000 w aman f M ABC ORDA 1000 1000 0 Day Ores TE Order validation is modified to MOD1 ABC1 ORD 1 1000 3 IOC mediate or Cancel a MOD1 ABC ORD 1 1000 1000 Cancelled Cancelled 3 IOC o ER Order is replaced and then cancelled in PUMA Trade System 29 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 3 11 Trade Cancellation For the Equities segment in both Mega Bolsa EntryPoint and PUMA Trading platform when a trade bust is performed an Execution Report is issued and tag ExecRefID 19 will reference the value of tag ExeclD 17 in the original trade Currently in the Derivatives segment tag ExecReflD 19 in the cancellation report is incorrectly referencing the trade identifier instead of the ExeclD 17 The update for the PUMA Trading system in the Derivatives segment planned to Q2 2013 will promote the equalization of behavior in both segments 2 3 12 On Close Orders On Close orders are sent to be executed at the closing price of the pre opening auction Tag 44 Price must be filled with 0 zero
35. New Exchange Customer Impact Document Tag Tag name Req Data type Comment 276 QuoteCondition MultipleString Space delimited list of conditions describing a quote Value Valid values R Retransmission of the order K Implied Price MultipleString For optional use in reporting Trades Imbalance Space Value delimited list of conditions describing a trade imbalance 277 TradeCondition Valid values R Opening Price X Crossed L Last Trade at the Same Price Indicator P Imbalance more buyers Q Imbalance more sellers U Exchange Last 3 Multi Asset Trade Termo Vista 1 Leg trade 2 Marketplace entered trade trade on behalf Integer Used to mark Non Regular Session trades Identifies an event related to a TradingSessionSublD Always sent on MDEntryType c when field 326 is filled TradingSessionID gt 1174 SecurityTradingEvent Possible values 101 Security Status separated from Group Phase 102 Security Status following Group Phase MultipleString Identifies if the opening price in field MDEntryPx Value represents a theoretical opening price and applicable to describe when the settlement data are related to 286 OpenCloseSettlFlag Valid values 1 Session settlement entry 4 Entry from previous business day 5 Theoretical price 3 Expected entry Preliminary price 15 Currency N Currency Identifies currency used for financial volume Absence of this field is int
36. ST follows special rules described in 3BR6 2 3 1 Used with Auction Price Banding Valid values 0 Last Traded Price default 1 Complementary Last Price 2 Theoretical Price 37003 AvgDailyTradedQty BL A average shares traded within 30 days equity lod i d EN RN B SAN only Previously known as DailyAvgShares30D LIEN Date of order expiration last day the order can trade always expressed in terms of the local market date Used in BTC contracts only 37019 EarlyTermination Indicates if the deal is subject to anticipated liquidation early termination of the borrowing lending Used in BTC contracts only Valid values 0 Normal termination default 1 Early termination 1140 MaxTradeVol The maximum order quantity that can be submitted for a security The value is the minimum between of shares issued and of average traded quantity within 30 days qe ML ENS a Number of repeating groups is based on Index Composition Only used when representing Index Composite Underlying Price 269 D 2 gt 309 UnderlyingSecurityID Y Integer Underlying instrument s security identifier M i c ad NE Qualifier for underlying instrument s security ID Valid value 8 2 UnderlyingSecurityExchange Y Underlying instrument s exchange PLE re e ewe Y SPS Vaid value BVM 2 2 810 UnderiyingPx_ Y f Price Underlying instrument price reflected in Index value gt 37018 UnderlyingPxType Indicates the Underlying Instrument price ty
37. The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document 2 3 2 3 1 LETS 35033 1057 35001 Impact Assessment for PUMA EntryPoint x Mega Bolsa EntryPoint New Fields EE L IE Req d Data Type PossMissingApplMsg AggressorIndicator ProtectionPrice ExecRestatementReason ThresholdAmount Sequence Reset 35 4 Boolean Execution Report 3528 Execution Report 3528 Execution Int Report 3528 Position Maintenance Request 35 AL PriceOffset Position Maintenance Report 35 AM Message Comment If returned with value Y it indicates that the Resend Request was not fully delivered In this case the client system might connect to the Message Replay gateway in order to recover the complete set of messages Optionally returned to identify whether the order initiator is an aggressor or not in the trade Valid values Y Order Is Aggressor N Order Is Passive Conditionally returned for Market and Stop orders with protection This contains the final protection price limit which any unmatched quantity will remain in the book Conditionally returned in Execution Reports 35 8 Added new domain value 103 Self Trading Prevention Used to indicate the minimum acceptable offset between the Strike Price and the Market Price Returned in the Position Maintenance Report 3
38. UMA Trading System isses essen hannes n anna 34 2 4 2 DM T 39 3 MARKET IP c c etree ouweec scans 40 3 1 MIGRATION STRATEGY FROM MEGA BOLSA TO PUMA ccccceeeeeeeeeeeeeeeeeeeeeeeeaeeeeeseesaaeeeees 40 3 1 1 System FCCC IS acess cites snes sania Em 40 3 2 IMPACT ASSESSMENT FROM MEGA BoLSA UMDF 1 6 TO PUMA UMDF 2 0 FOR EQUITIES 42 9 New and improved support for equity products sssesesssseese eene 42 3 2 2 Instrument definition changes eiiis isses sese nennen enn nhanh nasa a ananas snas 44 323 Book and statistics changes RR 49 3 2 4 Phases and states changes eise sessi e es nna annes nhanh snas saa nsns ssa aan ns 59 3 2 0 Banas And IMIS CHANGES uccide eo Eo Lario a aa aie 61 3 2 6 Rito ae I MP RERO m Tm 61 dus f News message CHANGCS 1ccccccsseecccnaeseccnsseccnscueeccsausecenacuesenscuesensaesessaausesauassensanass 63 3 3 IMPACT ASSESSMENT FOR LEGACY PROXYDIFF RLC MMTP APPLICATIONS 64 3 3 1 Group Phase and Instrument State NANALiNG ccccccccccsseeceeeccceccceseeesseccesessssnesseeeeees 65 Se East Trade Price MoailiGallOn case szecencivenccasnsiaceceveacecexnbedsndistacarrestedeiecstesesanetavendbeaee 65 4 KEY rasa tate stn cece ee ee eed ee eee eee 66 5 CERTIFICATION GUIDELINES crunt dur riieaia i unu uim himen un mehr tui 67 Sft gu EBus n
39. Updated gt 1020 TradeVolume N Qty Total traded quantity shares contracts of the trading day Trade 269 2 blocks gt 1306 PriceLimitType N Integer Describes how the prices are expressed The default value is 0 Price Unit Valid values 0 Price Unit 1 Ticks 2 Percentage gt 1148 LowLimitPrice N Price Allowable low limit price for the trading day A key parameter in validating order price Used as the lower band for validating order prices Orders submitted with 52 MDEntrySeller the competitive to the least competitive per market side BM amp F BOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag Tag name Req Data type Comment prices below the lower limit will be rejected gt 1149 HighLimitPrice N Price Allowable high limit price for the trading day A key parameter in validating order price Used as the upper band for validating order prices Orders submitted with prices above the upper limit will be rejected gt 1150 TradingReferencePrice N Price Reference price for the current trading price range usually nd representing the mid price between the HighLimitPrice and LowLimitPrice The value may be the settlement price or closing price of the prior trading day Sent to Price bands and Economic Indicators gt 37008 PriceBandMidpointPriceType Band Midpoint Type Complementary Last Price CLA
40. User Datagram protocol UMDF Unified Market Data Feed 1 3 Glossary Term Securities Commodities and Futures Exchange located in Sao BM amp FBOVESPA Paulo Brazil For more information visit http www bmfbovespa com br Brokerage Used interchangeably with broker when referring to a firm rather g than an individual Also called brokerage house or brokerage firm Counterparty Party to a trade Broker A broker is an individual or firm that acts as an intermediary between a buyer and a seller usually charging a commission BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Direct Market Access functionality that allows end customers such as hedge funds or investment banks to directly access the DMA exchange electronically without the need to go over physical broker firm infrastructure Service that provides connectivity to third party clients and CIS dI brokerages using the FIX protocol GLOBEX CME Group s electronic trading platform Financial capital in a readily tradable form IP Multicast Method of forwarding IP datagrams to a group of interested receivers Market Data A collective term for quotes last sales volume statistics and other information used by the market to evaluate trading opportunities The process by which two counter parties that have engaged in a Matching trade compare the settlement details of the trade provide
41. Whereas the instruments are moved from the old to the new Trading Platform Firms may continue to receive the messages from the same source and in the same format as if they were still being produced by Mega Bolsa with slight differences Due to differences between both platforms some messages can t be produced exactly the same way and some changes in the message layout were required Please refer to the STM Message Transference System Users Guide version 3 8 http www bvmfnet com br pt br manuais download Manual STM english version8 pdf in order to check the changes in the layout of the messages 34 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document The list of messages that will continue to be provided in the STM Hub is shown in the following table Msg Type Description SLE 0100 Trade Cancellation Notice SLE 0105 Table 1 List of messages in the scope Additionally in order to simplify the process some of the messages currently provided in the STM Hub will not be available after the transition to the PUMA Trading System The list of messages that will be discontinued is shown in the table below Msg Type Description SLE 0103 Trade Creation Notice SLE 0138 Order Elimination SLE 0412 Notification of a Declaration Issued by the Counterpart SLE 0413 Cancellation Notice SLE 0414 Refusal Notice Table 2 Discontinued messages
42. amp when trading for this security Timestamp expires i e when it is not eligible to trade anymore Different from MaturityDate gt 1151 SecurityGroup DE String 15 Indicates the group this instrument belongs to m pese 1 LL NN Capital Total number of shares issued for Cash eer ee Instrument E had bassana Identifies the market segment Required for all tradable instruments Not present in equity indexes ETF indexes BTC and option exercise gt 37011 Governancelndicator Corporative governance level indicator Required cash equities Valid values N1 Level 1 N2 Level 2 N3 Level 3 NM New Market MA MAIS Market MB SOMA Market gt 37010 CorporateActionEventl Unique numeric identifier for a corporate action event D associated with the security The identifier is unique within the security Note This tag does not represent the type of the Corporate Action Required for cash equities gt 37015 SecurityMatchType Type of matching that occurred Required for Special Auctions Valid values 8 Issuing Buy Back Auction 3 2 3 Book and statistics changes The changes for statistics and books are minor in special for equity contracts thus there are changes for the FAST template Changes to the MarketDatalncrementalRefresh 352X message in blue Tag Tag name Req Data type Comment Standard message header no changes to this block 49 BM amp FBOVESPA Migration from Mega Bolsa
43. ample will cause the message to be rejected 2 1 13 Quantity Data Type The order quantity should always be pt N in MegaDirect V4 where a request may hang v quantity is provided as a float value E l for example may cause the message to be rejected 2 1 14 Error Codes EntryPoint has a more comprehensive variety of error messages when compared to MegabDirect In order to keep the list of error messages issued by MegaDirect V4 as restrict as its previous versions and do not present the clients connected to the legacy system with a new collection of error codes whenever possible messages produced by the PUMA Trading system will be internally translated to an equivalent MegaDirect error message When this translation is not possible due to lack of correspondent message in MegabDirect a technical error message may be issued in place of the actual error Should your application be experiencing such situation please contact the BM amp FBOVESPA Trading Support Department GSN for further information 2 1 15 Disclosed Quantity Iceberg Orders Disclosed Quantity allows participants to trade a large lot of a given security without exposing the whole lot in the market at once The MaxFloor 111 field determines the largest amount which is shown in the order book at a time e g an order with OrderQty 38210000 and MaxFloor 111 500 will be shown in the order book as a 500 contract shares order After the order is
44. arkets Symbols K T 233 111 180 40 20057 058 Options markets Symbols U Z 233 111 180 42 20058 The full definitions for the multicast new release and production environments and the TCP recovery addresses will be available on the following website 050 051 052 055 Stock Indexes and ETFs 233 111 180 36 20055 056 057 050 051 052 055 056 057 58 Options markets Symbols A J 233 111 180 38 20056 http www bmfbovespa com br puma 3 1 1 System Architecture 3 1 1 1 Current Mega Bolsa Market Data Architecture e All equity products trading on Mega Bolsa V900 via ProxyDiff or Mega Bolsa UMDF 1 6 40 BMAFROVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document MegaBolsa NSC v900 HUB Front End RLC 2 UMDF UMDF FIX FAST 5 0 UMDF MegaBolsa Broadcaster UMDF Client 3 1 1 2 Mega Bolsa PUMA Hybrid Market Data Architecture e A set of products trading on Mega Bolsa another set trading on PUMA Broker User BVMF UMDF 2 RLC RLC 2 UMDF ProxyDiff Client HUB Front End UMDF MegaBolsa Broadcaster UMDF FIX FAST 5 0 UMDF PUMA PUMA Broadcaster Equities UMDF Client 3 1 1 3 PUMA Market Data Architecture e All products trading on PUMA UMDF 2 0 e Eventually ProxyDiff and Mega Bolsa UMDF 1 6 will be discontinued 41 BMAEBOVESPA Migration from Mega
45. ch Eligible 3 Block Trade Eligible 17 Negotiated Quote Eligible Valid values for 871 34 1 GTD GTC Eligible gt 1205 NoTickRules Number of tick rules This block specifies the rules for determining how a security ticks i e the price increments which it can be quoted and traded depending on the current price of the security For future use NEU Starting price range for specified tick increment For future use i ul EndTickPriceRange Ending price range for the specified tick increment For future use TickIncrement lil increment for stated price range Specifies the valid ie SS increments which a security can be quoted and 45 BM amp F BOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Comment traded For future use gt gt 1209 TickRuleType Specifies the type of tick rule which is being described For future use m roe LegSecurityID um EE qo E LegSecurityExchange I LegSecurityType kd LegType lii ld 37010 BuyersPerspective u T SecurityUpdateAction 1234 d i NoLotTypeRules NumInGroup Number of instrument legs gt gt 600 LegSymbol idi String 32 Leg symbol Unique identifier for instrument leg as per tag LegSecuritylDSource Qualifier for leg identifier LegSecuritylD Value issued by BVMF 8 Exchange Symbol BVMF security identification Exchange code the leg securi
46. change Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document Tag name Req Data type Comment TT ExpireDate M LocalMktDate l 37019 EarlyTermination L i mu d Bodl teu Date of order expiration last day the order can trade always expressed in terms of the local market date Used in BTC contracts only Indicates if the deal is subject to anticipated liquidation early termination of the borrowing lending Used in BTC contracts only Valid values 0 Normal termination default 1 Early termination The maximum order quantity that can be submitted for a security The value is the minimum between of shares issued and of average traded quantity within 30 days l compo of repeating groups is based on Index inne Composition Only used when representing Index Composite Underlying Price 269 D UnderlyingSecurityID Hu Underlying instrument s security identifier adi Ste UnderlyingSecuritylDSource UnderlyingSecurityExchange i NE Qualifier for underlying instrument s security ID Valid value 8 Underlying instrument s exchange Valid value BVMF Basil imme Y Price Underlying instrument price reflected in Index value ndi Other remarkable changes Indicates the Underlying Instrument price type reflected in Index value Valid values 0 Trade default 1 Average of TOB 1 Statistics by venue are enhanced and each set of statistics mu
47. cremental feeds Another important remark for TCP Recovery is that there is a single IP port centralizing the recovery for all channels The customer application should be able to connect a single time using a single session for all channels Another feature available in this release of PUMA Trading System is the TCP Historical Replay feed that allows querying messages up to 24 hours in the past for charting purposes The response time for this feed is considerably slower than TCP Recovery as it should not be used for any other purpose than charting NOTE Customer applications must be able of ai feeds A and B to be able to recover missinc using the TCP Recovery feed IMPORTANT Co location customers will not be secondary feed is not available t customers have access to local net 3 2 6 3 Book and Channel Reset Just after a channel reset 85 X 269 J the PUMA trading engine will now also resend Security Status messages 35 f informing Phases and States for all instruments in the channel These messages should arrive right alter the book resend using tag 276 R is finished 62 BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document Another important remark is that the tag 272 MDEntryDate is not sent for Channel Reset messages 3 2 7 News message changes There are some changes to the News messages 35 B to augment the followin
48. d Receipts PN REC 1100 Common Forward 1101 Flexible Forward 1102 Dollar Forward 1103 Index Points Forward 1104 Non tradeable ETF Index 1105 Predefined Covered Spread 1106 Traceable ETF 1107 Non tradeable Index 1108 User defined spread 1109 Exchange defined spread not currently in use 1110 Security Loan 1111 Tradeable Index 1999 Others qe en eee ee eqon instruments ee ae WDL CNI etc Descriptive string of the security e g dollar futures or gold futures gt 1194 ExcerciseStyle N Integer Type of exercise of a derivatives security Valid values 0 European 1 American gt 201 PutOrCall Integer Indicates whether an option contract is a put or call Valid values 0 Put 1 Call ki m ContractMultiplier Double Specifies the ratio or multiply factor to convert from nominal units e g contracts to total units e g shares e g 1 0 100 1000 etc Deprecated for equities L u PriceDivisor Integer Value that divides the Price field to produce the actual order price based on Step of Quotation e g 1 100 1000 etc Can also be interpreted as the Index Reducer for indexes 2 667 ConttractSettIMonth_ N MonthYear Specifies when the contract will settle gt 461 CFICode N String 6 Classification of Financial Instruments CFI code values qe SUME PP which indicate the type of security using the ISO 10962 standard CountryOflssu
49. d by both Matching is done to verify all aspects of a trade and ensure that all parties agree on the terms of the transaction MEGABOLSA BM amp FBOVESPA s trading platform for equities A stock bond or contract that has been authorized for trading on and by a registered exchange Each exchange has different criteria to determine a security s eligibility for listing Institution that sells services to its clients In the context of this Vendor document a vendor is an institution that sells access to market data feeds and order management interfaces to an Exchange The market data feed containing Market Data Snapshot 352W Snapshot feed messages 10 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 Order Entry 2 1 Continued Support for MegaDirect To provide a smoother migration client systems that have not developed for EntryPoint may continue to use the existing MegaDirect connection even after all the instruments are migrated to PUMA However these connections will not provide support for EntryPoint specific functionalities Moreover it also must be considered the added latency of MegaDirect gt EntryPoint conversion BM amp FBovespa has put in place a new version of the MegabDirect interface known as MegaDirect V4 which provides a good level of the compatibility with the new EntryPoint protocol Despite all efforts to avoid any changes and
50. d via surveillance tool is not reflected in the Execution Report On Close orders executed after the end of the auction will continue to be reported as order type On Close 407A Tag OrderQty 38 is recommended to be included in all order modification requests in MegaDirect V4 EP AG A Added remark on ClOrdID OrigClOrdID size reduction Added comment on Drop Copy in EntryPoint format from Megabirect flow Restriction on Blocking Specification overstatement October 05 2012 1 2 Added notice about tags of type UTCTimeStamp and UTCTimeOnly using milliseconds for market data Noted that the last trade quantity is also sent on trades marked with tag 277 U Exchange Last Documented the impact for order modification message flow when there is order priority gain on ProxyDiff Added section 3 3 1 documenting impacts to Group Phases EP JLRM and Intrument states on ProxyDiff Added impacts to MegaDirect V4 Described limitation of tag MsgSeqNum 34 in MBEP Described Termo Cross placed by Market Operations Described differences in Termo Vista Registered Jul 16 2012 Moved Account s data type impact to EntryPoint section Jul 12 2012 1 1 0 Changed section 3 2 4 adding a note about statistics reset and order cancellation impact Added a note on Section 3 3 about small changes in the message dynamic for Proxy Diff because of daily statistics reset and order cancellation Added Contact inf
51. e Request with given Threshold Amount Threshold PosMaint PosMaint NoPositions 1 a The Exercise request is rejected 2 because the AM Same as above 0 50 Rejected 8039 difference between J the Strike Price and Market Price is lower than 0 50 In the Exercise and Blocking functionality the content of tags Account 1 and AllocAccount 79 provided in requests will be internally converted to numeric values Hence the client account sent back in messages such as PositionMaintenanceReport 352AM and AllocationReport 35 AS will have any left padded zeros if provided in the requests removed It is worth reinforcing the recommendation that in all order entry requests any Exchange generated identifier such as account information should always be provided as assigned 2 2 4 3 Self Trading Prevention The Self Trading Prevention functionality which is currently available in the Derivatives segment through the EntryPoint interface will be also provided for Equities upon the migration to the PUMA Trading System Although Self Trading Prevention at Customer level is an optional feature order cancelations may still be issued by the Exchange due to Self Trading Prevention at the Firm level In this scenario when a potential match involving orders from the same Firm is detected the incoming order may be canceled if such feature is enabled at the Exchange Client applications must be prepared to process the cancelation notifica
52. e ISO country code of instrument issue LocalMktDate The date on which the security is issued activated IssueDate seller cash and takes control of the collateral 48 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag name i Data type Comment lii 917 EndDate LocalMktDate End date of a financing deal i e the date the seller reimburses the buyer and takes back control of the collateral ii 63 SettlType String 4 Indicates order settlement period e g 0 D1 D2 D3 D60 D120 etc If present SettlDate 64 overrides this field The default value SettlType 63 is O Regular gt 64 SettlDate LocalMktDate Specific date for trade settlement SettlementDate in YYYYMMDD format SettlCurrenc Currency used for the settlement gt 423 PriceType N Integer Code that represents the price type of the instrument Valid values 12 Product ticks in full ticks 13 Product ticks in halves 14 Product ticks in fourths 15 Product ticks in eights 16 Product ticks in sixteenths 17 Product ticks in thirty seconds 18 Product ticks in sixty fourths 20 Product ticks in half thirty seconds 21 Product ticks in quarter thirty seconds 22 Product ticks in half sixty fourths Absence of this field denotes that the instrument trades in decimals gt 6938 SecurityValidity N UTCTimestamp Indicates the UTC timest
53. ed cross trade Outstanding SharesRatio number of shares Deprecated Changes to the MarketDataSnapshotFullRefresh 352W message in blue Tag Tag name Req Data type Comment Standard message header no changes to this block 75 TradeDate N LocalMktDate Used to specify the trading date which a set of market data O1 ll e applies in YYYYMMDD format Absence of this field indicates current day expressed in local time at place of trade e pe RN lI AN last traded price MarketDepth N Integer Indicates the depth of the aggregate book order depth book is always full depth if applicable If value O or the tag is not present it indicates Market by Order Instrument identification block PODES AOUD Number of following entries gt 269 MDEntryType Y Char Type Market Data entry Valid values 0 Bid 1 Offer 2 Trade 3 Index Value 4 Opening Price 5 Closing Price 6 Settlement Price 7 Trading Session High Price 8 Trading Session Low Price 9 Trading Session VWAP Price A Imbalance B Trade Volume C Open Interest C Security trading state phase J Empty Book g Price band h Quantity band D Composite Underlying Price RptSeq Integer Sequence number per Instrument update which contains the same data as the corresponding RptSeq in the Market Data Incremental Refresh tag 35 Sg ypec X Dp mem o inctument o instruments gt 6939 PriceBandType C Integer Indicates the type of
54. ed in the PUMA Trading system the request will be rejected through a BusinessMessageReject 352j with the following text Business Reject Required Field Missing Quantity less than 1 0 tag 38 However this rejection may not reach the client and the request may hang without a response Should your application be experiencing such situation please contact the BM amp FBOVESPA Trading Support Department GSN for further information To avoid any variance in the behavior of how order modifications will be handled by the trading plattorms BM amp FBOVESPA recommends that tag OrderQty 38 be included in all order modification requests 2 1 10 Fields ClOrdID tag 11 and OrigClOrdID tag 41 In MegaDirect V4 interface fields ClOrdID 17 effective size reduced from 38 bytes to 29 2 1 11 Field DeliverToCompID tag 128 The header of all Execution Reports returned by MegaDirect V4 will present tag DeliverToComplD 128 which contains the name of the FIX session targeted to receive the message 13 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 1 12 Price length limitation In the MegaBolsa platform all price fields have a length restriction of 9 digits including the decimal part Messages sent to MegaBolsa using either EntryPoint or MegaDirect interfaces must conform to this limit Even non significant zeros such as in value 1 234500000 for ex
55. ed or re inserted into the order book or manually altered by MktOps This tag includes up to milliseconds hhmmssSSS MDEntrylnterestRate gt 37014 V Percentage Interest Rate of the Termo Trade Expressed in decimal form For example 196 points is expressed and sent as 0 01 One basis point is represented as 0 0001 Char Direction of the tick Required when MDEntryType 2 Trade or 4 Opening Price Valid values 0 Plus Tick 1 Zero Plus Tick 2 Minus Tick 3 Zero Minus Tick MultipleString Space delimited list of conditions describing a quote Value 274 TickDirection 276 QuoteCondition Valid values R Retransmission of the order K Implied Price MultipleString For optional use in reporting Trades Imbalance Space Value delimited list of conditions describing a trade imbalance 277 TradeCondition Valid values R Opening Price X Crossed L Last Trade at the Same Price Indicator P Imbalance more buyers Q Imbalance more sellers U Exchange Last 3 Multi Asset Trade Termo Vista 1 Leg trade 2 Marketplace entered trade trade on behalf 336 TradingSessionID integer Used to mark Non Regular Session trades 286 OpenCloseSettlFlag MultipleString Identifies if the opening price in field MDEntryPx Value represents a theoretical opening price and applicable to describe when the settlement data are related to Valid values 1 Session settlement entry
56. edence over tag OrderlD 37 2 3 16 Field Account tag 1 In order to prevent the use of alphanumeric values in the field Account 1 its data type has been changed from STRING to INT in the FIX dictionary of the EntryPoint Border Gateways Therefore in both Mega Bolsa EntryPoint and PUMA Trading platforms messages that don t comply with this definition will be rejected with a session Reject message 35 3 Clients must be aware that any Exchange s provided identifiers e g firm and trader codes symbols and account information should be provided as assigned without any padding e g if the client account is 123 it should not be sent as 000123 2 3 17 Field Memo tag 5149 In order to provide a field that participants can use to submit a comment or a description about the current request most of the messages in EntryPoint have been equipped with a customized tag called Memo 5149 This tag is defined as a free format text field limited in up to 50 characters that may be used to convey client s relevant information The use of the Memo 5149 field is convenient because its content is always echoed in the reports Additionally as the information might have meaning only to its publisher the content entered on this field is not visible to the counterparty Observe that the scope of tag Memo 5149 is restricted to the Order Entry scenario which means that the information may be available around the Order Entry and
57. ee in the diagram below the sequence of message notifications in PUMA n FIX to STM Participant PUMA STM QuoteRequest Termo Declaration i Quote n Termo Acceptance ExecutionReport Termo Matching ExecutionReport SLE 0411 SLE 0415 Termo Declaration flow in PUMA 37 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 1 5 Order Identification As the SLE message layout is based on the NSC trading system current matching engine of the Mega Bolsa platform it reserves a numeric field with only 6 digits to indicate the Order ID number However such length is not enough to store the order identification generated in the PUMA Trading oystem PUMA s matching engine can produce identifiers such as Order ID and Secondary Order ID up to 17 digits In order to provide the complete Order ID and Secondary Order ID new fields will be appended to the end of the SLE messages As a result the length of these messages will be increased in 17 or 34 positions and an adjustment in the client applications may be required in order to adapt to this new length The following messages had their layout modified Msg Type Description SLE 0100 Trade Cancellation Notice SLE 0105 Execution Notice SLE 0172 Confirmation of Order Creation Modification or Cancelation Table 3 List of messages with layout updated For compatibility reasons the current
58. eeeceecccesssssuecseeccssessaseueeeeccesssssaeeeeeecessensaas 13 2 1 12 Price TOMO LD TUG AU OM mmm 14 2 1 13 Quanity Data TYPE MERE 14 LANCE E C OOE aa NE ENA A NEEE IA ee 14 2 1 15 Disclosed Quantity Iceberg Orders ssseeesiiiissssssee eaae nnn ann nnn nna 14 2 2 SYSTEM ARCHITEC 1rt 17 2 2 1 Current Mega Bolsa Order Entry Architecture 0 222 ccccceeeeeeeeee ence a eeeeeeeeeeeeeaaanneeeeeeeneas 17 2 2 2 Mega Bolsa PUMA Hybrid Order Entry Architecture 1cccccccssseeeeeseseeeeeeeseaaeeeeesees 18 2 2 3 Full PUMA Architecture with Legacy Support sssseesseseee eene nnns 19 2 2 4 New Functionalities for the EntryPoint Protocol in the PUMA Trading System 19 2 3 IMPACT ASSESSMENT FOR PUMA ENTRYPOINT X MEGA BOLSA ENTRYPOINT 26 2 3 1 Az oc 26 2 3 2 Order Modification Behavior Changes 1sssccccccseeeeeccssaeeecessaseesecesssaeeseeessaaeeseessssaaess 27 2 3 3 wUco WeM oRG cHPE 27 2 3 4 Unexecuted Orders CancellallOni aes isu tata ttt tta n b kh c Ea EE ak px ER nens 27 2 9 Cancel On Disconnect CoD eiiis essen nna nnn nns nn anseres n nana 27 2 3 6 AU Semen m a ia 27 2 3 7 Foward Tern mEE a eai 28 2 3 8 Termo Vista Registered isses eee sn aene en
59. ent symbol Field Content Qn C 123456 456789 4567890 20121120123456ACME4 20121120456789ACME4 Table 6 Example of fields in message processed by Mega Bolsa 39 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 3 Market Data This chapter describes the changes from Mega Bolsa UMDF 1 6 to PUMA UMDF 2 0 for Equities highlighting the most important remarks for a customer migration perspective This chapter also contains the description of impacts for legacy feeds such as ProxyDiff and for customers remaining in Mega Bolsa UMDF 1 6 3 1 Migration Strategy from Mega Bolsa to PUMA The instruments traded on Mega Bolsa will be migrated to PUMA in a phased approach During the migration period the client systems will continue to receive market data for all equities instruments using the existing ProxyDiff connections and the current Mega Bolsa UMDF feed The Exchange will issue official market communication establishing the date which client systems will be able to connect to new UMDF channels Market data will continue to be sent over the existing ProxyDiff Mega Bolsa UMDF 1 6 feeds as well as the PUMA UMDF derivatives feed To allow this BVMF will duplicate the number of market data channels for order depth book as illustrated in the table below MBO produced by Mega Bolsa Cash markets Symbols A J Cash markets Symbols K T 2 2 Options m
60. entifier for this trade per instrument trading date as assigned by the exchange Required if reporting a Trade MDEntryBuyer String 50 For optional use in reporting trades buying party or indicating a new bid entry Note not sent in FX messages blind screen String 5 For optional use in reporting trades selling party or Note not sent in FX messages blind screen Mo e i Contains the number of orders that make up the aggregate quantity at the price point Required if this is a price depth book entry NENNEN oll Displays the position of a bid or offer numbered from most beginning with 1 Required when MDEntryType 0 or 1 Char Indicates which side is the aggressor of the trade If there is no existing value then there is no aggressor Reserved for future use Deprecated Valid values are 1 Buy 2 Sell PriceType Integer Code to represent the price type applicable to settlement data The default value is 2 Per unit Valid values 1 Percentage 2 Per unit i e per share or contract 3 Fixed amount absolute value gt 451 NetChgPrevDay N PriceOffset Net change from previous trading day s closing price vs last traded price gt Specifies the number of days that may elapse before the delivery of the security Only used for some types of trades in the forward market gt 731 SettlPriceType C Integer Required only for MDEntryType 6 Settlement Price Valid values 1 Final 2 Theoretical Preview 3
61. erpreted as the default currency for the security gt LastTradeDate C UTCDateOnly Date the instrument last traded Used as an input in the calculation of the MaxTradeVol and used to trigger an Auction Not published if the product has never been traded Published as part of Adjusted Closing Price block 269 5 286 4 gt 37013 PriceAdjustmentMethod C Indicator of previous day s closing price Used for Closing price adjustments related to Corporate Actions Valid values 0 z No adjustment default 1 Theoretical price of EX share 2 Theoretical price of EX share when greater than WITH price 3 z Theoretical price of EX share resulting from dividends in different types of stocks companies 4 Price arbitrated by Market Authority OrderlD String 50 Unique identifier for Order as assigned by the exchange maps to the SecondaryOrderiD field in the Execution Report message for the derivatives market for the FX market it is the actual Order D Required for Bids or Offers for market by order 1003 IEEE 32 Contains the unique identifier for this trade per instrument trading date as assigned by the exchange Required if CUM Sted a Trade a String 50 For optional use in reporting trades buying party or indicating a new bid entry Note not sent in FX messages blind screen 56 cr ee rer BM amp F BOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact
62. fter the first group phase change for that trade date This behavior should not impact applications that are able to handle these messages correctly however a change in message dynamics is expected Also for the specific case of order modification where there is no change in order priority the dynamic behavior changed Now instead of the order being removed and reinserted by means of two messages of type S4 and S3 respectively a single S3 message is generated with the field Type of share equals to M representing an order alteration 64 BMaFBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 3 3 1 Group Phase and Instrument State handling Since the phase and state information is being converted from PUMA UMDF 2 0 which has fewer phases and states not all values can be represented on Legacy ProxyDiff The following messages have impacts RLC 16 Alteration of Quotation Group status The values for the Quotation Group Condition field have been changed as follows Value Description Preparatory Phase Pre opening pre closing phase Opening Phase Promoter Intervention Phase MarketControlintervention Phase RLC 05 Change of Stock Status The values for the following fields have been changed Trading status of Status of stock Stock type Description stock o 07 S S Suspended S 07 8 Frozen Inhibited Forbidden H B P
63. g A new Unified News Channel reserved for global news broadcast that is able to send encoded headlines and text with special characters accented letters for instance Revised news sources tag 6940 NewsSource Cross news referencing using tag 1472 NewsID Deprecated News routing The specific changes to the News message are below in blue Tag name is Data type Comment Standard message header no changes to this block Indicates the source of the news Valid values for derivatives market DCM 2 BBMNet 3 MarketSurveillance 4 Internet 5 DPR VE 19 Mkt Ops FX Agency NewsSource 20 Mkt Ops Derivatives Agency Valid values for equities market 41 Over the counter news agency 13 Electronic Purchase Exchange 14 CBLC News Agency 15 BOVESPA Index Agency 16 BOVESPA Institutional Agency UTCTimesta Time of message origination always expressed i in UTC mp Universal Time Coordinated also known as GMT 17 Mkt Ops Equites Agency 7418 BOVESPA Companies Agency Indicates the language the news is in Represented by the two Unique identifier for News message Included in the News messages sent in the Unified News nf Channel Not sent for trading engine News messages LanguageCode rn letter ISO 639 1 standard identification Absence of this field defaults to pt Portuguese Headine Y Sting
64. ice will be issued Currently when Market Ops insert a trade onto Mega Bolsa a message of type SLE 0103 Trade Creation Notice is produced and made available in the STM as shown in the diagram below Market Ops SLE 0103 Trade Creation flow in Mega Bolsa In PUMA when a trade is inserted by Market Operations the FIX to STM Converter will capture the Execution Report message resulted from the trade creation and inject a SLE 0105 Execution Notice into the HUB FIX to STM Converter ExecutionReport SLE 0105 Trade Creation flow in PUMA 36 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 1 4 Termo Declaration Message SLE 0411 Declaration Notice will not be produced by the converter as soon as the Participant issues a Termo declaration as it currently happens in Mega Bolsa Participant Mega Bolsa QuoteRequest Termo Declaration SLE 0411 Quote Termo Acceptance ExecutionReport Termo Matching SLE 0415 Termo Declaration flow in Mega Bolsa Instead the converter will produce this message just at the time it receives an event notifying the Termo matching At this point both messages the SLE 0411 and the SLE 0415 will be produced simultaneously So one should not expect to receive message SLE 0411 upon a Termo Declaration but at the time of the match o
65. icts the state of the order book previous to the arrival of an iceberg order For simplicity we are not considering the prices in this example and we consider the iceberg order can potentially match with any order in this book Starting Order Book Bids o fers O Quantity Quantity 8 o 280 1 re ee 4980 3 o S 400 aa o 120 5 a0 I E Upon entry a bid iceberg order sweeps the order book generating multiple fills Note that while the iceberg order finds a counterparty to match with there is no change in the order identifier Msg Last Leaves Exec ABCi ae 25000 10000 Iceberg order is M e A6 oroa 25000 10000 2600 22200 Parialy Filed Partial Fil e A amp 6 oroi 25000 10000 1500 20700 ParialyFiled Paria Fir e A6 oroa 25000 10000 1500 19200 Parialy Filed Partial Fil J e 4 amp 6 omb 25000 10000 1000 8200 ParialyFiled Paral FN 8 4 amp 6 ono 25000 10000 100 18 00 ParialyFiled Parai FN ENERECGNN NRCTXNE J3E E NROMRL I AES UR The iceberg order is hit by a new order 8 ABC ORD 1 25000 10000 4900 5000 Partially Filled Partial Fill Order is replenished and a new Order ID is sent Note that at the time the iceberg order matches with the order 6 in the book more than 10 000 shares have been traded However because the order is aggressor the order identifier is kept the
66. in tag OrdStatus 39 As Z is not a valid domain value for the MegaDirect interface in this scenario MegaDirect V4 will assign tag OrdStatus 39 with value 4 Canceled 2 1 3 Field SenderLocationID tag 142 Execution Reports returned by MegaDirect V3 used to contain tag SenderLocationID 142 with a fixed value BR In messages sent by MegaDirect V4 this tag was removed 2 1 4 Field ApplID tag 1180 As orders entered thru MegaDirect interface will be converted to the EntryPoint protocol the respective response messages will also be available at the EntryPoint Drop Copy gateway But differently of messages entered thru EntryPoint where tag AppllD 1180 indicates the FIX session thru which an order was originally sent drop copy messages for orders entered thru 11 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document MegabDirect interface will convey this information in PartyRole 452 55 Session ID Tag ApplID 1180 in this case will contain the actual FIX session used by MegaDirect V4 to connect to the EntryPoint gateway 2 1 5 Immediate or Cancel In previous versions of MegabDirect if an IOC TimelnForce 59 3 Immediate or Cancel is submitted but cannot be immediately executed the order is canceled and a single Execution Report is sent with tag OrdStatus 39 4 Canceled In both EntryPoint and MegaDirect V4
67. inning of the weekly session or after intraweek platform restart Ontrades with 277 TradeCondition U Exchange Last besides sending the last trade price tag 270 MDEniryPx the last trade quantity is also sent on tag 271 MDEntrySize When processing leg trades with tag 277 1 the trade price should not be used to infer the Last Trade Price 3 2 2 Instrument definition changes Most of the changes in this section bring more instrument details in special for equity contracts so there are changes to the FAST template However in terms of functionality the instrument definition message remains the same The following changes to Instrument Identification Block apply to all Market Data messages that refer to an instrument in blue Tag name Req Data type Comment SecuritylD Unique instrument identifier for a given qualifier SecuritylDSource All IDs will be numerical on PUMA 22 Securit DSo rce String SecurityID qualifier Value issued by BVMF y 9 8 Exchange Symbol BVMF security identification Market to which the instrument belongs to If it is not present the default value is BVMF SecurityExchange String 4 Valid Values BVMF BM amp FBovespa equities derivatives FX Changes to SecurityList 352y message in blue Tag Tag name Req Data type Comment Standard message header no changes to this block TotNoRelatedSym Total number of securities available in the channel 893 Las
68. ion 2 3 23 Commented usage of tags Account 1 and AllocAccount 79 in Exercise and Blocking in section 2 2 4 2 February 18 2013 Described some characteristics of order type On Close in section 2 1 8 Described meaning of MegaDirect technical error in section 2 1 14 EP Described effect of order side modification in section 2 3 14 Described the behavior of tag CumQty 14 in trade cancelation in section 2 3 20 December 26 2012 Presence of tag DeliverToComplID 128 in all Execution Reports sent through MegaDirect V4 on section 2 1 11 Described the price length limitation in MegaBolsa on section 2 1 12 Order quantity value should be provided as integer on section 2 1 13 Removed table on section 3 1 documenting IPs and ports for EP JLRM Production environment connectivity as they are available on a separate more up to date document Added section 3 2 6 3 documenting changes to Channel Reset behavior Changed section 3 2 1 3 and added section 3 3 2 to explain restrictions to the processing of Trades when updating Last Trade Price for UMDF and RLC BM amp F BOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Removed duplicate tag 1174 in section 3 2 4 and also fixed the description for tag 1500 Marked tag 336 as new on section 3 2 3 Marked tag 980 as always required on 35 October 11 2012 Modification of order validity performe
69. ion of the strategy The possible values are Template Security Type OO Option Option Vista Option Option b In PUMA EntryPoint In PUMA the UDS symbol will be 15 bytes long and it will be written in the following format U D l XIXI XI IXI IXI IXININININI NIN Prefix Instrument Strategy Sequential Code Type Number The following example shows the name of a UDS Vertical spread composed by 2 legs in which the instrument on the first leg is ACME4 Below it s possible to visualize the building blocks used to create the strategy s symbol according to this naming convention UD ACME VT 123456 Prefix Instrument Strategy Sequence Code Type Number 2 2 4 2 Exercise amp Blocking In PUMA there has been an improvement in the Exercise functionality that allows the client to indicate the minimum earnings an options contract holder expects to profit by exercising his position In order to use this feature participants need to use the tag ThresholdAmount 834 in the PositionMaintenanceRequest 352AL message to indicate the minimum acceptable offset between the Strike Price and the Market Price In case the earnings happen to be lower than the specified the position will not be exercised 21 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Msg Msg Sent received NoPositions Comment Amount Status Result Position Maintenanc
70. lease Certification environment network connectivity table on PUMA web stite http www bmfbovespa com br puma 5 2 EntryPoint The customer applications already certified for Mega Bolsa EntryPoint are not required to undergo a new certification against PUMA EntryPoint 67
71. ll be present only in the Trade Volume 269 B or Trade 269 2 blocks 1306 PriceLimitType N Integer Describes how the prices are expressed The default value is 0 Price Unit Valid values 0 Price Unit 1 Ticks 2 Percentage 1148 LowLimitPrice N Price Allowable low limit price for the trading day A key parameter in validating order price Used as the lower band for validating order prices Orders submitted with prices below the lower limit will be rejected 1149 HighLimitPrice N Price Allowable high limit price for the trading day A key parameter in validating order price Used as the upper band for validating order prices Orders submitted with prices above the upper limit will be rejected 1150 TradingReferencePrice N Price Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice The value may be the settlement price or closing price of the prior trading day Sent to Price bands and Economic Indicators 37008 PriceBandMidpointPriceType C Band Midpoint Type Complementary Last Price CLAST follows special rules described in 3BR6 2 3 1 Used with Auction Price Banding Valid values 0 z Last Traded Price default 1 Complementary Last Price 2 Theoretical Price 37003 Maud NN bd Daily average shares traded within 30 days equity market only Previously known as DailyAvgShares30D 4 xw y x v 57 BM amp F BOVESPA The New Ex
72. mit the system will accept the request however only the limited number of messages will be retransmitted In this case the SequenceReset 35 4 message sent at the end of the retransmission will contain a custom tag PossMissingApplMsg 35033 Y to indicate that some application messages are possibly missing Tag PossMissingApplMsg 35033 conveys important information regarding whether the Resend Request was completely satisfied or the client might connect to the Message Replay gateway in order to recover the complete set of messages The Application Sequence Control FIX component block will be assigned to all the application messages being resent to the client by the Message Replay service The reason is to preserve the original values contained in the messages prior to the retransmission Tag AppllD 1180 will be used to convey the original TargetCompID 56 and tag ApplSeqNum 1181 the original MsgSeqNum 34 Tag name Req d Data Type Comment TargetCompID of message Identifies the session which a message is associated mney AppllD String 50 with Only returned in messages retransmitted by the Message Replay service Original MsgSeqNum of the message Only 1181 ApplSeqNum Y String 9 returned in messages retransmitted by the Message Replay service For more information on the Message Replay service please see the EntryPoint Message Specification at http www bmfbovespa com br entrypoint 25 BM amp FBOVESPA
73. n Legacy UMDF For book insertion date and time refer to tags 37016 MDinsertDate and 37017 MDInsertTime 3 2 4 Phases and states changes The remarkable changes for phase and state handling are New tag 336 TradingSessionID informing when entering non regular trading sessions New Final Closing Call phase and state to indicate when the group instrument is on the final closing call for the trading day New tag 1174 SecurityTradingEvent to indicate when an instrument state is separating or rejoining its group phase facilitating the handling of instruments that behave differently from the group they are in These changes are also reflected on the Snapshot message 35 W The full changes to the Security Status 35 f messages are in blue Tag Tag name Req Datatype Comment Standard message header no changes to this block 1151 SecurityGroup String 15 The instrument group that is changing the trading phase Instrument identification block instrument identification block 1 TradeDate eras Trade date of the Market Data messages Phase related to a given SecurityGroup Valid values 02 Trading halt Pause TradingSessionSubID C Integer 04 No Open Close 17 Ready to trade Open 18 Not available for trading Pre close 21 Pre Open 59 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New
74. n anne snas nasa a snas usas rss a anna 28 2 3 9 Termo Cross placed by Market Ops 1 ccccccsseseccsceseeeeccessseeseecessaeeeeessesaeeeeesssaaeeeeeeees 28 2 89 10 Order Validity Modification eee eise essen nane nna nnn nnn n ana 29 2 3 1 f TAC 6 e e UTE 30 Zoe PINE IE ILTI H 30 PEDEM BOCKI SO CCIIC AO M ER E M 30 214 Order oide MOGINCATION EMT E 30 2 3 15 Rule for precedence between Order Identifiers ccccccccececcssneeceeseesececaneecesseeeeesenees 30 VENTE Io Poele a ee m 31 2 89 17 Field Memo tag 5149 cccccccssssssccccnsnsseccsnaesesecsaacueesccsaaussesessaacseesessaasescessaauassessaaaes 31 2 3 18 Field PartyRole 76 Desk ID cicesccccccccssssssessseecceecscseeeeeecesssssseeeessecesssssaaaeseeseesenas 31 2 89 19 Field MsgSeqNum tag 34 cseecccccsssseecccscssesececsaseeseccessaeeseessssusneeessssuaseeesssaaanesessagaes 32 2320 PICNIC UMC 1A 32 232l DOP COPY SESSIONS ECH 32 2 89 22 Field UniqueTradelD tag 6032 sss esses eene nane nhan nnn 33 2323 PBOCROCML OCA OW PRITRRTRETOME TTRP EEE Rm 33 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 SIL I 34 2 4 1 Origin P
75. ormation Described use of tag Memo Described use of PartyRole 76 Desk ID Documented differences of behavior between platforms when acknowledging orders with MinQty EP JLRM Documented differences of behavior between platforms when modifying order validity to IOC FOK Cancel On Disconnect does not include tag 378 in Execution Reports in MBEP Described use of On Close orders in MBEP Documented differences in the content of tag QuoteReqID 131 Documented differences in the content of tag ExecRefID 19 in Equities and Derivatives segments Documented differences in the precedence of order BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document 1 327 identifiers in PUMA and MBEP EBENEN Apr 25 2012 Deprecated tag 5767 AgressorSide News description for the changes on the message Snapshot Full Refresh 85 W on section 3 2 3 Added a remark about BTC book order on section 3 2 1 1 Changed UDP packet size from 1420 to 1430 bytes to better depict the production configured values Documented the change for tag 48 SecurityID and derivate tags from String to Integer Mar 29 2012 100 aversi Initial version JLRM EP BMAEBOVESPA Migration from Mega Bolsa to PUMA Trading System Version 1 7 The New Exchange Customer Impact Document 1 Introduction This document outlines the possible impact on client system
76. osed only to Termo Vista Registered and do not affect the Termo Vista negotiation model In the PUMA Trading platform tag ExecuteUndelyingTrade 35004 in the QuoteRequest 35 H message is correctly forwarded to the Counterparty 2 3 9 Termo Cross placed by Market Ops Termo deals usually produce two trade notifications due to the relation between price and interests However for Termo Cross place by Market Ops in the Mega Bolsa platform there will be sent the notification of the first trade only Platform limitations inhibit the creation of the second Execution Report for Termo Cross entered by the surveillance tool This problem does not affect Termo Cross placed by the participant directly 28 BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document 2 3 10 Order Validity Modification The Immediate or Cancel IOC and Fill or Kill FOK order validities indicate that the order requires immediate execution In a scenario where a Day order for example is modified to become an IOC or FOK and there is no counterparty to execute against Mega Bolsa EntryPoint and PUMA Trading System platforms differ in the way they deal with the modification The following tables present the difference of behavior in each platform Msg Orig Leaves Exec Time po A S woof f feom fiae He pepee e e eo a Order validation is modified to MOD1 ABC1 ORD 1 1000 3
77. pe reflected in Index value Valid values 0 Trade default 1 Average of TOB 3 se Poreontagever N Percents Deprecated m Deprecated Number of index underlying securities with no variation EECHLI S ANESWOCMO asesinato Number of index underlying securities that are not quoted op amama r URAR E E D j Capitalization percentage of active securities in the index 3 999 capiamo N Percentage aprecata o ooa9e of aeta seoirtes n Ie ndek Index variation in percentage compared to previous year gt se Prewearvaraton N Percentage stinger Deprecated s N Meger Deprecated e P Deprecated av T Number of index underlying securities rising in price 2 S997 NeRimgSecwies N eger Deprecated e E N CN N Percentage threshold normal trade Deprecated Percentage threshold cross trade Deprecated Daily average shares traded within 30 days Deprecated 53 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document bla name Data type Comment Float Ratio maximum shares traded normal trade Daily average shares traded within 30 days Deprecated gt 37005 Float Ratio maximum shares traded cross trade Daily average shares traded within 30 days Deprecated gt 37006 Float Ratio maximum shares traded normal trade Outstanding number of shares Deprecated gt 37007 eee RS O Float Ratio maximum shares trad
78. plenished and a new Order ID is sent Disclosed quantity of 500 shares is totally filled again e Ae omp 10000 so 200 9300 Parially Filed Panai Fi e AB ome 10000 soo 300 9000 Panialy Filed Parii Fi The disclosed quantity is partially filled and 300 shares remains unfilled in the current order book 8 ABCt ORD3 10000 500 200 8800 Partially Filled Partial Fil The order is automatically replenished to match the 400 shares issued by the counterparty In this case the new Order ID is informed in the Trade execution report itself 8 ABC ORD4 1000 500 400 8400 PartiallyFilled Partial Fil In any subsequent modification cancelation the order must be referenced by its latest OrderlD 37 or by the OrigClOrdID 41 and ClOralD 11 fields In case an attempt to amend the order refers to an obsolete OrderlD 37 value the request will be rejected with the following reason 002045 This order is not in the book 15 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document provided by the unsolicited replace Report and update the order identifier pi i MegaDirect client systems must be The next example shows an arriving iceberg order that is placed through a MegaDirect interface and executes with several orders that were already resting in the order book The following table dep
79. reported as the execution of a Limited order 40 2 instead In addition observe that independently of the order validity tag TimelnForce 59 informed in the order creation modification the acknowledgment message will always report validity equals DAY This is caused by the conversion between the MegaDirect and EntryPoint protocols where the On Close order type is translated to the MOA Market on Auction order validity Therefore any order validity set on MegaDirect would be overwritten in this process 2 1 9 Order Modification without OrderQty tag 38 During the migration of instruments from the MegaBolsa to PUMA Trading system user may experience some differences for order modification requests that do not include tag OrderQty 38 A divergence may occur because the MegaDirect interface allows an OrderCancelReplaceRequest 35 G message to be sent without mentioning the original quantity of the order In the absence of tag OrderQty 38 the MegaBolsa platform assumes that the value is unchanged and processes the update of the other characteristics of the message On the other hand PUMA Trading system demands the order quantity to be declared in the modification request That is why tag OrderQty 38 has become required in OrderCancelReplaceRequest 352G message of the EntryPoint protocol In case an order modification lacking tag OrderQty 38 is entered by the MegaDirect interface and routed to be execut
80. rsion 1 8 The New Exchange Customer Impact Document T A name Req Data type Comment usegtor the equities segment 00000 mop p eem This tag is only used for the derivatives segment 2 562 _______ MinTradeVol N Qty The minimum trading volume for the security 2 969 MinPricelncrement N_ Price Number of minimum tick increments Number of decimals used for pricing this instrument e g for price increment of 0 001 the number of decimals is 3 9749 MinOrderQty N Qty Minimum quantity of an order for the security Er Fisrumenid N msger Ths tag has been deprecated Only used fr OF TE ee This tag has been deprecated Only used for UMDF 1 6 derivatives 1377 a MN Defines whether the security is pre defined or user defined Used for multileg security only Valid values 0 Predefined Multileg Security 1 User Defined Multileg Security 1378 MultiLegPriceMethod Defines the method used when applying the multileg price to the legs When this tag is set it indicates spreads that have leg prices generated by the trading engine Valid values Individual Currency Currency _ Currency used for the price Indicates the type of product the security is associated with Valid values 2 COMMODITY 3 CORPORATE 4 CURRENCY 5 EQUITY 6 GOVERNMENT 7 INDEX 15 ECONOMIC INDICATOR 16 MULTILEG Red zd ki 167 SecurityType String
81. s 4 ISIN number H Clearing house organization gt gt 31 UnderlyingSymbo Y String 32 Underlying instrumenfsticersymbol 21 2309 UndenymgSecuryID Y Integer gt gt 305 UnderlyingSecurityID String 1 Qualifier for underlying instrument s security identifier Source Value issued by BVMF 4 ISIN code 8 Exchange Symbol BVMF security identification gt gt 308 UnderlyingSecurity String 4 Exchange code the underlying security belongs to Value Exchange issued by BVMF BVMF BVMF equities derivatives FX The default value is BVMF gt gt 6919 IndexPct C Percentage Indicates the percentage that this underlying composes the index Only used for equity indexes gt 1144 ImpliedMarketIndicator Indicates that an implied market should be created for either the legs of a multi leg instrument Implied in or for the multi leg instrument based on the existence of the legs Implied out This tag is reserved for future use Valid values 0 Not implied default gt 870 NolnstrAttribs C _ integer Number of repeating InstrAttribType entries gt gt 871 InstrAttribType Code to represent the type of instrument attributes Valid values 24 Trade type eligibility details for security 34 Eligibility for GTD GTC gt gt 872 InstrAttribValue Attribute value appropriate to the InstrAttribType 871 Valid values for 871 24 1 Electronic Mat
82. s due to the rollout of BVMF s new trading and market data platform version for equities the PUMA Trading System It describes impacts on the messages which are transmitted for order entry and market data as well as new functionalities 1 1 Dependencies It is assumed that the reader of this document has knowledge of the basic functioning of the FIX protocol EntryPoint trading interface specification order entry and UMDF specification market data For more information regarding these protocols please refer to http www bmfbovespa com br entrypoint http www bmfbovespa com br marketdata 1 2 Abbreviations Abbreviation Description BELL BM amp FBOVESPA Electronic Link BVMF Bolsa de Valores Mercadorias amp Futuros or BM amp FBOVESPA Centro de Controle BM amp FBOVESPA BM amp FBOVESPA Control Center CFI Code Classification of Financial Instruments Code Chicago Mercantile Exchange CME Group the holding that encompasses the CME CBOT NYMEX CMEG and other exchanges FAST FIX Adapted for Streaming a specification for data compression to reduce bandwidth usage especially for market data feeds Financial Information Exchange Protocol Internet Protocol Market by Order Market by Price GSN Ger ncia de Suporte Negocia o BM amp FBOVESPA Trading Support Team LEN New Trading Platform PUMA PUMA Trading System TCP Secure Socket Layer Transport Control Protocol TCP Top of the Book
83. side such as PARTIALLY FILLED or NEW for example 2 3 15 Rule for precedence between Order Identifiers EntryPoint supports a number of order identifiers which allows participants to keep track of order events during the whole order lifecycle The ClOrdID 11 field is the primary client side order identifier It is initially assigned at order entry and can be subsequently changed through the order lifecycle in modifications and cancelation requests It must be unique among all active orders on a given instrument sent via a specific FIX Session 30 BMAFBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document The OrigClOrdID 41 field is used in conjunction with the ClOrdID field and allows the client to implement client side order chaining that is to keep a history of client initiated order events Each Modification Cancellation request must have an associated OrigClOralD The OrderlD 37 field is one of the exchange issued order identifiers It is assigned by the matching engine on successful order entry and it remains the same during the entire order lifecycle Uniqueness is guaranteed for the combination of the order entry date TradeDate 75 field and security In the PUMA Trading platform when multiple identifiers are available in the message OrderlD 37 has the highest precedence In the Mega Bolsa EntryPoint tags OrigClOrdID 41 and ClOrdID 11 take prec
84. ssage will be provided in all three scenarios and it will convey the date an order was placed amended or canceled accordingly 38 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 4 2 Origin CBLC 2 4 2 1 AN Trade Confirmation Due to the incompatibility between the order identification generated in Mega Bolsa and PUMA a change in the layout of the AN Trade Confirmation message was also necessary However differently from the STM SLE messages the AN Trade Confirmation message size did not need to be changed since its layout already reserved a field in the end of the message that can easily receive the new information In this new layout once the orders start being processed in PUMA the fields 48 and 49 of the Trade Confirmation message will contain the 7 seven least significant digits of the buy and sell order numbers respectively And the complete 17 digit order numbers will be provided in the end of the message in the fields 55 and 56 Field Content 56 01000781211234567 01000411243456789 Table 5 Example of fields in message processed by PUMA For orders that are still processed by Mega Bolsa the fields 48 and 49 of the Trade Confirmation message will contain the 6 digit sequence numbers generated by NSC Both fields 55 and 56 will contain an alphanumeric code that concatenates the order date YYYMMDD order number and instrum
85. st be stored separately by the customer application based on the tag 1500 MDStreamID e g when receiving two Incremental messages 35 X with Trade Volume blocks 269 B for different venue types tag 1500 MDStreamID as follows below their trade volumes tag 1020 should be kept separate in memory MDEntryType 269 B trade volume 279 0 New 58 BMAF BOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document MDStreamID 1500 X Ex pit NOTE Although statistics can be specified by venue some instruments may have statistics for a single venue only however the customer application must be ready to receive statistics from multiple venue for all instruments 2 New Adjusted closing price block 269 5 when 286 4 3 Changed the behavior for tag 37 OrderlD Whenever an order loses priority in the book the order gets deleted and added again 27922 followed by 27920 with the OrderlD tag being different Also in the case of Iceberg orders when the order is refilled the OrderlD tag will be different making them impossible to track and differentiate from regular orders 4 Tags 272 MDEntryDate and 273 MDEntryTime behave differently in UMDF 2 0 On the improved version these tags always carry the date and time when the marked data message was generated at engine level rather than informing the date and time where the order entered the book as was the behavior i
86. stem using the existing MegaDirect or Mega Bolsa EntryPoint FIX connections Orders entered for products that trade on the Mega Bolsa matching engine have their messages converted into MMTP by the Exchange for compatibility MegabDirect orders entered for products that trade on the PUMA matching engine have their messages converted into EntryPoint by the Exchange for compatibility During the migration period customers connected to an EntryPoint FIX session may experience substantially lower latency times for products trading on PUMA versus products trading on Mega Bolsa SLE MMTP MEGA BOLSA FIX 4 2 MegabDirect MEGADIRECT FIX 4 4 Client System EntryPoint Orders Cancellations Modifications Execution Reports i SLE MMTP MEGA BOLSA FIX 4 4 EntryPoint MEGA BOLSA EntryPoint ae Client System EntryPoint Orders Cancellations Modifications Execution Reports 18 BMEEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 2 3 Full PUMA Architecture with Legacy Support e All the products trade on the PUMA matching engine e Orders are entered into the system using the existing MegaDirect connections or the EntryPoint connections e Orders entered using the existing MegaDirect connections have their messages converted into EntryPoint by the Exchange for compatibility FIX 4 2 MegaDirect MEGADIRECT Client System Orders
87. tFragment N Boolean Indicates whether this message is the last in the sequence of messages Valid values Y Last message N Not last message default NoRelatedSym Y NuminGroup Specifies the number of repeating instruments 32 55 Symbol Y String 32 Instrument s ticker symbol E Instrument identification block gt 1351 NoAppllDs NumInGroup Specifies the number of the application ID occurrences number of channels CUM tre may have the following values MBO MBP and TOB Example MBP101 i i ul MEN ae Number of MD Feed Types Relates to tag 1180 Not sent if the only feed type available is MBO i j ul 1022 MDFeedType ui Indicates feed type as standard or implied Not sent for MBO Valid values STD Standard MBP IMP Implied MBP ae od S SS Identifies depth of book Not sent for MBO use default value gt 1180 IER EM Identifies the channel It follows the convention type number 44 BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Version 1 8 Customer Impact Document Tag name Req Data type Comment Valid values O full book depth MBO default 1 top of book 2 454 NoSeouityAtlD N NuminGroup Number of alternate security identifiers gt gt 456 SecurityAltIDSource Y String 1 Identifies class or source of the SecurityAItID 455 value Required if SecurityAltID is specified I Valid value
88. their choice of leg instruments leg ratio and leg side This section will describe the differences between the creation of strategies in Mega Bolsa EntryPoint and PUMA EntryPoint 2 2 4 1 1 Strategy Types The first difference between the creation of strategies in Mega Bolsa EntryPoint and PUMA EntryPoint is that with the rollout of the PUMA Trading Platform for the Equities segment a larger list of spread types will be supported In the PUMA Trading System it is possible to create spreads up to 40 legs whereas Mega Bolsa allows the maximum of 5 legs Note in the table below the list of strategy types supported by PUMA Spread 20 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 2 4 1 2 UDS Naming Convention The other difference regards the symbol used to identify the User Defined Strategy See below how the symbols are dynamically created in both platforms a In Mega Bolsa EntryPoint This example depicts the UDS naming convention used in Mega Bolsa suppose a UDS is composed by 2 legs The symbol of the instrument on the first leg is ACME4 and all securities contained in the spread are Vista The symbol assigned to this strategy would be formatted as follows ACME S 447 VV Instrument UDS Sequence Template Code R Z Number Note that the last 3 bytes in the Security Identification Code indicate the type of template used during the creat
89. tion Band 4 Static Limits K Instrument aep realen block 1500 MDStreamID String 2 The identifier or name of the price stream The default value is E Electronic Valid values E Electronic X Ex pit S Surveillance O Option Exercise Ga SO T Termo N Index L Lending BTC A All MDEntryPx Price Price of the Market Data Entry Required when this market data entry involves a price Represents the notional value for trade volume B Other entry types that do not involve price do not require this tag 50 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Tag Tag name Req Data type Comment C Q Quantity or volume represented by the Market Data Entry Required when MDUpdateAction New 0 and MDEntryType Bid 0 Offer 1 Trade 2 Trade Volume B or Opening Price 4 UTCDateOnly UTCDateOnly Date of Market Data Entry UTCTimeOnly Time of Market Data Entry This tag now includes up to milliseconds hhmmssSSS UTCDateOnly Date when the order was inserted or re inserted into the order book used for GTD GTC orders only for equities market For PUMA In Trade 269 2 New or Delete original trade date or manually entered by MktOps 272 MDEniryDate 273 MDEntryTime 37016 MDInsertDate 271 MDEntrySize ly 2 3 017 MDInsertTime Y UTCTimeOnly The time when the order was insert
90. tion message which includes the tag ExecRestatementReason 378 indicating the cancelation reason Self Trading Prevention 103 For more information on the Self Trade Prevention functionality please see http www bmfbovespa com br pt br servicos download Self Trading Prevention Functionality v100 pdf 22 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document 2 2 4 4 Trading On Behalf This new feature available only through the PUMA EntryPoint interface allows a desk trader in the role of desk supervisor to operate on behalf of other desk traders and DMA clients In order to do so the supervisor must be registered at the Exchange along with a visibility configuration which determines the set of participants that he represents Provided that all the previous conditions are met the supervisor can send modify and cancel orders on behalf 2 2 4 4 4 On Behalf Order Creation Whenever an on behalf operation is performed the reply messages always go back to the order originator Thus if Supervisor S sent an order on behalf of trader T the acknowledgment execution report is sent to S T will not get a direct reply from the on behalf operation However if T has access to a drop copy session T will receive the copy acknowledgment Conversely if the order was originally sent by T all the on behalf replies will flow back to T S may get them via drop cop
91. to milliseconds hhmmssSSS Date when the order was inserted or re inserted into the order book used for GTD GTC orders only for equities market For PUMA In Trade 269 2 New or Delete original trade date or manually entered by MktOps The time when the order was inserted or re inserted into the order book or manually altered by MktOps This tag includes up to milliseconds hhmmssSSS Interest Rate of the Termo Trade Expressed in decimal form For example 1 points is expressed and sent as 0 01 One basis point is represented as 0 0001 Direction of the tick Required when MDEntryType 2 Trade or 4 Opening Price Valid values 0 Plus Tick 1 Zero Plus Tick 2 Minus Tick 3 Zero Minus Tick Status related to a given instrument Valid values 02 Trading halt Pause 04 No Open Close 17 Ready to trade Open 18 Not available for trading Forbidden 20 Unknown or invalid 21 Pre Open Reserved 101 Final Closing Call Phase related to a given SecurityGroup Valid values 02 Trading halt Pause 04 No Open Close 17 Ready to trade Open 18 Not available for trading Pre close 21 Pre Open 101 Final Closing Call Indicates the time the auction is scheduled to end Required when MDEntryType c and SecurityTradingStatus 21 Reserved without random ending 55 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The
92. ty belongs to Value issued by BVMF BVMF BVMF equities derivatives FX The default value is BVMF Indicates the type of the individual leg Valid values derivatives FUT Futures SPOT Spot Market SOPT Spot Options FOPT Future Options DTERM Derivative Forward markets or Termo Valid values equities CS Common Stock PS Preferred Stock CASH rights etc FORWARD Equity Forward or Termo ETF Exchange Traded Fund OPT Option INDEX Non Tradeable index OPTEXER Option Exercise MLEG Multileg Instrument SECLOAN Security loan or BTC INDEXOPT Option on Index Teee NP ARN multileg security a en derivatives I EN tag has been deprecated Only used for UMDF 1 6 L For equities use tag LegSide 624 instead The side of this individual leg multileg security Valid values 1 Buy 2 Sell Indicates the action used when updating the security Valid values A Add D Delete Number of Lot Type Rules for the instrument Only one rule can be defined this tag is always set to 1 This group is only used for equities segment Defines the lot type for the instruments Used for the equities segment Valid values 1 Odd Lot 2 Round Lot 3 Block Lot Minimum lot size allowed based on lot type specified in LotType 1093 46 BM amp FBOVESPA Migration from Mega Bolsa to the PUMA Trading System Ve
93. y all the orders will be cancelled by the matching engine during the closing trading phase and customers who submitted the orders will receive Execution Reports expiring the orders ExecType 150 Expired C 2 3 5 Cancel On Disconnect CoD Execution Reports of orders canceled in the PUMA Trading System due to a disconnection event will contain tag ExecRestatementReason 378 to indicate the type of Cancel On Disconnect used The Execution Reports produced by Mega Bolsa EntryPoint in the same scenario will not provide this information 2 3 6 Minimum Quantity Orders with minimum quantity must execute at least the quantity stated in field MinQty 110 in every transaction In Mega Bolsa EntryPoint orders whose minimum quantity may not be satisfied upon entry in the order book are immediately cancelled In the PUMA Trading System the same order will be first acknowledged and then canceled The following tables present the difference of behavior in each platform 27 BMAEBOVESPA Migration from Mega Bolsa to the PUMA Trading System Version 1 8 The New Exchange Customer Impact Document Msg D J ABC w 100 J New Order from trader Order is cancelled by Order is immediately canceled in Mega Bolsa EntryPoint Msg ABC1 1000 o New Order from trader Order is cancelled by Order is accepted and then cancelled in PUMA Trade System 2 3 7 Forward Termo
94. y if enabled In the scenario below supervisor S sends an order on behalf of trader T T may receive the Execution Reports via Drop Copy session BM amp FBOVESPA ExecutionReport 3528 DC Gateway A OE Gateway B Trader T Supervisor S NewOrderSingle 352D Msg Msg Sent received NoPartylDs 4 Part PartyID ABC1 S D 12 Executing trader Mein from T D 36 Entering trader P 1233 D _ 7 Entering firm BVMF D 54 Sender Location ClOrdiID Symbol PartylDs Comment Order confirmation is sent back to ABC1 ACME4 Same as above supervisor S and trader T may be notified via Drop Copy session 23 BM amp FBOVESPA The New Exchange Migration from Mega Bolsa to the PUMA Trading System Customer Impact Document Version 1 8 Because the order was entered by the supervisor the control remains with that supervisor and T cannot perform any operation upon the order In the next example we describe a situation which the order is entered by the Trader 2 2 4 4 2 On Behalf Order Modification and Cancelation Following is an example which trader T sends an order and supervisor S modifies it later on NewOrderSingle 352D OE Gateway A PA Trader T BM amp FBOVES ExecutionReport 3528 OrderCancelReplaceRequest 352G OrderCancelRequest 35 F Symbol PartylDs NoPartylDs 3 Received ClOrdiD Part PartyID T D 36 Entering trader BN RN RR 7 Entering firm

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