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ASX Trade Q3 2014 Release

Appendices to ASX Notice

ASX Limited ASX Trade Q3 2014 Release – Appendices to ASX Notice

© Copyright 2014 ASX Limited ABN 98 008 624 691. All rights reserved 2014 2.

Table of Contents 1. APPENDIX 1: TECHNICAL DESCRIPTION OF ASX TRADE Q3 2014 RELEASE ENHANCEMENTS ........ 5

1.1. ENHANCEMENTS TO CENTRE POINT AND CENTRE POINT BLOCK ORDERS .................................................... 5 1.1.1. ‘Dark Limit’ Orders ......................................................................................................................... 5

1.1.1.1. New mid_tick_c Value for Centre Point and Centre Point Block Orders ......................................................... 5 1.1.1.2. Sweep Orders .................................................................................................................................................. 5 1.1.1.3. Permitted Dark Execution Prices ..................................................................................................................... 5 1.1.1.4. Priority of Resting ‘Dark Limit’ Orders .............................................................................................................. 5 1.1.1.5. Execution Sequence for Incoming ‘Dark Limit’ Orders .................................................................................... 5 1.1.1.6. Participant Preferencing in Centre Point .......................................................................................................... 6 1.1.1.7. Unintentional Crossing Prevention .................................................................................................................. 6 1.1.1.8. Trade Dissemination ........................................................................................................................................ 6 1.1.1.9. ‘Dark Limit’ Example 1 – Incoming Centre Point Order ................................................................................... 6 1.1.1.10. ‘Dark Limit’ Example 2 – Incoming Sweep Order ............................................................................................ 7

1.1.2. Single-fill MAQ ............................................................................................................................... 8 1.1.2.1. New Single-fill MAQ Flag ................................................................................................................................. 8 1.1.2.2. Validation ......................................................................................................................................................... 9 1.1.2.3. Amendment of the Single-fill MAQ Flag ........................................................................................................... 9 1.1.2.4. Order Falling below MAQ after Partial Trade ................................................................................................... 9 1.1.2.5. Single-fill MAQ Example .................................................................................................................................. 9

1.2. ASX OUCH ENHANCEMENTS .................................................................................................................. 10 1.2.1. Support for ASX Centre Point and ASX Sweep ........................................................................... 10 1.2.2. Deal Source ................................................................................................................................. 10 1.2.3. Precision of Price Field ................................................................................................................ 11

1.3. ASX ITCH AND GLIMPSE ENHANCEMENTS ............................................................................................ 11 1.3.1. Precision of Price Field ................................................................................................................ 11

1.4. ENHANCED SUPPORT FOR REAL TIME REPORTING OF SHORT SELL QUANTITY ........................................... 12 1.4.1. Entry and Amendment of Short Sell Orders ................................................................................. 12 1.4.2. Entry of TMC Orders with Cash Legs .......................................................................................... 12 1.4.3. Short Sell Trade Reports.............................................................................................................. 12 1.4.4. Remaining Short Sell Quantity ..................................................................................................... 12 1.4.5. Short Sell Quantity Example ........................................................................................................ 13 1.4.6. Short Sell Quantity Example for a TMC Order with Different Ratios ............................................ 13 1.4.7. ASX OUCH Changes for Short Sell Quantity ............................................................................... 14

1.5. DERIVATIVES CROSSING ENHANCEMENTS ................................................................................................ 14 1.6. TECHNICAL ENHANCEMENTS .................................................................................................................... 14

1.6.1. Session State Transitions ............................................................................................................ 14 1.6.2. Tailor Made Combinations – Matching Algorithm ........................................................................ 15 1.6.3. Dissemination of Opposing Order Number in BO5 for Centre Point Trades ................................ 15

2. APPENDIX 2 – DRAFT CHANGES TO THE ASX TRADE OPEN INTERFACE MANUAL .......................... 16

2.1. SUMMARY OF API CHANGES .................................................................................................................... 16 2.1.1. Enhancements to Centre Point and Centre Point Block Orders .................................................. 16 2.1.2. Enhanced Support for Real Time Reporting of Short Sell Quantity ............................................. 16 2.1.3. Derivatives Crossing Enhancements ........................................................................................... 17 2.1.4. Session State Transitions ............................................................................................................ 17

2.2. CHANGES TO EXISTING TRANSACTIONS .................................................................................................... 18 2.2.1. MO1 Single Order Insert .............................................................................................................. 18

2.2.1.1. Transaction Overview .................................................................................................................................... 18 2.2.1.2. Transaction Properties ................................................................................................................................... 18 2.2.1.3. Transaction Structure ..................................................................................................................................... 18 2.2.1.4. single_order_insert_t (named structure 34808) ............................................................................................. 20 2.2.1.5. sub_item_hdr_t .............................................................................................................................................. 20 2.2.1.6. basic_order_t (named structure 34810) ......................................................................................................... 21 2.2.1.7. reserve_order_t (named structure 34812) ..................................................................................................... 22 2.2.1.8. centre_point_order_t (named structure 34816) ............................................................................................. 23 2.2.1.9. inactive_order_t (named structure 34818) ..................................................................................................... 24 2.2.1.10. exchange_info_t (named structure 50004) .................................................................................................... 24 2.2.1.11. free_text_t (named structure 34801) ............................................................................................................. 24 2.2.1.12. clearing_info_t (named structure 34802) ....................................................................................................... 24

2.2.1.12.1. give_up_member_t (named structure 50002) ................................................................................... 24 2.2.1.13. crossing_t (named structure 34820) .............................................................................................................. 25



2.2.1.14. regulatory_t (named structure 34821) ........................................................................................................... 25 2.2.1.14.1. ASX specific overlay of regulatory_data_s variable .......................................................................... 25

2.2.1.15. short_sell_order_t (named structure 34829) .................................................................................................. 25 2.2.1.16. Return Codes ................................................................................................................................................. 26

2.2.2. MO3 Single Order Update ............................................................................................................ 26 2.2.2.1. Changes to Price ........................................................................................................................................... 27 2.2.2.2. Changes to Quantity ...................................................................................................................................... 27

2.2.2.2.1. Balance Quantity ................................................................................................................................ 28 2.2.2.2.2. Minimum Acceptable Quantity ........................................................................................................... 28 2.2.2.2.3. Short Sell Quantity ............................................................................................................................. 28

2.2.2.3. Transaction Properties ................................................................................................................................... 28 2.2.2.4. Transaction Structure ..................................................................................................................................... 28 2.2.2.5. single_order_update_t (named structure 34809) ........................................................................................... 29 2.2.2.6. sub_item_hdr_t .............................................................................................................................................. 29 2.2.2.7. basic_order_update_t (named structure 34815) ............................................................................................ 30 2.2.2.8. reserve_order_t (named structure 34812) ..................................................................................................... 31 2.2.2.9. centre_point_order_t (named structure 34816) ............................................................................................. 31 2.2.2.10. exchange_info_t (named structure 50004) .................................................................................................... 32 2.2.2.11. free_text_t (named structure 34801) ............................................................................................................. 32 2.2.2.12. clearing_info_t (named structure 34802) ....................................................................................................... 32 2.2.2.13. crossing_t (named structure 34820) .............................................................................................................. 32 2.2.2.14. regulatory_t (named structure 34821) ........................................................................................................... 32 2.2.2.15. short_sell_order_t (named structure 34829) .................................................................................................. 32 2.2.2.16. Return Codes ................................................................................................................................................. 33

2.2.3. MO75 Trade Report ..................................................................................................................... 33 2.2.3.1. trade_report_1_trans_t (named structure 34021) .......................................................................................... 33

2.2.4. MO76 Two Sided Trade Report ................................................................................................... 34 2.2.4.1. trade_report_2_trans_t (named structure 34022) .......................................................................................... 34

2.2.4.1.1. bid_side (trd_rpt_cust_t) .................................................................................................................... 35 2.2.4.1.2. ask_side (trd_rpt_cust_t) ................................................................................................................... 36

2.2.5. MO77 Combination Trade Report ................................................................................................ 36 2.2.5.1. combo_trade_report_trans_t_item_t .............................................................................................................. 36


2.3. CHANGES TO EXISTING QUERIES ............................................................................................................. 39 2.3.1. CQ14 Holding Rectify Trade Query ............................................................................................. 39

2.3.1.1. CA14 - ans_rectify_t_item_t ........................................................................................................................... 39 2.3.2. CQ110 Dedicated Trade Query ................................................................................................... 40

2.3.2.1. CA110 - cl_trade_short_asx_t (named structure 36) ..................................................................................... 40 2.3.1. CQ111 Dedicated Historical Trade Query .................................................................................... 40

2.3.1.1. CA111 - cl_trade_short_asx_t (named structure 36) ..................................................................................... 40 2.3.2. CQ114 Initial Trade Reports Query .............................................................................................. 41

2.3.2.1. CA114 - cl_trade_short_asx_t (named structure 36) ..................................................................................... 41 2.3.1. CQ1134 Dedicated Trade Query On Behalf ................................................................................ 41

2.3.1.1. CA1134 - cl_trade_short_asx_t (named structure 36) ................................................................................... 41 2.3.2. CQ1135 Dedicated Historical Trade Query On Behalf ................................................................. 41

2.3.2.1. CA1135 - cl_trade_short_asx_t (named structure 36) ................................................................................... 41 2.3.3. MQ78 Unmatched Trade Reports Query ..................................................................................... 42

2.3.3.1. MA78 – answer_trd_report_t_item_t ............................................................................................................. 42 QUAD_WORD ......................................................................................................................................................... 42 QUAD_WORD ......................................................................................................................................................... 42

2.3.4. MQ92 Own Orders Query and MQ476 Own Orders Query on Behalf ......................................... 43 2.3.4.1. MA92 & MA476 - centre_point_order_t (named structure 34816) ................................................................. 43 2.3.4.2. MA92 & MA476 - short_sell_order_t (named structure 34829) ..................................................................... 44

2.3.5. MQ151 Firm Order Broadcast Query and MQ154 Firm Order Broadcast Query on Behalf ......... 44 2.3.5.1. MA151 & MA154 – short_sell_order_t (named structure 34829) .................................................................. 44 2.3.5.1. MA151 & MA154 – short_sell_order_change_t (named structure 34830) .................................................... 45 2.3.5.2. MA151 & MA154 – order_trade_info_asx_t (named structure 34922) .......................................................... 45 2.3.5.3. MA151 & MA154 – trade_report_1_trans_t (named structure 34021) .......................................................... 46 2.3.5.4. MA151 & MA154 – trade_report_1_trans_p_t (named structure 34119) ...................................................... 47 2.3.5.5. MA151 & MA154 – trade_report_2_trans_t (named structure 34022) .......................................................... 47


2.3.5.6. MA151 & MA154 - centre_point_order_t (named structure 34816) ............................................................... 50 2.4. CHANGES TO EXISTING BROADCASTS ...................................................................................................... 51



2.4.1. BO5 Firm Order Book Broadcast ................................................................................................. 51 2.4.1.1. short_sell_order_t (named structure 34829) .................................................................................................. 51 2.4.1.2. short_sell_order_change_t (named structure 34830) .................................................................................... 51 2.4.1.3. order_trade_info_asx_t (named structure 34922) ......................................................................................... 51 2.4.1.4. trade_report_1_trans_t (named structure 34021) .......................................................................................... 52 2.4.1.5. trade_report_1_trans_p_t (named structure 34119) ...................................................................................... 53 2.4.1.6. trade_report_2_trans_t (named structure 34022) .......................................................................................... 54


2.4.1.7. centre_point_order_t (named structure 34816) ............................................................................................. 56 2.4.1. CB15 Dedicated Trade Broadcast ............................................................................................... 57

2.4.1.1. cl_trade_short_asx_t (named structure 36) ................................................................................................... 57 2.4.2. MI4 – Quote Request with Volume Information ........................................................................... 57

2.4.2.1. quote_request_vol_info_t ............................................................................................................................... 57 2.5. NEW BROADCASTS ................................................................................................................................. 59

2.5.1. BI741 Instrument Status Information Broadcast .......................................................................... 59 2.5.1.1. Broadcast Properties ..................................................................................................................................... 59 2.5.1.2. Message Structure ......................................................................................................................................... 59

2.5.1.2.1. me_instrument_status_info_t ............................................................................................................. 59

3. APPENDIX 3 – DRAFT CHANGES TO THE ASX OUCH MANUAL ............................................................ 61

3.1. SUMMARY OF ASX OUCH CHANGES ....................................................................................................... 61 3.1.1. Support for ASX Centre Point and ASX Sweep ........................................................................... 61 3.1.2. Deal Source ................................................................................................................................. 61 3.1.3. Precision of Price Field ................................................................................................................ 61 3.1.4. Enhanced Support for Real Time Reporting of Short Sell Quantity ............................................. 61

3.2. CHANGED INBOUND MESSAGES ............................................................................................................... 62 3.2.1. Enter Order .................................................................................................................................. 62

3.2.1.1. Enter Order Message Details ......................................................................................................................... 62 3.2.1.1.1. ASX Specific Overlay for Regulatory Data ......................................................................................... 63

3.2.2. Replace Order .............................................................................................................................. 64 3.2.2.1. Amending Order Quantity .............................................................................................................................. 65 3.2.2.2. Losing Order Book Priority ............................................................................................................................. 65 3.2.2.3. Replace Order Message Details .................................................................................................................... 65

3.3. CHANGED OUTBOUND MESSAGES............................................................................................................ 66 3.3.1. Order Accepted ............................................................................................................................ 66

3.3.1.1. Order Accepted Message Details .................................................................................................................. 66 3.3.2. Order Replaced ............................................................................................................................ 68

3.3.2.1. Order Replaced Message Details .................................................................................................................. 68 3.3.3. Order Executed ............................................................................................................................ 70

3.3.3.1. Order Executed Message Details .................................................................................................................. 70

4. APPENDIX 4 –DRAFT CHANGES TO THE ASX ITCH AND GLIMPSE MANUAL ..................................... 72

4.1. PRECISION OF PRICE FIELD IN ITCH ........................................................................................................ 72 4.2. PRECISION OF PRICE FIELD IN GLIMPSE ................................................................................................. 72

5. APPENDIX 5 –DRAFT CHANGES TO THE ASX TRADE FIX PROTOCOL FOR ORDER MANAGEMENT 73

5.1. SUMMARY OF FIX PROTOCOL CHANGES .................................................................................................. 73 5.2. DARK LIMIT ORDERS AND SINGLE-FILL MAQ ............................................................................................ 73 5.3. ENHANCED SUPPORT FOR REAL TIME REPORTING OF SHORT SALE QUANTITY ........................................... 75



1. Appendix 1: Technical Description of ASX Trade Q3 2014 Release Enhancements

1.1. Enhancements to Centre Point and Centre Point Block Orders

1.1.1. ‘Dark Limit’ Orders

1.1.1.1. New mid_tick_c Value for Centre Point and Centre Point Block Orders

Centre Point and Centre Point Block orders have been enhanced to support optional execution at any permitted price up to the Participant defined limit. With this enhancement, participants will be able to use Centre Point and Centre Point Block orders as either ‘mid-point only’ or as ‘dark limit’.

Two new values have been introduced for the existing variable mid_tick_c (part of the centre_point_order_t struct; named structure 34816) to use Centre Point and Centre Point Block orders as ‘dark limit’:

mid_tick_c = 3: Order is allowed for permitted prices in addition to mid-point (‘dark limit’ order).

mid_tick_c = 4: Order is allowed for permitted prices in addition to mid-point (‘dark limit’ order), with mid-tick attribute set on.

The new values for mid_tick are only applicable to Centre Point Limit and Centre Point Block Limit orders. ASX Trade will reject the new values ‘3’ and ‘4’ for Centre Point Market and Centre Point Block Market orders.

As per existing logic, amending the mid_tick attribute from ‘on’ to ‘off’ or vice versa constitutes a change in price, resulting in the order losing priority. This means for example amending mid_tick_c from ‘4’ to ‘3’ would result in loss of price-time priority in the Centre Point order book.

1.1.1.2. Sweep Orders

Sweep orders will continue to fully integrate the liquidity in ASX Centre Point and ASX TradeMatch and will interact with both ‘mid-point only’ and ‘dark limit’ Centre Point and Centre Point Block orders at permitted prices by default.

The new mid_tick_c values ‘3’ and ‘4’ are therefore not applicable to Limit Sweep orders and ASX Trade will reject a Limit Sweep order entered with either of those values.

1.1.1.3. Permitted Dark Execution Prices

‘Dark limit’ orders are permitted to execute at on-tick prices that provide improvements over the NBBO, or at mid-point of the NBBO.

Resting ‘dark limit’ orders that are priced at, above or below the NBBO will execute at the first allowable on-tick price within the NBBO spread, or at the mid-point of the NBBO.

1.1.1.4. Priority of Resting ‘Dark Limit’ Orders

Resting ‘dark limit’ orders are queued in price-time priority in the Centre Point order book.

Note: This is different to mid-point only Centre Point and Centre Point Block orders, which rest in the Centre Point order book in time priority only.

1.1.1.5. Execution Sequence for Incoming ‘Dark Limit’ Orders

Incoming ‘dark limit’ orders will execute with resting ‘dark limit’ and ‘mid-point only’ orders in the Centre Point order book in the following sequence:



1. Execution at permitted prices worse1 than mid-point. The incoming order trades with resting ‘dark limit’ orders priced worse than mid-point, in price-time priority. Executions occur at the price of the resting ‘dark limit’ order, unless it is priced at the NBBO or outside it, in which case execution occurs at the first allowable on-tick price within the NBBO spread.

2. Execution at mid-point. The incoming order trades with resting ‘dark limit’ orders and ‘mid-point only’ orders at the mid-point in time priority.

3. Execution at permitted prices better1 than mid-point. The incoming order trades with resting ‘dark limit’ orders priced better than mid-point, in price-time priority. Executions occur at the price of the resting ‘dark limit’ order.

1.1.1.6. Participant Preferencing in Centre Point

Participant Preferencing in Centre Point applies to ‘dark limit’ orders.

1.1.1.7. Unintentional Crossing Prevention

Unintentional Crossing Prevention applies to ‘dark limit’ orders.

1.1.1.8. Trade Dissemination

Executions from ‘dark limit’ orders are not differentiated in any way in trade broadcasts. They use the existing deal sources pertaining to Centre Point trades.

1.1.1.9. ‘Dark Limit’ Example 1 – Incoming Centre Point Order

The following example illustrates the execution sequence for an incoming ‘dark limit’ order.

NBBO is 430 – 433 cents; mid-point is 431.5 cents.

Centre Point Order Book:

Bid Ask

Order# Quantity Price mid_tick_c mid_tick_c Price Quantity Order#

1 1,000 432 3 2 433 1,000 7

2 2,000 433 3

3 3,000 431 1

4 4,000 431 4

5 5,000 432 4

6 6,000 431 3

A Sell order is entered: Order #8, Sell 25,000 at 431, Centre Point Limit, mid_tick_c = 3.

This results in the following trades – all trades are Centre Point trades:

Trade Buy Order

Sell Order

Quantity Price Notes

1 2 8 2,000 432 Execution at permitted prices worse than mid-point. Buy Order #2 is priced at the NBBO. Execution occurs at the first allowable price tick within the NBBO.

2 1 8 1,000 432 Execution at permitted prices worse than mid-point.

1 Worse / better is referring to the resting order’s viewpoint in regard to the mid-point.



Trade Buy Order

Sell Order


3 5 8 5,000 432 Execution at permitted prices worse than mid-point.

4 3 8 3,000 431.5 Execution at mid-point.

5 4 8 4,000 431.5 Execution at mid-point.

6 6 8 6,000 431 Execution at permitted prices better than mid-point.

Resulting Centre Point Order Book:

Bid Ask


2 433 1,000 7

3 431 4,000 8

1.1.1.10. ‘Dark Limit’ Example 2 – Incoming Sweep Order

The following example illustrates the execution sequence for an incoming Sweep order.


ASX TradeMatch Lit Order Book:

Bid Ask

Order# Quantity Price Price Quantity Order#

1 1,000 430 435 1,000 3

2 500 429 436 500 4


Bid Ask


3 430 1,000 5

4 431 2,000 6

3 434 3,000 7

1 433 4,000 8

4 433 5,000 9

A Buy order is entered: Order #10, Buy 25,000 at 435, Sweep Limit, mid_tick_c = 1.

This results in the following trades:

Trade Buy Order

Sell Order


1 10 5 1,000 431 Centre Point trade. Execution at permitted prices worse than mid-point. Sell Order #5 is priced at the NBBO. Execution occurs at the first allowable price tick within the NBBO.

2 10 4 2,000 431 Centre Point trade. Execution at permitted prices worse



Trade Buy Order

Sell Order


than mid-point.

3 10 8 4,000 432.5 Centre Point trade. Execution at mid-point.

4 10 9 5,000 432.5 Centre Point trade. Execution at mid-point.

5 10 7 3,000 434 Centre Point trade. Execution at permitted prices better than mid-point.

6 10 3 1,000 435 ASX TradeMatch Lit Order Book trade.

Resulting ASX TradeMatch Lit Order Book:

Bid Ask

Order# Quantity Price Price Quantity Order#

10 9,000 435 436 500 4

1 1,000 430

2 500 429

Resulting Centre Point Order Book:

Bid Ask


10 9,000 435 1

1.1.2. Single-fill MAQ

1.1.2.1. New Single-fill MAQ Flag

Centre Point Block and Sweep orders have been enhanced to support an optional single-fill MAQ (Minimum Acceptable Quantity) flag. Orders with this flag set to ‘on’ will only match in the Centre Point order book with opposing orders of equal or greater quantity in relation to their MAQ. Single-fill MAQ will prevent orders from taking part in aggregated executions that achieve the minimum acceptable quantity and where a single contra order of sufficient size does not exist.

A new variable single_fill_minimum_quantity_c has been introduced in the centre_point_order_t struct (named structure 34816) to set the single-fill MAQ flag to ‘on’ or ‘off’. Possible values are:

0 = flag not defined (single-fill MAQ flag is ‘off’).

1 = single-fill MAQ flag is ‘on’, i.e. minimum acceptable quantity must be satisfied in a single fill.

2 = single-fill MAQ flag is ‘off’, i.e. minimum acceptable quantity may be satisfied in multiple fills (aggregated execution).

Note: The existing filler_2_s field in the centre_point_order_t struct (named structure 34816) has been restructured to accommodate the new single_fill_minimum_quantity_c variable and a filler_1_s field. Participants choosing not to change their applications to cater for the new single_fill_minimum_quantity_c variable must send the existing filler_2_s byte as 0 so that ASX Trade can interpret it to mean “No single-fill MAQ”.



1.1.2.2. Validation

The single-fill MAQ flag can only be set to ‘on’ for Centre Point Block and Sweep orders that have an MAQ that is greater than zero.

1.1.2.3. Amendment of the Single-fill MAQ Flag

The single-fill MAQ flag can be amended from ‘on’ to ‘off’ and vice versa without the order losing priority.

1.1.2.4. Order Falling below MAQ after Partial Trade

As per existing functionality, when an order with MAQ partially trades and the remaining order quantity is below the original MAQ, the MAQ is re-set automatically to zero by ASX Trade, as indicated by change_reason_c = 49. This logic has been extended to also clear the single-fill MAQ flag in this case.

1.1.2.5. Single-fill MAQ Example

The following example illustrates the use of the single-fill MAQ flag.



Bid Ask


1 25,000 432 3 2 433 1,000 3

2 30,000 431 1

A Sell order is entered: Order #4, Sell 40,000 at 431, Centre Point Limit, mid_tick_c = 2, MAQ 35,000, single-fill MAQ = ‘on’.

The incoming order does not trade because its MAQ of 35,000 cannot be achieved in a single fill. It will rest in the Centre Point order book.

Another Sell order is entered: Order #5, Sell 50,000 at 431, Centre Point Limit, mid_tick_c = 2, MAQ 30,000, single-fill MAQ = ‘on’.

Incoming Order #5’s MAQ of 30,000 can be achieved in a single fill through a trade with buy order #2. Order #5 trades with order #2 for 30,000 at 431.5.



1.2. ASX OUCH Enhancements

1.2.1. Support for ASX Centre Point and ASX Sweep

ASX OUCH has been enhanced to support the entry of Centre Point and Sweep orders. This provides ASX OUCH users with access to the liquidity in ASX Centre Point both standalone, through Centre Point orders, and fully integrated with the liquidity in ASX TradeMatch through the use of ASX Sweep.

The following order types are supported through addition of a new OUCH Order Type field:

OUCH Order Type Field

Value

Description ASX Trade Open Interface Equivalent Definition

Y Limit order exch_order_type_n = 0 2

N Centre Point Order (mid-point only)

Price > 0 defines a Centre Point Limit order.

Price = 0 defines a Centre Point Market order.

exch_order_type_n = 64 2 mid_tick_c = 2 minimum_quantity_i = 0 single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 or 2 (depending

on Price)

D Centre Point Order (‘dark limit’ order with mid-tick flag enabled)

exch_order_type_n = 64 2 mid_tick_c = 4 minimum_quantity_i = 0 single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1

S Sweep order

Price > 0 defines a Limit Sweep order.

Price = 0 defines a Market-to-Limit Sweep order.

exch_order_type_n = 2048 2 mid_tick_c = 2 minimum_quantity_i = 0 single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1 or 3 (depending

on Price)

P Sweep order (dual posted, i.e. mid-tick flag is enabled)

exch_order_type_n = 2048 2 mid_tick_c = 1 minimum_quantity_i = 0 single_fill_minimum_quantity_c = 2 preference_only_c = 2 order_type_c = 1

1.2.2. Deal Source

Executions reported through ASX OUCH have been enhanced to include ‘deal source’ information mirroring that provided in the ASX Trade Open Interface. Deal source specifies the nature of the execution including attributes such as the location of execution (ASX TradeMatch or ASX Centre

2 Depending on the value of the OUCH ‘Side’ field specified for the order, exch_order_type_n = 2 (Short Sell) may also apply in combination with the above exchange order types.



Point) and other execution characteristics such as preferencing and UCP (Unintentional Crossing Prevention).

The following deal sources are relevant for ASX OUCH:

1 = Single series to single series auto-matched during continuous trading.

20 = Single series to single series auto-matched during an auction.

36 = Tailor made combination match.

43 = Combination matched outright legs.

44 = Booked transaction resulting from Unintentional Crossing Prevention.

45 = Booked transaction resulting from Unintentional Crossing Prevention during an auction.

46 = Centre Point Preference Matched trade.

47 = Centre Point trade.

48 = Centre Point booked transaction resulting from Unintentional Crossing Prevention.

1.2.3. Precision of Price Field

The number of decimal places for prices in OUCH will universally be disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface. The size of the Price field remains unchanged.

This allows for dissemination of the full price for executions in the ASX Centre Point order book, when the mid-point exceeds 1 decimal place.

1.3. ASX ITCH and GLIMPSE Enhancements


The number of decimal places for prices in ITCH and GLIMPSE will universally be disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface. The size of the Price field remains unchanged.

This allows for dissemination of the full price for trades in the ASX Centre Point order book, when the mid-point exceeds 1 decimal place.



1.4. Enhanced Support for Real Time Reporting of Short Sell Quantity

1.4.1. Entry and Amendment of Short Sell Orders

A new variable short_sell_quantity_i is available in the MO1 Single Order Insert and MO3 Single Order Update transactions to support reporting of partial short sales.

When entering short sell orders (exch_order_type_n = 2), this variable must be set to the quantity portion of the order that is short, either whole or partial. If the sub-structure that contains the short_sell_quantity_i variable is not sent at all in the MO1 transaction, the whole quantity of the short sell order is assumed to be short.

On entry and amendment of short sell orders, short sell quantity is validated to be equal to or less than the total order quantity and greater than zero.

If an order that is not a short sell order is entered with short_sell_quantity_i > 0, the order is rejected.

When amending a short sell order, its total order quantity cannot be amended to be less than the short sell quantity. In this case the short sell quantity would need to be amended down accordingly.

On amendments, the delta_quantity_c setting applied to the overall MO3 transaction also applies to the short sell quantity. That is the delta_quantity_c setting determines whether an amendment of short sell quantity is expressed as absolute or delta.

The short sell quantity can be amended up or down without the order losing priority.

1.4.2. Entry of TMC Orders with Cash Legs

In order to support short sell tagging of Tailor Made Combination (TMC) orders that have one or several Cash sell legs, the validation on entry of TMC orders has been amended to permit buy orders with one or more sell component leg to carrying the short sell exchange order type.

The submitted short sell quantity applies to all short sell legs of the TMC.

1.4.3. Short Sell Trade Reports

The trade reporting transactions MO75, MO76 and MO77 have been enhanced to include short sell quantity to support reporting of partial short sales.

When reporting a trade that is flagged as a short sell (exch_order_type_n = 2), the short sell quantity must be set to the portion of the quantity that is short, either whole or partial. Short sell quantity is validated to be equal to or less than the total trade quantity and greater than zero.

If a trade that is not flagged as short sell is reported with short_sell_quantity_i > 0, the trade report is rejected.

1.4.4. Remaining Short Sell Quantity

When a short sell order that has partial short sell quantity trades out partially, the quantity that is not short will trade first.

Example: A short sell order that has a quantity of 10,000, with 3,000 of that quantity being short, trades for 5,000. This trade will be from the ‘non-short’ portion of the order, leaving it with a quantity of 5,000 and a short sell quantity of 3,000. The resulting trade will be disseminated with traded short sell quantity set to zero to indicate that the short sell portion of this order has not yet traded.

For orders, updates to short sell quantity will be disseminated as follows in the BO5 broadcast:

Specified short sell quantity when the order is first entered.

Updated short sell quantity if it is amended by the user.

Remaining short sell quantity after the order has traded.



The CB15 Dedicated Trade Broadcast contains traded short sell quantity for trades where the traded short sell quantity is greater than zero.

1.4.5. Short Sell Quantity Example

Action Order Qty

Order Short Qty

Order Long Qty

(Order Qty minus Order

Short Qty)

Traded Qty

Cumulative Traded Qty

Traded Short Qty

Cumulative Traded

Short Qty

New Order 100,000 40,000 60,000 - - - -

Partial fill 20,000

80,000 40,000 40,000 20,000 20,000 0 0

Partial fill 40,000

40,000 40,000 0 40,000 60,000 0 0

Partial fill 15,000

25,000 25,000 0 15,000 75,000 15,000 15,000

Partial fill 10,000

15,000 15,000 0 10,000 85,000 10,000 25,000

Remainder filled

15,000

0 0 0 15,000 100,000 15,000 40,000

1.4.6. Short Sell Quantity Example for a TMC Order with Different Ratios

TMC Attributes

Leg n Leg / Side Ratio Price Quotation Factor

Leg 1 Buy 2 1

Leg 2 Sell 3 1

Action TMC Order Qty

TMC Order Short Qty

TMC Order Long Qty

(Order Qty minus Order Short Qty)

TMC Traded

Qty

Leg Traded

Qty (each leg)


Traded Short Qty

Cumulative Traded

Short Qty

New Order 100,000 40,000 60,000 - - - - -

Partial fill 20,000

80,000 40,000 40,000 20,000 20,000 0 0

Leg 1 40,000 40,000 N/A N/A

Leg 2 60,000 60,000 0 0

Partial fill 40,000

40,000 40,000 0 40,000 60,000 0 0

Leg 1 80,000 120,000 N/A N/A

Leg 2 120,000 180,000 0 0

Partial fill 15,000

25,000 25,000 0 15,000 75,000 15,000 15,000

Leg 1 30,000 150,000 N/A N/A

Leg 2 45,000 225,000 45,000 45,000

Partial fill 10,000

15,000 15,000 0 10,000 85,000 10,000 25,000

Leg 1 20,000 170,000 N/A N/A

Leg 2 30,000 255,000 30,000 75,000



Action TMC Order Qty

TMC Order Short Qty

TMC Order Long Qty

(Order Qty minus Order Short Qty)

TMC Traded

Qty

Leg Traded

Qty (each leg)


Traded Short Qty

Cumulative Traded

Short Qty

Remainder filled 15,000

0 0 0 15,000 100,000 15,000 40,000

Leg 1 30,000 200,000 N/A N/A

Leg 2 45,000 300,000 45,000 120,000

1.4.7. ASX OUCH Changes for Short Sell Quantity

A new field ‘Short Sell Quantity’ has been added to the Enter Order and Replace Order messages to report partial short quantity for short sell orders in ASX OUCH. The Order Accepted and Order Replaced messages also have this new field to show the remaining short sell quantity after the order entry or replacement has been accepted and processed.

The same validation as in the ASX Trade Open Interface applies for the short sell quantity field in ASX OUCH when entering and amending orders.

A new value ‘C’ is available for the ‘Side’ field of the Enter Order message, to specify a buy order in a TMC where the sell legs are short sells.

1.5. Derivatives Crossing Enhancements

The Quote Request broadcast MI4 has been enhanced to include a new flag (quote_status_c) indicating whether the request is a result of a Crossing Quote Request or normal Quote Request transaction.

The existing filler_3_s field returned in the MI4 Quote Request with Volume Information broadcast has been restructured to include the quote_status_c variable and a filler_2_s field.

quote_status_c can have the following values:

‘C’ (decimal 67) = Crossing quote request.

‘V’ (decimal 86) = Non-crossing quote request.

‘\0’ (decimal zero) = not defined.

The Crossing Quote Request transaction has also been enhanced to enable support for Derivatives/Cash and Derivatives Only Combinations (Standard & Tailor Made Combinations).

1.6. Technical Enhancements

1.6.1. Session State Transitions

Current message flows within ASX Trade can result in the session state transition message being received by participants a short time, either before or after, the session state has been effected by the matching engine in ASX Trade. Participants interacting with ASX Trade during the window between the session state transition message and the session state being effected by the matching engine, in whichever order this has occurred, may receive error messages as the matching engine will not be in the anticipated session state.



A new session state transition broadcast BI741 is being introduced that is disseminated by the matching engine when the transition occurs. BI741 will be disseminated after all BO2 and BO5 broadcasts resulting from the session state change (for example due to an auction) have been sent.

The new BI741 will send all session state changes at series level. This means for example that when a market moves into a new trading session state, BI741s will be sent for each instrument series traded in that market, with each broadcast being able to accommodate up to 80 series. This also means that only the active session state is disseminated for each series. For example if an instrument series moves into an instrument session state of SUSPEND, a BI741 will be sent for that series. If the market that this series is traded in then moves into the OPEN trading session state, no new BI741 message will be sent for that series because its active session state is still SUSPEND, since SUSPEND has a higher priority than OPEN.

The existing BI41 broadcast will continue to be disseminated, which means that participants not wishing to take advantage of the new broadcast do not need to make any changes.

Note: The new BI741 broadcast will only disseminate actual session state transitions and not the warnings that are sent for certain state changes (for example 2 and 4 minute warnings for state changes in the Stock Derivatives market). This means, when comparing BI741 to BI41, the BI741 will not send the following:

Seconds to state change Actual start time Next start time and date

1.6.2. Tailor Made Combinations – Matching Algorithm

A number of changes will be made to the ASX Trade matching algorithm to remove the occurrence of bait orders (orders derived from Combination orders) with minimum match increments greater than 1 from resting in the outright market at prices which lock or cross the opposing side of a component leg order book or are off tick, as mandated by ASIC. These changes will not require any customer action.

1.6.3. Dissemination of Opposing Order Number in BO5 for Centre Point Trades

In-line with existing production functionality, where order numbers for Centre Point trades are not disseminated in public trade broadcasts, ASX Trade will no longer disseminate the opposing order number in the BO5 broadcast for executions in the Centre Point order book that are not crossed.

This means that opposing_order_number_u will be set to zero in structure order_trade_info_asx_t (named structure 34922) where trade_condition_n = 0 (not crossed) for trades with deal source ‘47’ (Centre Point trade).



2. Appendix 2 – Draft Changes to the ASX Trade Open Interface Manual

2.1. Summary of API Changes

2.1.1. Enhancements to Centre Point and Centre Point Block Orders

The existing centre_point_order_t sub-structure (named structure 34816) in the MO1 Single Order Insert and MO3 Single Order Update transactions has been modified to include a new variable single_fill_minimum_quantity_c to set the single-fill MAQ flag.

The existing filler_2_s field in this sub-structure has been reduced to a filler_1_s field. In addition, new values have been defined for the existing variable mid_tick_c to cater for ‘dark limit’ orders.

The modified centre_point_order_t sub-structure (named structure 34816) will also be returned in the following broadcasts and queries:

BO5 Firm Order Book Broadcast

MQ92 Own Orders Query

MQ476 Own Orders Query on Behalf

MQ151 Firm Order Book Broadcast Query

MQ154 Firm Order Book Broadcast Query on Behalf

2.1.2. Enhanced Support for Real Time Reporting of Short Sell Quantity

A new sub-structure called short_sell_order_t (named structure 34829) is available for the MO1 Single Order Insert and MO3 Single Order Update transactions, to report the partial short quantity of a short sell order.

Similarly, the MO75 Trade Report, MO76 Two Sided Trade Report and MO77 Combination Trade Report transactions have been modified to cater for reporting of partial short quantity:

MO75: A new variable has been added to trade_report_1_trans_t (named structure 34021).

MO76: A new variable has been added to trd_rpt_cust_t which is included in trade_report_2_trans_t (named structure 34022).

MO77: A new variable has been added to trd_rpt_cust_t which is included in the array of structure combo_trade_report_trans_t.

In-line with the above changes, the following broadcasts and queries will return the new sub-structures and variables:

CB15 Dedicated Trade Broadcast

CQ14 Holding Rectify Trade Query

CQ110 Dedicated Trade Query

CQ111 Dedicated Historical Trade Query

CQ114 Initial Trade Reports Query

CQ1134 Dedicated Trade Query on Behalf

CQ1135 Dedicated Historical Trade Query on Behalf

BO5 Firm Order Book Broadcast

MQ78 Unmatched Trade Reports Query



MQ92 Own Orders Query

MQ476 Own Orders Query on Behalf

MQ151 Firm Order Book Broadcast Query

MQ154 Firm Order Book Broadcast Query on Behalf

2.1.3. Derivatives Crossing Enhancements

The existing filler_3_s field returned in the MI4 Quote Request with Volume Information broadcast has been restructured to include a new quote_status_c variable and a filler_2_s field.

The quote_status_c variable indicates whether the quote request does or does not relate to a crossing.

2.1.4. Session State Transitions

A new session state transition broadcast BI741 is being introduced that is disseminated by the matching engine when the transition occurs. BI741 will be disseminated after all BO2 and BO5 broadcasts resulting from the session state change (for example due to an auction) have been sent.



2.2. Changes to Existing Transactions

2.2.1. MO1 Single Order Insert

2.2.1.1. Transaction Overview

The MO1 transaction is used for entering orders into the marketplace. It returns an order identifier that can be used to track the order. Users wishing to keep track of their own orders need to subscribe to the BO5 Firm Order Book broadcast.

The transaction is restricted by the TPS rate set by ASX.

The following order types are supported by the MO1:

Limit (LMT)

Market-to-Limit (MTL)

Best-Limit (BST)

Price Stabilization (PST) – only certain users can enter these as allowed by ASX Trading Operations

Short Sell

Undisclosed Quantity

Centre Point Limit and Centre Point Market

Centre Point Block Limit and Centre Point Block Market

Limit Sweep and Market-to-Limit Sweep

Imbalance Limit

The transaction also allows the entry of central inactive orders.

In conjunction with the order types there are also several validity attributes:

FoK - Fill or Kill, cancelled if all the quantity cannot be executed immediately.

FaK - Fill and Kill, fill the order now as far as possible then cancel the rest.

Day - Expire at the end of the day.

Exp - Expire at the instrument’s expiration date.

Date - Expire after a certain amount of calendar days.

GTC - Good till Cancel, expire at the maximum allowed time for that particular instrument type.

2.2.1.2. Transaction Properties

Function Call omniapi_tx_ex

Facility EP0

Struct Name The transaction complies with the VIT concept. The top most struct is single_order_insert_t (named structure 34808).

Partioned True

2.2.1.3. Transaction Structure

The MO1 is a variable information transaction. Sub-headers within the message identify what is contained in the message. The overall structure is (new or changed sub-structures in bold):



single_order_insert (named structure 34808)

one or more sequences of

o sub_item_hdr_t

o a choice of:

basic_order_t (named structure 34810)

exchange_info_t (named structure 50004)

free_text_t (named structure 34801)

clearing_info_t (named structure 34802)

regulatory_t (named structure 34821)

reserve_order_t (named structure 34812)

centre_point_order_t (named structure 34816)

crossing_t (named structure 34820)

inactive_order_t (named structure 34818)

short_sell_order_t (named structure 34829)

The transaction must always have the series and items_n populated. The order entered is defined by having one or several sub-structures appended to the main structure. Sub-structures can be defined in any order and only required sub-structures should be used. If a sub-structure is not provided, default or blank values will be assumed. Size_n is not used for this transaction.

As an example, the sequence of sub-structures for entering a Limit order is as follows:






Sub-structures basic_order_t and clearing_info_t are mandatory. The other sub-structures are optional and should only be included, if required.

The sequence of sub-structures for entering Centre Point and Centre Point Block orders is as follows:







The sequence of sub-structures for entering a central inactive order can be as follows:


inactive_order_t (named structure 34818)







The sequence of sub-structures for entering a Limit Sweep Iceberg order is as follows:








The sequence of sub-structures for entering a Short Sell order is as follows:







2.2.1.4. single_order_insert_t (named structure 34808)

Variable Description

transaction_type transaction_type_t Set the structure to the following: {‘M’, ‘O’, 1}

series series_t The series for which the order exists. The series must have a value assigned to every field; it does NOT act as a filter whereby some fields can be ignored. For equities, some fields must be set to zero, e.g. strike price and expiry date.

items_n uint16_t The number of sub-items following this top structure.

size_n uint16_t Not used for this transaction.

2.2.1.5. sub_item_hdr_t


named_struct_n uint16_t Contains a number, indicating the type of structure that follows.





2.2.1.6. basic_order_t (named structure 34810)


premium_i int32_t The price of the order. A combination of this field and the order_type_c field signify different types of orders.

0 = Market order. Any other value than zero = Limit order (order_type_c = 1 or 65).

The price for a tailor made combination order can be positive, zero or negative.

quantity_i int64_t Quantity of the order. For iceberg orders this the total quantity of the order. The shown quantity portion of the iceberg order is defined in the reserve_order_t (named structure 34812) sub-structure.

block_n uint32_t Block size. Possible values:

0 = Fill or Kill order (time_validity_n = 0). 1 = All other types of orders.

time_validity_n uint16_t This field is made up of two 8-bit parts - unit (most significant byte) and count (less significant byte).

Unit = 0, Count = 0 (i.e. binary = 0): Order is an “Immediate” type order. Fill Or Kill when block_n = 0 or Fill And Kill when block_n = 1.

Unit = 1, Count = 0 (i.e. binary 1 0000 0000, hex 100, dec 256): Order is valid for the rest of the day.

Unit = 2, Count = 0 (i.e. binary 10 0000 0000, hex 200, dec 512): Order is valid until the instrument expires. Since equities do not have an expiry date, if this order is for an equity it will be valid for the maximum allowed time for that particular instrument type.

Unit = 5, Count = a positive integer (i.e. binary 101 0000 0011, hex 503, dec 1283): Order will be valid for that many calendar days, including today. Expiry will occur at the end of day’s trading on the final day. The answer contains the number of days left for the order, decreasing by one every day. It does NOT contain the number of days when the order was originally placed.

Unit = 6, Count = 0 (i.e. binary 110 0000 0000, hex 600, dec 1536): Order is “Good Till Cancelled” type. Order will be valid for the maximum allowed time for that particular instrument type.

Centre Point and Centre Point Block orders are not carried over to the next day, i.e. they are purged at the end of the day, regardless of the entered time_validity_n. For Centre Point Block orders, validity FoK is only allowed when the MAQ (Minimum Acceptable Quantity) is zero or equal to the order quantity.




exch_order_type_n uint16_t Exchange specific order types.

2 = Short Sell order. o premium_i = an integer and order_type_c = 1: Limit order o premium_i = 0 and order_type_c = 2: Market order o premium_i = 0 and order_type_c = 3: Market-to-Limit order o premium_i = 0, order_type_c = 17 and time_validity_n != 0:

Best-Limit order. Can also be combined with other exchange specific order types outlined below.

4 = Market Bid order. o premium_i = an integer and order_type_c = 1, only entered

by ASX Trading Operations. 8 = Price Stabilization / Green Shoe order.

o premium_i = an integer, order_type_c = 1 and time_validity_n !=0.

32 = Undisclosed order (use order_type_c to determine order type). 64 = Centre Point Order (use order_type_c to determine Market or

Limit). 128 = Always Inactive. 2048 = Sweep order (use order_type_c to determine Market-to-Limit or

Limit). 4096 = Centre Point Block order (use order_type_c to determine

Market or Limit).

order_type_c uint8_t Order type – a combination of this field and the premium_i field signifies different types of orders. Possible values:

1 = Limit price order (premium_i = an integer). 2 = Market order (premium_i = 0). 3 = Market-to-Limit order (premium_i = 0). 17 = Best-Limit order (premium_i = 0 and time_validity_n !=0). 65 = Imbalance Limit order (premium_i = an integer).

Used in conjunction with values in the field exch_order_type_n to determine Undisclosed, Sweep, Centre Point and Centre Point Block orders.

bid_or_ask_c uint8_t Bid or Ask. Possible values:

1 = Buy. 2 = Sell.

filler_2_s char[2] Ignore. Used for byte alignment.

2.2.1.7. reserve_order_t (named structure 34812)


display_quantity_i int64_t The shown quantity of an iceberg order. The reserve_order_t sub-structure only needs to be specified when entering iceberg orders. Can also be used for Limit Sweep order types to enter them as an iceberg order.

original_display_quantity_i int64_t Not used in the MO1 and MO3 transactions. Set to zero.



2.2.1.8. centre_point_order_t (named structure 34816)

New or changed variables are highlighted in bold.


minimum_quantity_i int64_t Minimum acceptable quantity of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle.

0 = no minimum acceptable quantity. Must be set to 0 for Centre Point orders (exch_order_type_n = 64 or 66).

mid_tick_c uint8_t Specifies whether the limit price of a Centre Point Limit or Centre Point Block Limit order should be a half-tick more aggressive (i.e. improved) and/or allowed for permitted prices other than mid-point (‘dark limit’ order). Specifies whether a Limit Sweep order is eligible for passive execution in Centre Point at a half-tick above the limit price.

0 = not defined. 1 = mid-tick attribute set on. 2 = mid-tick attribute set off. 3 = allowed for permitted prices in addition to mid-point (‘dark

limit’ order). 4 = allowed for permitted prices in addition to mid-point (‘dark

limit’ order), with mid-tick attribute set on. Limit Sweep orders fully integrate the liquidity in ASX Centre Point and ASX TradeMatch and will interact with both ‘mid-point only’ and ‘dark limit’ Centre Point and Centre Point Block orders at permitted prices. The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2.

preference_only_c uint8_t Specifies whether a Centre Point Order or a Centre Point Block order is a Preference and Kill order or not. For Limit Sweep orders, only ‘0’ or ‘2’ are valid values.

0 = not defined or ‘no’, order is not a Preference and Kill order. 1 = ‘yes’, order is a Preference and Kill order. Time validity must be

set to Fill and Kill or Fill or Kill for this option. 2 = ‘no’, order is not a Preference and Kill order.

single_fill_minimum_quantity_c uint8_t Specifies whether the minimum acceptable quantity (minimum_quantity_i ) of Centre Point Block or Limit Sweep orders must be satisfied in a single fill or not.

0 = not defined. 1 = minimum acceptable quantity must be satisfied in a single

fill. 2 = minimum acceptable quantity may be satisfied in multiple

fills (aggregated execution). Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0.

filler_1_s char Ignore. Used for byte alignment.



2.2.1.9. inactive_order_t (named structure 34818)


inactive_c uint8_t Specifies whether an order should be entered as a central inactive order.

0 = not defined. 1 = central inactive order. 2 = active order.


2.2.1.10. exchange_info_t (named structure 50004)


exchange_info_s char[32] A free text field used at the participant’s discretion.

2.2.1.11. free_text_t (named structure 34801)


customer_info_s char[15] Customer information – a free text field typically used to indicate to the participant their own order identifier.


2.2.1.12. clearing_info_t (named structure 34802)


give_up_member give_up_member_t The clearing identifier used for the order. See below (2.2.1.12.1 give_up_member_t)

ex_client_s char[10] Client – a free text field typically used to indicate to the participant the ultimate client making the order.

open_close_req_c uint8_t Ignore. Currently not used.


2.2.1.12.1. give_up_member_t (named structure 50002)


country_id_s char[2] For ASX Trade this is always set to ‘AU’, indicating the Australian exchange.

ex_customer_s char[5] This is a unique clearing identifier. Possible values for a user can be retrieved from the clearing_customer_s field in the Clearing Participant query (DQ55). Single digits are typically used as identifiers and the rest of the field should be space padded.




2.2.1.13. crossing_t (named structure 34820)


crossing_key_i int32_t Crossing key for Unintentional Crossing Prevention. When two orders from the same participant with the same crossing key trade out, the resulting trade is treated like a booked transaction and not published to the market as a trade. Setting this field to zero for an order means ‘no Unintentional Crossing Prevention’ for this order.

2.2.1.14. regulatory_t (named structure 34821)


regulatory_data_s char[44] Contains regulatory data that must be supplied for each order and transaction. See below (2.2.1.14.1 ASX specific overlay of regulatory_data_s variable)

2.2.1.14.1. ASX specific overlay of regulatory_data_s variable

All unused regulatory_data_s character positions are to be padded by spaces (ASCII 0x20).

Variable Description Character Position

ASIC defined content

capacity_of_participant_s char 0 Capacity of participant where: A = Agency. P = Principal. M = Mixed Agency and Principal.

directed_wholesale_s char 1 Directed wholesale indicator for agency orders and transactions where:

Y = True. N =False (default).

execution_venue_s char[4] 2 to 5 Execution venue Not required on order messages.

intermediary_id_s char[10] 6 to 15 Intermediary identifier for agency orders and transactions.

order_origin_s char[20] 16 to 35 Origin or order information for agency orders and transactions.

filler_s char[8] 36 to 43 Ignore. Used for byte alignment.

2.2.1.15. short_sell_order_t (named structure 34829)

This is a new sub-structure.


short_sell_quantity_i int64_t Partial short quantity of a short sell order. For orders that are not short sell orders (exch_order_type_n != 2), must be set to 0, or this sub-structure should not be included at all. For orders that are short sell orders (exch_order_type_n = 2), must be equal to or less than the total order quantity and greater than zero.



2.2.1.16. Return Codes

Cstatus Txstat Ordidt

Successful 1 – No part of the order placed in the order book and no part closed (Fill and Kill only).

order number

Successful 2 – Whole order closed. order number

Successful 3 – Order partially closed and nothing placed in order book. order number

Successful 4 – Whole order placed in order book. order number

Successful 6 – Order partially placed in the order book and partially closed. order number

Transaction aborted GEN_CDC_INT_CLOSED – Instrument type is not allowed for this transaction type.

-

Transaction aborted MP_MATCH_LOW_VOLUME – Fill or Kill order could not be filled because of low order book size (volume).

-

2.2.2. MO3 Single Order Update

The MO3 transaction is used to amend an existing order. Only one order can be amended at a time. The order is identified by the order number, series field and the bid/ask flag.

The transaction must always have the series, order_number_u, bid_or_ask_c and items_n populated. Size_n is not used for this transaction.

Other than the fields to identify the order, the fields in the sub-structures should be completed only if they are to be amended. Sub-structures only have to be supplied if they contain a field that is to be amended and the sub-structures can be defined in any order. Fields that are to be changed should contain the new value required. Fields that are not to be changed are set to be zero.

The following exceptions exist:

Field minimum_quantity_i in sub-structure centre_point_order_t. If this field is to be amended to zero (i.e. no minimum acceptable quantity for Centre Point Block or Limit Sweep order), it should be set to zero in the MO3 transaction. If the field is not to be amended, it should be set to its current value or the centre_point_order_t sub-structure should not be sent at all.

Field crossing_key_i in sub-structure crossing_t. If this field is to be amended to zero (i.e. no Crossing Key), it should be set to zero in the MO3 transaction. If the field is not to be amended, it should be set to its current value or the crossing_t sub-structure should not be sent at all.

Field exch_order_type_n for Undisclosed orders only. Undisclosed orders (exch_order_type_n = 32) can be amended to be disclosed (exch_order_type_n = 0). When altering Undisclosed orders, exch_order_type_n must be set to 32 unless the order is to be amended to become disclosed.

Note: For fields that are char arrays, the field must be filled with NULLs to indicate that it should be ignored.

It is possible to carry out several alterations on the one order at the same time. The following fields may be amended:

premium_i

quantity_i

display_quantity_i



time_validity_n

exchange_info_s

customer_info_s

give_up_member

ex_client_s

open_close_req_c

minimum_quantity_i

mid_tick_c

single_fill_minimum_quantity_c

exch_order_type_n (Undisclosed orders only)

crossing_key_i

regulatory_data_s

short_sell_quantity_i

When amending the time validity of an order, the system will take the new time relative to when the amendment was received by ASX Trade. For example, if an order is placed on day 1 with a time validity of ‘5:22’ (indicating it is valid for 22 days), and then amended on day 3 to ‘5:2’ (indicating that is valid for only 2 days), then it will be set to expire at the end of day 4 (2 days after the MO3 transaction).

The order identifier of an amended order does not change, even though the omniapi_tx_ex(…) function returns a different value in its order identifier parameter. This parameter should be ignored on this transaction.

Central inactive orders cannot be amended. If a central inactive order is to be amended, the original order must be deleted and a new central inactive order entered. Similarly, an active order cannot be amended to become central inactive and a central inactive order cannot be amended to become active. Central inactive orders entered with the MO1 or MO98 transactions can be activated using the MO99 transaction.

2.2.2.1. Changes to Price

A change in price will result in the order losing its priority in the market. A change of price can be affected by amending the premium_i field and, for Centre Point, Centre Point Block and Limit Sweep orders, the mid_tick_c field. However an amendment of the mid_tick_c flag for Limit Sweep order will only result in loss of priority in the Centre Point order book, not the lit book.

2.2.2.2. Changes to Quantity

An increase in quantity of an order will result in the order losing its priority in the market.

There are two options for amending order quantity: delta and absolute. Delta changes amend the quantity of an order by the given amount, positive to increase the quantity, negative to reduce the quantity. Absolute change means that the quantity should be set to the value in the quantity field.

This is selected by using the field delta_quantity_c. Setting this field to ‘1’ indicates that absolute quantities should be used, setting it to ‘2’ indicates that quantities should be amended by the given delta amount.

If a delta quantity is provided that makes the resultant quantity of the order 0, the order is deleted from the system.

Examples:



Original Order Amendment Result

quantity_i = 1,000 delta_quantity_c = 1 quantity_i = 600

quantity_i = 600

quantity_i = 1,000 delta_quantity_c = 2 quantity_i = 600

quantity_i = 1,600

quantity_i = 1,000 delta_quantity_c = 2 quantity_i = -600

quantity_i = 400

quantity_i = 10,000 display_quantity_i = 5,000

delta_quantity_c = 1 quantity_i = 8,000 display_quantity_i = 6,000



delta_quantity_c = 2 quantity_i = -1,000 display_quantity_i = 1,000



delta_quantity_c = 2 quantity_i = -12,000 display_quantity_i = -7,000

Order deleted.


delta_quantity_c = 2 quantity_i = 0 (no change) display_quantity_i = -7,000

Order deleted.

2.2.2.2.1. Balance Quantity

If the field balance_quantity_i is provided, the system checks this quantity against the existing total quantity of the order prior to applying the amendment. If the two match then the amendment is applied, if not, an error is returned.

2.2.2.2.2. Minimum Acceptable Quantity

The Minimum Acceptable Quantity for Centre Point Block and Limit Sweep Orders specified in the field minimum_quantity_i can be increased or decreased without the order losing priority in the market.

2.2.2.2.3. Short Sell Quantity

The partial short quantity of short sell orders specified in the field short_sell_quantity_i can be increased or decreased without the order losing priority in the market.

2.2.2.3. Transaction Properties

Function Call omniapi_tx_ex

Facility EP0

Struct Name The transaction complies with the VIT concept. The top most struct is single_order_update_t (named structure 34809).

Partioned True

2.2.2.4. Transaction Structure

This is a variable information transaction. Sub-headers within the message identify what is contained in the message. The overall structure is (new or changed sub-structures in bold):

single_order_update_t (named structure 34809)

one or more sequences of

o sub_item_hdr_t



o a choice of:

basic_order_update_t (named structure 34815)









As an example, the sequence of sub-structures for amending a Limit order with a Crossing Key is as follows:

basic_order_update_t (named structure 34815)



Sub-structures only need to be provided if they contain one or several variables to be amended.

2.2.2.5. single_order_update_t (named structure 34809)




order_number_u quad_word The identifier of the order that is being amended.


1 = Buy. 2 = Sell.


items_n uint16_t The number of sub-items following this top structure.


2.2.2.6. sub_item_hdr_t

See section 2.2.1.5 sub_item_hdr_t.



2.2.2.7. basic_order_update_t (named structure 34815)


premium_i int32_t The price of the order. A combination of this field and the order_type_c field signify different types of orders.

0 = Market order. Any other value than zero = Limit order (order_type_c = 1 or 65).

The price for a tailor made combination order can be positive, zero or negative. When amending an order, setting this field to zero will not make it a Market order. Zero indicates that no changes are to be made to this field.

quantity_i int64_t Quantity of the order. When amending an order, this field can be set to:

the new value (delta_quantity_c = 1). the amount by which it should be changed (delta_quantity_c = 2). zero to indicate ‘no change’.

For iceberg orders this the total quantity of the order. The shown quantity portion of the iceberg order is defined in the reserve_order_t sub-structure. For iceberg orders, an increase to total quantity is not allowed.

balance_quantity_i int64_t 0 = No balance check is performed. >0 = Total quantity of the order in the system must match the balance

quantity otherwise the transaction will be rejected. <0 = Transaction is rejected, a negative value is not allowed.

time_validity_n uint16_t This field is made up of two 8-bit parts - unit (most significant byte) and count (less significant byte).

Unit = 0, Count = 0 (i.e. binary = 0): Order is an “Immediate” type order. Fill Or Kill when block_n = 0 or Fill And Kill when block_n = 1.

Unit = 1, Count = 0 (i.e. binary 1 0000 0000, hex 100, dec 256): Order is valid for the rest of the day.

Unit = 2, Count = 0 (i.e. binary 10 0000 0000, hex 200, dec 512): Order is valid until the instrument expires. Since equities do not have an expiry date, if this order is for an equity it will be valid for the maximum allowed time for that particular instrument type.

Unit = 5, Count = a positive integer (i.e. binary 101 0000 0011, hex 503, dec 1283): Order will be valid for that many calendar days, including today. Expiry will occur at the end of day’s trading on the final day. The answer contains the number of days left for the order, decreasing by one every day. It does NOT contain the number of days when the order was originally placed.

Unit = 6, Count = 0 (i.e. binary 110 0000 0000, hex 600, dec 1536): Order is “Good Till Cancelled” type. Order will be valid for the maximum allowed time for that particular instrument type.

Centre Point and Centre Point Block orders are not carried over to the next day, i.e. they are purged at the end of the day, regardless of the entered time_validity_n. For Centre Point Block orders, validity FoK is only allowed when the MAQ (Minimum Acceptable Quantity) is zero or equal to the order quantity.




exch_order_type_n uint16_t Exchange specific order types. This field cannot be amended, with one exception: A disclosed order can be amended to become undisclosed and an Undisclosed order can be amended to become disclosed. Possible values for an existing disclosed order:

0 = No change. 32 = Change to an Undisclosed order.

Possible values for an existing Undisclosed order: 0 = Change to a disclosed order. 32 = No change.

delta_quantity_c uint8_t Indicates if the quantity_i reflects absolute quantity or delta quantity. Possible values:

1 = Absolute quantity. 2 = Delta quantity.


2.2.2.8. reserve_order_t (named structure 34812)

See section 2.2.1.7 reserve_order_t (named structure 34812).




minimum_quantity_i int64_t Minimum acceptable quantity of Centre Point Block order or Limit Sweep order when executing in Centre Point. Specifies the minimum quantity that must be traded in each execution cycle. Amending this field to zero means that the Centre Point Block or Limit Sweep order has no minimum acceptable quantity. If the current minimum acceptable quantity for the order should be retained this field has to be set to its current value. Must be set to 0 for Centre Point orders (exch_order_type_n = 64 or 66).




limit’ order), with mid-tick attribute set on. Limit Sweep orders fully integrate the liquidity in ASX Centre Point and ASX TradeMatch and will interact with both ‘mid-point only’ and ‘dark limit’ Centre Point and Centre Point Block orders at permitted prices.



Variable Description The only allowed mid_tick_c values for Limit Sweep orders are 0, 1 or 2. Limit Sweep orders cannot be amended to have their mid-tick attribute set to on.




This variable cannot be amended.






2.2.2.10. exchange_info_t (named structure 50004)

See section 2.2.1.10 exchange_info_t (named structure 50004).

2.2.2.11. free_text_t (named structure 34801)

See section 2.2.1.11 free_text_t (named structure 34801).

2.2.2.12. clearing_info_t (named structure 34802)

See section 2.2.1.12 clearing_info_t (named structure 34802).

2.2.2.13. crossing_t (named structure 34820)

See section 2.2.1.12.1 crossing_t (named structure 34820).

2.2.2.14. regulatory_t (named structure 34821)

See section 2.2.1.14 regulatory_t (named structure 34821).






short_sell_quantity_i int64_t Partial short quantity of a short sell order. For orders that are not short sell orders (exch_order_type_n != 2), must be set to 0, or this sub-structure should not be included at all. For orders that are short sell orders (exch_order_type_n = 2), if set to 0 in amendment, this means ‘no change’ to the previously set short sell quantity.

2.2.2.16. Return Codes

After a successful MO3 transaction, the quantity of the order prior to the change is returned in the transaction parameter of the omniapi_tx_ex(…) function.

Note: Not changing anything at all, as well as attempting to change fields that cannot be amended may be considered a successful operation from the status returned by the function call. However the order will be unchanged.

An MO3 transaction may also be aborted by the trading system, in which case only the reason for the transaction being aborted is returned to the sender.

Cstatus Txstat Description

Successful n Order quantity before the amendment

Transaction aborted GEN_CDC_INT_CLOSED Instrument type is not allowed for this transaction type.

Transaction aborted GEN_MATCH_INV_ALTER Amendment is not allowed with retained priority.

Transaction aborted GEN_MATCH_ORD_NOT_FOU The specified order to be amended was not found.

2.2.3. MO75 Trade Report

A new field called short_sell_quantity_i has been added to the trade_report_1_trans_t (named structure 34021) sub-structure of the MO75 transaction for reporting of short quantity (partial or whole).

2.2.3.1. trade_report_1_trans_t (named structure 34021)

New variables are highlighted in bold.




order_var order_var_t

party party_t This is the declared counter party for the trade.

exchange_info_s char[32] This field is overlaid with asx_exchange_info_t sub structure. The struct is 32 bytes in size, filling the entire field.




give_up_member give_up_member_t The clearing identifier used for the order.

settlement_date_s char[8] The settlement date for the trade. Format: YYYYMMDD.

time_of_agreement_date_s

char[8] The date for which the trade is valid. Format: YYYYMMDD.

time_of_agreement_time_s

char[6] Not used, ignore.

deferred_publication_c uint8_t Not used. Set to zero.


regulatory_data_s char[44] Contains regulatory data that must be supplied for each order and transaction. See section 2.2.1.14.1 ASX specific overlay of regulatory_data_s variable.

short_sell_quantity_i int64_t For short sell trade reports, quantity (partial or whole) that is short. For trade reports that are not short sells (exch_order_type_n != 2), must be set to 0. For trade reports that include short sell quantity (exch_order_type_n = 2), must be greater than 0.

2.2.4. MO76 Two Sided Trade Report

A new field called short_sell_quantity_i has been added to the trd_rpt_cust_t sub-structure of the MO76 transaction for reporting of short quantity (partial or whole).






mp_quantity_i int32_t The quantity of the reported trade.

premium_i int32_t The price of the reported trade. Up to four decimal points can be provided for the price by restating the whole price in the extended_price_q field in the asx_exchange_info_t structure.











ext_t_state_c uint8_t Trade report code. As per section Trade Report Types in the ASX Trade OI Manual.


bid_side trd_rpt_cust_t

See section 2.2.4.1.1 bid_side (trd_rpt_cust_t).

ask_side trd_rpt_cust_t

See section 2.2.4.1.2 ask_side (trd_rpt_cust_t).

2.2.4.1.1. bid_side (trd_rpt_cust_t)



party party_t This is the declared counter party for the bid side of the trade.





exch_order_type_n uint16_t Exchange specific order types. Possible values for the bid side of trade reports:

0 = none.

give_up_member give_up_member_t The clearing identifier used for the bid side of the trade.


short_sell_quantity_i int64_t For short sell trade reports, quantity (partial or whole) that is short. Set to zero for the bid side of trade reports.



2.2.4.1.2. ask_side (trd_rpt_cust_t)



party party_t This is the declared counter party for the ask side of the trade.





exch_order_type_n uint16_t Exchange specific order types. Possible values for the ask side of trade reports:

0 = none. 2 = Short sell.

give_up_member give_up_member_t The clearing identifier used for the ask side of the trade.



2.2.5. MO77 Combination Trade Report

A new field called short_sell_quantity_i has been added to the trd_rpt_cust_t sub-structure of the MO77 transaction for reporting of short quantity (partial or whole).

2.2.5.1. combo_trade_report_trans_t_item_t








premium_i int32_t The price of this leg the combination trade report. Up to four decimal points can be provided for the price by restating the whole price in the extended_price_q field in the asx_exchange_info_t structure.























0 = none.


regulatory_data_s char[44] Contains regulatory data that must be supplied for each order and transaction.



Variable Description See section 2.2.1.14.1 ASX specific overlay of regulatory_data_s variable.

short_sell_quantity_i int64_t For short sell trader reports, quantity (partial or whole) that is short. Set to zero for the bid side of trade reports.
















2.3. Changes to Existing Queries

2.3.1. CQ14 Holding Rectify Trade Query

A new variable called trade_short_sell_quantity_i has been added to the ans_rect_t_item_t sub-structure of the CA14 response to the CQ14 query, returning the reported short quantity (partial or whole).

2.3.1.1. CA14 - ans_rectify_t_item_t

New variables highlighted in bold.


created_date_s char[8] The date when the user cancelled this side of the trade. Format: YYYYMMDD.

created_time_s char[6] The time when the user cancelled this side of the trade. Format: HHMMSS.

asof_date_s char[8] The date the trade was entered. Format: YYYYMMDD.

asof_time_s char[6] The time the trade was entered. Format: HHMMSS.

clearing_date_s char[8] The date of clearing in YYYYMMDD format.

orig_clearing_date_s char[8] The original date of clearing in YYYYMMDD format.

trading_code trading_code_t User who cancelled the trade.

user_code user_code_t User who cancelled the trade.

series series_t The series of the trade.

trade_number_i int32_t Ignore. Currently not used.

rectify_trade_number_i int32_t Indicates the sequence number of the holding rectify trade.

ext_seq_nbr_i int32_t ASX Trade Slip number. Of the format 1JPNNNNNNN 1: always 1 J: last digit of Ordinal date P: Instance number NNNNNNN: Trade number

state_c uint8_t State of the cancellation:

1 = One side of the trade has been cancelled and is awaiting cancellation from the other side.

5 = Both sides of the trade have been cancelled.




bought_or_sold_c uint8_t The side of the trade that is cancelled. Possible values:

1 = Bid. 2 = Ask.

reserved_prop_c uint8_t Ignore. Currently not used.


new_account new_account_t Ignore. Currently not used.

account account_t Client reference from original trade.

trade_quantity_i int64_t Quantity of the trade.

deal_price_i int32_t Price of the trade.

trade_short_sell_quantity_i int64_t Quantity of the trade that is short (partial or whole). Only applies to short sell trades.

2.3.2. CQ110 Dedicated Trade Query

A new sub-structure cl_trade_short_asx_t (named structure 36) can be returned in the CA110 answer to the CQ110 query to return the reported short quantity of short sell trades.

2.3.2.1. CA110 - cl_trade_short_asx_t (named structure 36)




2.3.1. CQ111 Dedicated Historical Trade Query








2.3.2. CQ114 Initial Trade Reports Query






2.3.1. CQ1134 Dedicated Trade Query On Behalf






2.3.2. CQ1135 Dedicated Historical Trade Query On Behalf








2.3.3. MQ78 Unmatched Trade Reports Query

A new field called short_sell_quantity_i has been added to the array of the answer_trd_report_t structure that is returned in the MA78 response to the MQ78 query. It returns the reported short sell quantity.

2.3.3.1. MA78 – answer_trd_report_t_item_t



trading_code trading_code_t This is the actual user that entered this trade report.

transaction_type transaction_type_t The transaction_type that was used to add this trade report.

order_number_u quad_word The order identifier for this part of the trade report.

series series_t The series for which the trade report exists.



sequence_number_u quad_word Sequence number.














2.3.4. MQ92 Own Orders Query and MQ476 Own Orders Query on Behalf

A new sub-structure called short_sell_order_t (named structure 34829) is available in the MA92 and MA476 responses to the MQ92 and MQ476 queries, to return the partial short quantity of a short sell order.

The existing centre_point_order_t sub-structure (named structure 34816) has been modified to include a new variable single_fill_minimum_quantity_c to set the single-fill MAQ flag. The existing filler_2_s field in this sub-structure has been reduced to a filler_1_s field. In addition, new values have been defined for the variable mid_tick_c to cater for ‘dark limit’ orders.

2.3.4.1. MA92 & MA476 - centre_point_order_t (named structure 34816)
















Variable Description fill.

2 = minimum acceptable quantity may be satisfied in multiple fills (aggregated execution).

Must be set to 0 or 2 for Centre Point orders (exch_order_type_n = 64 or 66). Can only be set to 1 for Centre Point Block and Limit Sweep orders that have a minimum_quantity_i > 0.


2.3.4.2. MA92 & MA476 - short_sell_order_t (named structure 34829)



short_sell_quantity_i int64_t Partial short quantity of a short sell order. For orders that are not short sell orders (exch_order_type_n != 2), must be set to 0, or this sub-structure should not be included at all. For orders that are short sell orders (exch_order_type_n = 2), must be equal to or less than the total order quantity and greater than zero.

2.3.5. MQ151 Firm Order Broadcast Query and MQ154 Firm Order Broadcast Query on Behalf

There are two new sub-structures that can be returned in the MA151 and MA154 responses to the MQ151 and MQ154 queries: short_sell_order_t (named structure 34829) and short_sell_order_change_t (named structure 34830).

Additionally, the following sub-structures that can be returned in the MA151 and MA154 have changed:

order_trade_info_asx_t (named structure 34922)

trade_report_1_trans_t (named structure 34021)

trade_report_1_trans_p_t (named structure 34119)

trd_rpt_cust which is returned in trade_report_2_trans_t (named structure 34022)


2.3.5.1. MA151 & MA154 – short_sell_order_t (named structure 34829)



short_sell_quantity_i int64_t Partial short quantity of a short sell order.



2.3.5.1. MA151 & MA154 – short_sell_order_change_t (named structure 34830)




2.3.5.2. MA151 & MA154 – order_trade_info_asx_t (named structure 34922)



opposing_order_number_u quad_word Order number for the opposing order for this trade.

trade_condition_n uint16_t The condition in which a trade was executed. Possible values:

0 = No Condition. 2 = Internal Trade / Crossing. 8 = Buy Write (Combination).

This field acts as a bit mask. The binary AND operator can be used on the above possible values.


2 = Short Sell order. Can also be combined with other exchange specific order types outlined below.

4 = Market Bid order. 8 = Price Stabilization / Green Shoe order. 32 = Undisclosed order. 64 = Centre Point Order. 2048 = Sweep order. 4096 = Centre Point Block order.


opposing_deal_source_c uint8_t Deal Source for the opposing order for this trade.

aggressive_c uint8_t An aggressive order is the order that immediately results in a trade. A passive order does not result in an immediate trade.

0 = Passive. 1 = Aggressive.


1 = Buy. 2 = Sell.





2.3.5.3. MA151 & MA154 – trade_report_1_trans_t (named structure 34021)



transaction_type transaction_type_t Contains the transaction identifier that caused the BO5 to be sent.














short_sell_quantity_i int64_t Quantity of the trade that is short (partial or whole). For trade reports that are not short sells (exch_order_type_n != 2), must be set to 0. For trade reports that include short sell quantity (exch_order_type_n = 2), must be greater than 0.



2.3.5.4. MA151 & MA154 – trade_report_1_trans_p_t (named structure 34119)





trading_code trading_code_t

The participant on whose behalf the transaction was sent.














2.3.5.5. MA151 & MA154 – trade_report_2_trans_t (named structure 34022)








0 = none.



short_sell_quantity_i int64_t Quantity of the trade that is short (partial or whole). Set to zero for the bid side of trade reports.
















2.3.5.6. MA151 & MA154 - centre_point_order_t (named structure 34816)



















2.4. Changes to Existing Broadcasts

2.4.1. BO5 Firm Order Book Broadcast

There are two new sub-structures that can be returned in the BO5 broadcast: short_sell_order_t (named structure 34829) and short_sell_order_change_t (named structure 34830).

Additionally, the following sub-structures that can be returned in the BO5 have changed:

order_trade_info_asx_t (named structure 34922)

trade_report_1_trans_t (named structure 34021)

trade_report_1_trans_p_t (named structure 34119)

trd_rpt_cust which is returned in trade_report_2_trans_t (named structure 34022)






2.4.1.2. short_sell_order_change_t (named structure 34830)




2.4.1.3. order_trade_info_asx_t (named structure 34922)



opposing_order_number_u quad_word Order number for the opposing order for this trade.

trade_condition_n uint16_t The condition in which a trade was executed. Possible values:

0 = No Condition. 2 = Internal Trade / Crossing. 8 = Buy Write (Combination).

This field acts as a bit mask. The binary AND operator can be used on the above possible values.


2 = Short Sell order. Can also be combined with other exchange specific order types outlined below.

4 = Market Bid order. 8 = Price Stabilization / Green Shoe order. 32 = Undisclosed order. 64 = Centre Point Order.



Variable Description 2048 = Sweep order. 4096 = Centre Point Block order.


opposing_deal_source_c uint8_t Deal Source for the opposing order for this trade.

aggressive_c uint8_t An aggressive order is the order that immediately results in a trade. A passive order does not result in an immediate trade.

0 = Passive. 1 = Aggressive.


1 = Buy. 2 = Sell.























2.4.1.5. trade_report_1_trans_p_t (named structure 34119)





trading_code trading_code_t

The participant on whose behalf the transaction was sent.
























0 = none.



short_sell_quantity_i int64_t For short sell trade reports, quantity (partial or whole) that is short. Set to zero for the bid side of trade reports.













Variable Description 0 = not defined. 1 = minimum acceptable quantity must be satisfied in a single




2.4.1. CB15 Dedicated Trade Broadcast

A new sub-structure cl_trade_short_asx_t (named structure 36) can be returned in the CB15 broadcast to return short quantity of short sell trades.

2.4.1.1. cl_trade_short_asx_t (named structure 36)




2.4.2. MI4 – Quote Request with Volume Information

The existing filler_3_s field returned in this broadcast has been restructured to include a new quote_status_c field and a filler_2_s field.

2.4.2.1. quote_request_vol_info_t



broadcast_type broadcast_type_t Contains the following: {‘M’, ‘I’, 4}

series series_t The series for which the broadcast was issued.

user_code user_code_t Specifies the recipient of the message. An item in the list can either be a participant or an individual user.

block_n uint16_t Ignore. Always set to 1.




bid_or_ask_c uint8_t Indicates if the user wants a quote for the bid, ask or both sides of the market. Possible values:

0 = Both. 1 = Bid. 2 = Ask.

quote_status_c uint8_t Indicates if quote request originated from a crossing quote request or a non-crossing quote request. Possible values:

‘C’ (decimal 67) = Crossing quote request. ‘V’ (decimal 86) = Non-crossing quote request. ‘\0’ (decimal zero) = not defined.


mp_quantity_i int32_t Transaction quantity. A value of zero indicates that a quotation is requested without any volume.



2.5. New Broadcasts

2.5.1. BI741 Instrument Status Information Broadcast

This broadcast provides information on the status of an instrument series.

It is sent at the actual session state change.

A trading session state is configurable on market level, instrument type level or instrument class level. An instrument session state is configurable on instrument series level, underlying level or linked underlying level.

The BI741 will send all session state changes at series level. This means for example that when a market moves into a new trading session state, BI741s will be sent for each instrument series traded in that market, with each broadcast being able to accommodate up to 80 series. This also means that only the active session state is disseminated for each series. For example if an instrument series moves into an instrument session state of SUSPEND, a BI741 will be sent for that series. If the market that this series is traded in then moves into the OPEN trading session state, no new BI741 message will be sent for that series because its active session state is still SUSPEND, since SUSPEND has a higher priority than OPEN.

The UQ15 Instrument Status query can be used to recover the information in this broadcast if the user missed it. To retrieve the definitions on actual trading states so as to determine their priority, users need to issue a DQ29 Trading State Query.

2.5.1.1. Broadcast Properties

Function Call omniapi_read_event_ext_ex

Struct Name instrument_status_info_t

Information Type Instrument Class

2.5.1.2. Message Structure

2.5.1.2.1. me_instrument_status_info_t


broadcast_type broadcast_type_t Contains the following: {‘B’, ‘I’, 741}

reserved uint32_t Not used. Ignore.

time_spec time_spec_t Timestamp of session state change. See 2.5.1.2.1.1 time_spec_t.

state_number_n uint16_t

The binary representation of the trading state. Possible values can be obtained through the DQ29 Trading State Query.

items_n uint16_t

Number of items in the following array.

item me_instrument_status_info_item_t[80]

See 2.5.1.2.1.2 me_instrument_status_info_item_t sub-structure below.

2.5.1.2.1.1. time_spec_t


tv_sec uint32_t Elapsed time in seconds since the Epoch (1970-01-01 00:00:00 UTC).




tv_nsec int32_t Elapsed time in nanoseconds since the seconds in tv_sec.

2.5.1.2.1.2. me_instrument_status_info_item_t


series series_t The series affected by this session state transition.



3. Appendix 3 – Draft Changes to the ASX OUCH Manual

3.1. Summary of ASX OUCH Changes

3.1.1. Support for ASX Centre Point and ASX Sweep

A new ‘Ouch Order Type’ field has been added to the following messages, to support entry of Centre Point and Sweep orders (including ‘dark limit’ orders):

Enter Order

Order Accepted

Order Replaced

3.1.2. Deal Source

A new ‘Deal Source’ field has been added to the Order Executed message to disseminate how the order was executed.


The number of decimal places for prices in OUCH will universally be disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface. The size of the Price field remains unchanged. This affects the following messages:

Enter Order

Replace Order

Order Accepted

Order Replaced

Order Executed

3.1.4. Enhanced Support for Real Time Reporting of Short Sell Quantity

A new field ‘Short Sell Quantity’ has been added to the Enter Order message and Replace Order message to report partial short quantity for short sell orders. The Order Accepted and Order Replaced messages also have this new field to show the remaining short sell quantity after the order entry or replacement has been accepted and processed.

A new value ‘C’ is available for the ‘Side’ field in the following messages, to specify a buy order in a Combination where the sell legs are short sells:

Enter Order

Order Accepted

Order Replaced



3.2. Changed Inbound Messages

3.2.1. Enter Order

The Enter Order message is used to enter a new order into the market. The response to a successful Enter Order message is an Order Accepted message. If the order is rejected, the Order Rejected message will be returned.

3.2.1.1. Enter Order Message Details

Changes are in bold.

Name Offset Length Value Notes

Message Type 0 1 ‘O’ Enter Order Message.

Order Token 1 14 Alpha Client-generated order identifier.

Order Book ID 15 4 Numeric Order book identifier (i.e. the instrument identifier). This can be found in the ITCH Order Book Directory message.

Side 19 1 Alpha The type of order being entered. Values: ‘B’ = Buy order ‘S’ = Sell order ‘T’ = Short Sell order ‘C’ = Buy order in a Combination

where the sell legs are short sells.

Quantity 20 8 Numeric Order quantity.

Price 28 4 Price Price of the order (signed integer). Number of decimals is specified in the ITCH Order Book Directory message. The number of decimal places in OUCH will be universally disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface.

Time In Force 32 1 Numeric The time validity of the order. Values: 0 = Day. 3 = Fill and Kill.

4 = Fill or Kill. Open Close 33 1 Numeric Not used by ASX. Set to 0 (zero).

Client/Account 34 10 Alpha Client – a free text field typically used by the participant to indicate the ultimate client making the order.

Customer Info 44 15 Alpha Customer information – a free text field typically used by the participant to indicate the own order identifier.

Exchange Info 59 32 Alpha A free text field used at the participant’s discretion.

Clearing Participant 91 1 Alpha Clearing participant identifier. Possible values for a participant can be retrieved from the first character of the clearing_customer_s field in the ASX Trade Open Interface Clearing Participant query DQ55.

Crossing Key 92 4 Numeric Crossing key for Unintentional Crossing Prevention. When two orders from the same participant with the same crossing key trade out,



Name Offset Length Value Notes the resulting trade is treated like a booked transaction and not published to the market as a trade. 0 (zero) means “no Unintentional Crossing Prevention” for this order.

Regulatory Data 96 44 Alpha Regulatory data field used to facilitate the capture and transmission of regulatory data from ASX Trade Participants to ASIC. The ASX specific structures presented in section 3.2.1.1.1 ASX Specific Overlay for Regulatory Data are required to be applied as an overlay to the field in the specified character position to support the transmission of the ASIC defined content to ASIC. All unused Regulatory Data character positions are to be padded by spaces (ASCII 0x20).

Ouch Order Type 140 1 Alpha Order Type. Values: Y = Limit order. N = Centre Point Order (mid-point

only). o Price > 0 defines a Centre

Point Limit order. o Price = 0 defines a Centre

Point Market order. D = Centre Point Order (‘dark limit’

order with mid-tick flag enabled). S = Sweep order.

o Price > 0 defines a Limit Sweep order.

o Price = 0 defines a Market-to-Limit Sweep order.

P = Sweep order (dual posted, i.e. mid-tick flag is enabled).

Short Sell Quantity 141 8 Numeric For short sell orders, the portion of the quantity that is short. Must be set to zero for orders that are not short sell orders (Side = ‘B’ or ‘S’). Must be greater than zero for short sell orders (Side = ‘T’ or ‘C’).

3.2.1.1.1. ASX Specific Overlay for Regulatory Data


Capacity of Participant

96 1 Alpha Capacity of the participant. Values: ‘A’ = Agency ‘P’ = Principal ‘M’ = Mixed Agency and Principal

Directed Wholesale 97 1 Alpha Directed wholesale indicator for agency orders and transactions. Values:

‘Y’ = True ‘N’ = False (default)




Execution Venue 98 4 Alpha Execution venue. Not required on order messages, therefore not applicable for ASX OUCH. To be padded by spaces (ASCII 0x20).

Intermediary ID 102 10 Alpha Intermediary identifier for agency orders and transactions.

Order Origin 112 20 Alpha Origin or order information for agency orders and transactions.

Filler 132 8 Alpha Ignore, not currently used. To be padded by spaces (ASCII 0x20).

3.2.2. Replace Order

The Replace Order message is used to amend an existing order that was entered with ASX OUCH. The response to a successful Replace Order message is an Order Replaced message. If the amendment is rejected, the Order Rejected message will be returned.

There are two order tokens in the Replace Order message:

1. The Existing Order Token is used to reference the order to be replaced. This order token can be the original token used when the order was entered, or the replacement order token from any prior amendments.

2. Replacement Order Token is the new order token to be assigned to the order if the amendment is successful. The Replacement Order Token must not be a token previously used in Enter Order and Replace Order messages that day.

If the order amendment is successful, the Order Replaced message received as the response contains the current state of the order. See below for details about amending order quantity.

The following fields of an order may be amended in ASX OUCH:

Quantity

Price

Client/Account

Customer Info

Exchange Info

Regulatory Data

Short Sell Quantity

All fields not to be changed should be sent as follows in the Replace Order message:

Numeric order parameters should be set to 0 (zero) to leave them unchanged.

String (alpha) fields should either carry the original value or the first byte set to integer null and all other bytes set to space to leave them unchanged.

Note: Since the system assumes ‘no change’ for numeric fields set to 0, it is not possible to amend the order price or quantity to 0.



3.2.2.1. Amending Order Quantity

In the ASX OUCH Replace Order message, the Quantity field contains the desired total quantity of the order (open quantity plus any executed quantity).

Example:

1. An order with a quantity of 1,000 is entered with OUCH. An Order Accepted message with Quantity = 1,000 is returned.

2. A partial execution for 200 occurs. A quantity of 800 is left in the order book. An Executed Order message with Traded Quantity = 200 is returned.

3. The user wishes to increase the open quantity (quantity in the order book) to 2,000. To do this the user sends an Order Replace message with Quantity = 2,200. A Replaced Order message with Quantity = 2,000 is returned.

4. In this case of this amendment, the desired total quantity of the order was 2,200 (2,000 open quantity and 200 executed quantity).

3.2.2.2. Losing Order Book Priority

Any change to the price of an order or increasing the quantity will result in the order losing its priority in the market.

3.2.2.3. Replace Order Message Details



Message Type 0 1 ‘U’ Replace Order Message.

Existing Order Token 1 14 Alpha The original order token used when the order was entered, or the replacement order token from any prior amendments.

Replacement Order Token

15 14 Alpha The new order token to be assigned to the order if the amendment is successful. The Replacement Order Token must not be a token previously used in Enter Order and Replace Order messages that day.

Quantity 29 8 Numeric Desired total quantity of the order (open quantity plus any executed quantity).


Open Close 41 1 Numeric Not used by ASX. Set to 0 (zero).




Regulatory Data 99 44 Alpha Regulatory data field used to facilitate the capture and transmission of regulatory data from ASX



Name Offset Length Value Notes Trade Participants to ASIC. The ASX specific structures presented in section 3.2.1.1.1 ASX Specific Overlay for Regulatory Data are required to be applied as an overlay to the field in the specified character position to support the transmission of the ASIC defined content to ASIC. All unused Regulatory Data character positions are to be padded by spaces (ASCII 0x20).

Short Sell Quantity 143 8 Numeric For short sell orders, the portion of the quantity that is short. Must be set to zero for orders that are not short sell orders (Side = ‘B’ or ‘S’). Must be greater than zero for short sell orders (Side = ‘T’ or ‘C’).

3.3. Changed Outbound Messages

3.3.1. Order Accepted

The Order Accepted message acknowledges the receipt and acceptance of a valid Enter Order message. The data fields from the Enter Order message are echoed back in the Order Accepted message, but some of the accepted values may differ from the entered values for some fields, depending on the state of the order. If the order for example traded immediately at entry, the Order Accepted message will show the state of the order after the trade.

Order Accepted messages are guaranteed to come before any Order Executed message or Order Cancelled message for an order. When the Order State field in the Order Accepted message is ‘Not on book’ (2), no quantity of the order is remaining in the order book.

3.3.1.1. Order Accepted Message Details



Message Type 0 1 ‘A’ Order Accepted Message.

Timestamp – Nanoseconds

1 8 Timestamp UNIX time (number of nanoseconds since 1970-01-01 00:00:00 UTC).





Order ID 28 8 Numeric The identifier assigned to the new order by ASX Trade. Note that this number is only unique per order book and side.

Quantity 36 8 Numeric Order quantity that is currently open in the book.





Time In Force 48 1 Numeric The time validity of the order. Values: 0 = Day. 3 = Fill and Kill.

4 = Fill or Kill. Open Close 49 1 Numeric Not used by ASX. Set to 0 (zero).


Order State 60 1 Numeric Current state of the order. Values: 1 = On book. 2 = Not on book.




Crossing Key 109 4 Numeric Crossing key for Unintentional Crossing Prevention. When two orders from the same participant with the same crossing key trade out, the resulting trade is treated like a booked transaction and not published to the market as a trade. 0 (zero) means “no Unintentional Crossing Prevention” for this order.

Regulatory Data 113 44 Alpha Regulatory data field used to facilitate the capture and transmission of regulatory data from ASX Trade Participants to ASIC. The ASX specific structures presented in section 3.2.1.1.1 ASX Specific Overlay for Regulatory Data are required to be applied as an overlay to the field in the specified character position to support the transmission of the ASIC defined content to ASIC. All unused Regulatory Data character positions are to be padded by spaces (ASCII 0x20).












Short Sell Quantity 158 8 Numeric For short sell orders, the remaining portion of the quantity that is short.

3.3.2. Order Replaced

The Order Replaced message acknowledges the receipt and acceptance of a valid Replace Order message.

The data fields from the Replace Order message are echoed back in the Order Replaced message, but some of the accepted values may differ from the entered values for some fields, depending on the state of the order.

Like the Order Accepted message, the Order Replaced message uses the Order State field to show that an amendment was accepted and no quantity of the order is remaining in the order book through the value ‘Not on book’ (2).

If an OUCH order is amended using another protocol (e.g. ASX Trade Open Interface), the ownership of that order is considered as changed to that protocol / session. The OUCH client who had originally entered the order will receive an Order Replaced message with Order State set to 99 (OUCH order ownership lost). The OUCH client will not receive any further order updates after this. The OUCH client can still cancel this order using the Cancel By Order ID message.

3.3.2.1. Order Replaced Message Details



Message Type 0 1 ‘U’ Order Replaced Message.



Replacement Order Token

9 14 Alpha The replacement order token that assigned to the order.

Previous Existing Order Token

23 14 Alpha The original order token used when the order was entered, or the replacement order token from the prior amendments.







Order ID 42 8 Numeric The identifier assigned to the order by ASX Trade. Note that this number is only unique per order book and side.

Quantity 50 8 Numeric Order quantity that is currently open in the book.


Time In Force 62 1 Numeric The time validity of the order. Values: 0 = Day. 3 = Fill and Kill. 4 = Fill or Kill.

Open Close 63 1 Numeric Not used by ASX. Set to 0 (zero).


Order State 74 1 Numeric Current state of the order. Values: 1 = On book. 2 = Not on book.




Crossing Key 123 4 Numeric Crossing key for Unintentional Crossing Prevention. When two orders from the same participant with the same crossing key trade out, the resulting trade is treated like a booked transaction and not published to the market as a trade. 0 (zero) means “no Unintentional Crossing Prevention” for this order.

Regulatory Data 127 44 Alpha Regulatory data field used to facilitate the capture and transmission of regulatory data from ASX



Name Offset Length Value Notes Trade Participants to ASIC. The ASX specific structures presented in section 3.2.1.1.1 ASX Specific Overlay for Regulatory Data are required to be applied as an overlay to the field in the specified character position to support the transmission of the ASIC defined content to ASIC. All unused Regulatory Data character positions are to be padded by spaces (ASCII 0x20).









Short Sell Quantity 172 8 Numeric For short sell orders, the remaining portion of the quantity that is short.

3.3.3. Order Executed

The Order Executed message is returned when an order partially or fully trades.

When a Tailor Made Combination (TMC) order that was entered with ASX OUCH trades out, an Order Executed message is received for the TMC instrument itself, as well as Order Executed messages for the individual instrument legs.

3.3.3.1. Order Executed Message Details



Message Type 0 1 ‘E’ Order Executed Message.





Traded Quantity 27 8 Numeric Quantity that traded.




Traded Price 35 4 Price Price that the order traded at (signed integer). Number of decimals is specified in the ITCH Order Book Directory message. The number of decimal places in OUCH will be universally disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface.

Match ID 39 12 Numeric Assigned by ASX Trade to each match executed.

Deal Source 51 2 Numeric The deal source is a numeric code that gives information about how the execution took place. The code matches the deal_source_c variable disseminated in the ASX Trade Open Interface: Applicable values for OUCH:

1 = Single series to single series auto-matched during continuous trading.

20 = Single series to single series auto-matched during an auction.

36 = Tailor made combination match. 43 = Combination matched outright

legs. 44 = Booked transaction resulting

from Unintentional Crossing Prevention.

45 = Booked transaction resulting from Unintentional Crossing Prevention during an auction.

46 = Centre Point Preference Matched trade.

47 = Centre Point trade. 48 = Centre Point booked transaction

resulting from Unintentional Crossing Prevention.



4. Appendix 4 –Draft Changes to the ASX ITCH and GLIMPSE Manual

4.1. Precision of Price Field in ITCH

The number of decimal places for prices in ITCH will universally be disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface. The size of the Price fields remains unchanged.

The Order Book Directory and Combination Order Book Directory messages will disseminate ‘2’ in the ‘Number of Decimals’ in Price field.

The following messages and fields are affected by this change:

Message Message Name Price fields that will be disseminated with 2 decimal places

L Tick Size Table Entry Tick Size Price From Price To

A Add Order – No Participant ID Price

F Add Order – With Participant ID Price

C Order Executed with Price Trade Price

U Order Replace Price

P Trade Message Trade Price

Z Equilibrium Price Update Equilibrium Price Best Bid Price Best Ask Price

4.2. Precision of Price Field in GLIMPSE

The number of decimal places for prices in GLIMPSE will universally be disseminated with 2 decimal places, regardless of the configured number of decimal places for the instrument in the ASX Trade Open Interface. The size of the Price fields remains unchanged.

The following messages and fields are affected by this change:

Message Message Name Price fields that will be disseminated with 2 decimal places

A Add Order – No Participant ID Price

F Add Order – With Participant ID Price



5. Appendix 5 –Draft Changes to the ASX Trade FIX Protocol for Order Management

5.1. Summary of FIX Protocol Changes

There are changes to the ASX Trade FIX Protocol for Order Management for:

Enhancements to Centre Point

o ‘Dark Limit’ Orders

o Centre Point Block and Sweep orders optional Single-fill Minimum Acceptable Quantity (MAQ)

Enhanced Support for Real Time Reporting of Short Sale Quantity

Note:

There are no changes to MarketPoint FIX (FIX Market Data).

5.2. Dark Limit Orders and Single-fill MAQ

The ASX Trade FIX Protocol will be enhanced to support entry of Centre Point and Centre Point Block ‘Dark Limit’ orders. With this enhancement, participants will have the option of entering Centre Point and Centre Point Block Limit orders for execution at either ‘mid-point only’ (existing) or ‘dark limit’ (new option).

To enable the use of the new ‘dark limit’ option a new value ‘4’ (Market peg) for Tag 1094 (PegPriceType) as detailed below will be introduced and mapped to the new ASX Trade mid_tick_c values (in the centre_point_order_t structure; named structure 34816) to specify that the order is valid for ‘dark limit’ execution.

To support the use of the new single-fill MAQ option for Centre Point Block and Sweep orders, a new value ‘ j ’ (Single execution requested for block trade) for Tag 18 (ExecInst) as detailed below is to be introduced and mapped to the new ASX Trade single_fill_minimum_quantity_c variable (introduced in the centre_point_order_t structure; named structure 34816) to set the single-fill MAQ flag to ‘on’.

The new values will be applied in conjunction with other relevant tags/ values used to identify Centre Point, Centre Point Block and Sweep orders in the following messages as per existing functionality:

New Order Single (D)

Order Cancel/Replace Request (G)

Execution Report (8)

Tag Field Name Format Description ASX Trade Open Interface Reference

1094 PegPriceType Int Defines the type of peg: 2 = Mid-price peg (existing

mid-point execution). 4 = Market peg (new value

specifies that order is valid for dark execution at permitted prices in addition to mid-point at equal to or better than the specified limit price) .

1094 =2: mid_tick_c = 0 1094 =2: mid_tick_c = 1 1094 =2: mid_tick_c = 2 1094 =4: mid_tick_c = 3 1094 =4: mid_tick_c = 4




18 ExecInst MultipleValueString

Instructions for order handling: M = Mid-price peg. f = Inter-market sweep. j = Single execution

requested for MAQ.3

18 = j: single_fill_minimum_quantity_c = 1 (Yes: MAQ single fill only)

In addition, the following existing tags can be used with the enhanced ‘Dark Limit’ and Single-fill MAQ functionalities:

Tag Field Name Format Description

40 OrderType Char Order type: P = Pegged. 2 = Limit.

18 ExecInst MultipleValueString Instructions for order handling: M = Mid-price peg. f = Inter-market sweep. j = Single execution requested for MAQ.

110 MinQty Qty Minimum Quantity of an order to be executed (MAQ).

111 MaxFloor Qty Minimum Quantity within an order to be shown (Shown Quantity of a Limit Sweep Iceberg Order).

1094 PegPriceType Int Defines the type of peg: 2 = Mid-price peg (existing mid-point

execution). 4 = Market peg (new value specifies that

order is valid for dark execution at permitted prices in addition to mid-point at equal to or better than the specified limit price).

388 DiscretionInst Char Code to identify the price a DiscretionOffsetValue (389) is related to:

0 = Related to displayed price. Used to specify mid-tick flag.

842 DiscretionOffsetType Int Type of Discretion Offset value: 0 = Price. 2 = Ticks.

Used to specify mid-tick flag.

843 DiscretionLimitType Int Type of Discretion Limit: 0 = Or better – price improvement allowed.

Used to specify mid-tick flag.

3 Note: For Sweep orders with single-fill MAQ, 18 (ExecInst) = f (Inter-market Sweep) space j (Single execution for block).



Tag Field Name Format Description

389 DiscretionOffsetValue PriceOffset Amount (signed) added to the ‘related to’ price specified via DiscretionInst (388), in the context of DiscretionOffsetType (842). Used to specify mid-tick flag.

5.3. Enhanced Support for Real Time Reporting of Short Sale Quantity

The ASX Trade FIX Protocol will be enhanced to support the specification of the quantity portion of an order or trade report that is short, either whole or partial and inclusion of resulting traded short quantity in returned trade details.

To support the reporting of short quantity, two new custom tags as detailed in the table below will be introduced and mapped to the corresponding new short quantity variables that have been added in ASX Trade for use in conjunction with the existing short sell flag (exch_order_type_n =2).

The new tags will be applied in conjunction with other relevant tags/ values used to identify orders and trade reports and to return the traded short quantity in the following messages as per existing functionality:

New Order Single (D)

Order Cancel/Replace Request (G)

Execution Report (8)

Trade Capture Report (AE)


New custom tag - TBC

ShortSellQty Int Partial short quantity of a short sell order. Only applies to short sell orders or trade reports with tag 54 (Side) = 5.

short_sell_order (34829) short_sell_quantity_i

trade_report_1_trans_t (34021)

short_sell_quantity_i trade_report_1_trans_p_t (34119)

short_sell_quantity_i trade_report_2_trans_t (34022)

bid_side (trd_rpt_cust) short_sell_quantity_i

(bid side set to zero) ask_side ( trd_rpt_cust) short_sell_quantity_i

combo_trade_report_trans_t _item_t bid_side (trd_rpt_cust) short_sell_quantity_i





New custom tag - TBC

ShortSellTradedQty Int Quantity of the trade that is short (partial or whole). Only returned for short sell trades with tag 54 (Side) = 5.

Trade Report trade_report_1_trans_t (34021)

short_sell_quantity_i trade_report_1_trans_p_t (34119)

short_sell_quantity_i

trade_report_2_trans_t (34022) bid_side (trd_rpt_cust) short_sell_quantity_i


Trade (auto matched) order_trade_info_asx_t (34922)

trade_short_sell_quantity_i cl_trade_short_asx_t (36)

trade_short_sell_quantity_i



Disclaimer

This document provides general information only and may be subject to change at any time without notice. ASX Limited (ABN 98 008 624 691) and its related bodies corporate (“ASX”) makes no representation or warranty with respect to the accuracy, reliability or completeness of this information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way, including by way of negligence, from or in connection with any information provided or omitted, or from anyone acting or refraining to act in reliance on this information. The information in this document is not a substitute for any relevant operating rules, and in the event of any inconsistency between this document and the operating rules, the operating rules prevail to the extent of the inconsistency.

Trademarks

The trademarks listed below are trademarks of ASX. Where a mark is indicated as registered it is registered in Australia and may also be registered in other countries. Nothing contained in this document should be construed as being any licence or right to use of any trademark contained within the document.

ASX®, ASX Trade®, ASX TradeMatch®, Centre Point Block®, Centre Point Order®

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