Direct Execution
UBS ATS
Rules of Engagement
December 17, 2014
UBS ATS Rules of Engagement 2014 09 23 v4 alter.docx
Table of Contents
1
Introduction _____________________________________________________________________________ 1
2
Overview _______________________________________________________________________________ 1
2.1
Hours of Operation _________________________________________________________________ 1
2.2
Eligible Stocks _____________________________________________________________________ 1
3
Order Types _____________________________________________________________________________ 1
4
Order Entry _____________________________________________________________________________ 1
5
6
7
4.1
Minimum Quantity _________________________________________________________________ 1
4.2
Maximum Quantity _________________________________________________________________ 1
4.3
Routing Restrictions _________________________________________________________________ 1
4.4
Crossing Restrictions ________________________________________________________________ 1
4.5
Notification of Crossing Restrictions ___________________________________________________ 1
4.6
Short Sale Orders ___________________________________________________________________ 1
4.7
Availability ________________________________________________________________________ 2
4.8
Cancel on Disconnect _______________________________________________________________ 2
Execution in the UBS ATS _________________________________________________________________ 2
5.1
Priority ___________________________________________________________________________ 2
5.2
Trade Execution ____________________________________________________________________ 2
5.3
Pricing Methodology ________________________________________________________________ 2
5.4
Erroneous Transactions ______________________________________________________________ 2
UBS ATS—FIX Messages __________________________________________________________________ 2
6.1
UBS ATS—Midpoint Pegged Order ____________________________________________________ 2
6.2
UBS ATS – Primary Pegged Order _____________________________________________________ 3
6.3
UBS ATS—Limit Order _______________________________________________________________ 4
6.4
UBS ATS—Market Pegged Order ______________________________________________________ 5
6.5
UBS ATS—Execution Message ________________________________________________________ 5
6.6
UBS ATS—Busted Execution Message __________________________________________________ 6
UBS ATS—UBP Messages _________________________________________________________________ 6
7.1
UBS ATS—UBP Midpoint Pegged Order ________________________________________________ 6
7.2
UBS ATS—UBP Primary Pegged Order __________________________________________________ 7
7.3
UBS ATS—UBP Limit Order ___________________________________________________________ 8
Table of Contents
7.4
UBS ATS—UBP Order Replace Message ________________________________________________ 9
7.5
UBS ATS—UBP Order Accepted Message _______________________________________________ 9
7.6
UBS ATS—UBP Order Replaced Message ______________________________________________ 10
7.7
UBS ATS—UBP Execution Message ___________________________________________________ 11
7.7.1
Execution Liquidity Flags ____________________________________________________________ 11
7.8
UBS ATS—UBP Order Cancel Message ________________________________________________ 11
7.9
UBS ATS—UBP Order Canceled Message ______________________________________________ 11
7.9.1
Order Cancelled Reason Codes ______________________________________________________ 11
7.10
UBS ATS—UBP Order Cancel Reject Message __________________________________________ 12
7.11
UBS ATS—UBP Order Reject Message _________________________________________________ 12
7.11.1 Order Reject Reason Codes _________________________________________________________ 12
7.12
UBS ATS—UBP Execution Broken Trade Message _______________________________________ 12
8
Regulatory Reporting ___________________________________________________________________ 13
9
Clearing ________________________________________________________________________________ 13
10
Contact Info ____________________________________________________________________________ 13
11
Examples_______________________________________________________________________________ 13
12
Recent Change History __________________________________________________________________ 13
1
Introduction
This document is intended to be a technical supplement to the UBS ATS Form ATS filing, available on
www.ubs.com/ATS.
2
Overview
The UBS ATS facilitates interaction among orders received from a broad range of clients and market participants,
including institutional, retail, DMA, UBS trading desks, as well as order flow from broker-dealers, market makers
and active traders (sometimes referred to as "HFT"). Subscriber and Sponsored Participant orders that are placed in
the UBS ATS will have an opportunity to interact with UBS BD’s US equity order flow – liquidity that includes client
agency order flow, including Direct Market Access (“DMA”) and algorithmic trading, and principal order flow from
UBS BD trading desks. In addition, Subscriber orders will interact with orders from other Subscribers.
Orders routed to and received by the UBS ATS are not routed out to any other market center.
2.1
Hours of Operation
Please see Section 2.1 in Exhibit F of our Form ATS filing for details on Hours of Operation.
2.2
Eligible Stocks
All NMS Stocks, unless otherwise specified.
UBS ATS publishes a monthly list of symbols that it will not trade. Orders sent for symbols on this list will be
rejected.
Please email OL-UBSATS-SUPPORT@ubs.com with a request to be added to this email distribution list.
UBS ATS will accept, but not execute, production test symbols such as ZVZZT.
3
Order Types
Please see Section 2.2 in Exhibit F of our Form ATS filing for details on Order Types.
4
Order Entry
4.1
Minimum Quantity
Orders may be routed to the UBS ATS with a minimum quantity value specified. UBS ATS will only cross where at
least this number of shares is available from a single eligible contra side order.
4.2
Maximum Quantity
The UBS ATS will enforce a maximum order size equal to 50% of the stock’s ADV, per order, subject to change. All
orders are subject to risk checks in compliance with SEC Rule 15c3-5.
4.3
Routing Restrictions
Please see Section 3.1 in Exhibit F of our Form ATS filing for details on Routing Restrictions.
4.4
Crossing Restrictions
Please see Section 3.3 in Exhibit F of our Form ATS filing for details on Crossing Restrictions.
4.5
Notification of Crossing Restrictions
Please see Section 3.4 in Exhibit F of our Form ATS filing for details on Notice of Crossing Restrictions.
4.6
Short Sale Orders
Please see Section 3.5 in Exhibit F of our Form ATS filing for details on Short Sale Orders.
1
4.7
Availability
UBS reserves the right to temporarily disconnect Subscribers due to technology issues either with the UBS ATS, a
Subscriber, or within the UBS BD. The UBS ATS support team will seek to provide notice as soon as reasonably
practicable, but in some cases the notice may not be provided until after disconnection.
4.8
Cancel on Disconnect
Functionality to automatically cancel all open orders associated with a given FIX or UBP port is available on request.
This functionality will activate when the client inbound TCP session to the proxy is detected to be closed.
5
Execution in the UBS ATS
5.1
Priority
Please see Section 4.1 in Exhibit F of our Form ATS filing for details on Priority.
5.2
Trade Execution
Please see Section 4.3 in Exhibit F of our Form ATS filing for details on Trade Execution.
An optional service to send a "drop copy" of executions, via another port, is available to Subscribers on request.
5.3
Pricing Methodology
Please see Section 4.3.4 in Exhibit F of our Form ATS filing for details on Pricing Methodology.
5.4
Erroneous Transactions
The UBS ATS will observe and enforce clearly erroneous determinations made by responsible SROs and will seek to
promptly break trades as required.
6
UBS ATS—FIX Messages
All UBS ATS Order types are available as both IOC and Resident TimeInForce.
6.1
UBS ATS—Midpoint Pegged Order
UBS ATS Midpoint Pegged Orders are pegged to the mid-point of the NBBO. A limit price may optionally
be provided.
FIX
Tag
Field Name
Required
Comment
40
54
44
59
18
847
9004
OrdType
Side
Price
TimeInForce
ExecInst
DMA Tactic
Crossing Restrictions
Y
Y
N
Y
Y
Y
Y
9007
RoundLotOnly
N
110
MinQty
N
P (Pegged)
1 (Buy), 2 (Sell),5 (Sell Short), 6 (Sell Short Exempt)
Absolute price constraint.
0 (Day), 3(IOC)
M (Mid-Price Peg)
57008 (Indicates the UBS ATS)
1 - No restrictions
3 - Do not execute against UBS principal orders
4 - Do not execute against own orders (e.g. do not cross
two orders sent by the same source client)
5- Do not execute against UBS principal orders or own
orders
Y (Yes) – indicates round lot fills only – Not Supported in
current release of FIX. Is Supported via UBP.
Minimum quantity for each execution on the order
2
FIX
Tag
Field Name
Required
Comment
5301
PeggedMidpointMode
N
5303
MinQuantityLeavesMode
N
439
MPID
N
5700
LocateBroker
N
How the crossing engine treats the midpoint (between the
bid & ask) for a pegged order.
1 - FillToLimit: Fill to the limit price, meaning it could be
away from the midpoint (default)
2 - FillToMidpoint: Fill only to the Midpoint
If tag 110 (MinQty) is present, this tag specifies how the
order is handled when the leaves quantity of an order
becomes smaller than MinQty. Possible values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves <
MinQty
3 - Remainder of order is cancelled if leaves < MinQty. An
unsolicited cancel ack (“OUT”) message is sent to the
originator of the order and the order is removed from the
book.
Nasdaq assigned MPID for the routing Broker Dealer.
Required for FINRA or Nasdaq member Broker Dealer
Subscribers.
Required on Short Sales of 'hard to borrow' securities from
non-BD Subscribers.
6.2
UBS ATS—Primary Pegged Order
UBS ATS Primary Pegged Orders are pegged to the NBBO. Buy orders are pegged to the best bid; Sell orders are
pegged to the best offer. A limit price may optionally be provided.
FIX
Tag
Field Name
Required
Comment
40
54
44
59
18
847
9004
OrdType
Side
Price
TimeInForce
ExecInst
DMA Tactic
Crossing Restrictions
Y
Y
N
Y
Y
Y
Y
9007
RoundLotOnly
N
110
MinQty
N
P (Pegged)
1 (Buy), 2 (Sell),5 (Sell Short), 6 (Sell Short Exempt)
Absolute price constraint.
0 (Day), 3(IOC)
R (Primary Peg)
57008 (Indicates the UBS ATS)
1 - No restrictions
3 - Do not execute against UBS principal orders
4 - Do not execute against own orders (e.g. do not cross
two orders sent by the same source client)
5- Do not execute against UBS principal orders or own
orders
Y (Yes) – indicates round lot fills only – Not Supported in
current release of FIX. Is Supported via UBP.
Minimum quantity for each execution on the order
3
FIX
Tag
Field Name
Required
Comment
5303
MinQuantityLeavesMode
N
439
MPID
N
5700
LocateBroker
N
If tag 110 (MinQty) is present, this tag specifies how the
order is handled when the leaves quantity of an order
becomes smaller than MinQty. Possible values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves <
MinQty
3 - Remainder of order is cancelled if leaves < MinQty. An
unsolicited cancel ack (“OUT”) message is sent to the
originator of the order and the order is removed from the
book.
Nasdaq assigned MPID for the routing Broker Dealer.
Required for FINRA or Nasdaq member Broker Dealer
Subscribers.
Required on Short Sales of 'hard to borrow' securities from
non-BD Subscribers.
6.3
UBS ATS—Limit Order
UBS ATS Limit Orders are entered into the ATS order book at the price that the Subscriber will indicate in tag 44.
See section 5.1 for priority of marketable limits.
It should be noted that UBS ATS treats market pegged orders the same as marketable limit orders.
FIX
Tag
Field Name
Required
Comment
40
54
44
59
847
9004
OrdType
Side
Price
TimeInForce
DMA Tactic
Crossing Restrictions
Y
Y
Y
Y
Y
Y
9007
RoundLotOnly
N
110
5303
MinQty
MinQuantityLeavesMode
N
N
439
MPID
N
5700
LocateBroker
N
2 (Limit)
1 (Buy), 2 (Sell),5 (Sell Short), 6 (Sell Short Exempt)
Limit Price of order.
0 (Day), 3(IOC)
57008 (Indicates the UBS ATS)
1 - No restrictions
3 - Do not execute against UBS principal orders
4 - Do not execute against own orders (e.g. do not cross two
orders sent by the same source client)
5- Do not execute against UBS principal orders or own orders
Y (Yes) – indicates round lot fills only – Not Supported in
current release of FIX. Is Supported via UBP.
Minimum quantity for each execution on the order
If tag 110 (MinQty) is present, this tag specifies how the
order is handled when the leaves quantity of an order
becomes smaller than MinQty. Possible values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves < MinQty
3 - Remainder of order is cancelled if leaves < MinQty. A
unsolicited cancel ack (“OUT”) message is sent to the originator
of the order and the order is removed from the book.
Nasdaq assigned MPID for the routing Broker Dealer.
Required for FINRA or Nasdaq member Broker Dealer
Subscribers.
Required on Short Sales of 'hard to borrow' securities from
non-BD Subscribers.
4
6.4
UBS ATS—Market Pegged Order
UBS ATS Market Pegged Orders are pegged to the NBBO. Buy orders are pegged to the Best Offer; Sell orders are
pegged to the Best Bid. A Limit Price may optionally be provided. Note: A Market Peg Order with a fully marketable
Limit Price, and the equivalent priced Limit Order, are functionally equivalent since all full spread orders are treated
equally for price priority.
FIX
Tag
Field Name
Required
Comment
40
54
44
59
18
847
9004
OrdType
Side
Price
TimeInForce
ExecInst
DMA Tactic
Crossing Restrictions
Y
Y
N
Y
Y
Y
Y
9007
RoundLotOnly
N
110
5303
MinQty
MinQuantityLeavesMode
N
N
439
MPID
N
5700
LocateBroker
N
P (Pegged)
1 (Buy), 2 (Sell),5 (Sell Short), 6 (Sell Short Exempt)
Absolute price constraint.
0 (Day), 3(IOC)
P (Market Peg)
57008 (Indicates the UBS ATS)
1 - No restrictions
3 - Do not execute against UBS principal orders
4 - Do not execute against own orders (e.g. do not cross
two orders sent by the same source client)
5- Do not execute against UBS principal orders or own
orders
Y (Yes) – indicates round lot fills only – Not Supported in
current release of FIX. Is Supported via UBP.
Minimum quantity for each execution on the order
If tag 110 (MinQty) is present, this tag specifies how the order is
handled when the leaves quantity of an order becomes smaller
than MinQty. Possible values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves < MinQty
3 - Remainder of order is cancelled if leaves < MinQty. A
unsolicited cancel ack (“OUT”) message is sent to the originator
of the order and the order is removed from the book.
Nasdaq assigned MPID for the routing Broker Dealer.
Required for FINRA or Nasdaq member Broker Dealer
Subscribers.
Required on Short Sales of 'hard to borrow' securities from
non-BD Subscribers.
6.5
UBS ATS—Execution Message
The following tags comprise the execution messages that the ATS will send back to originating Subscribers
and systems:
FIX
Tag
Field Name
Required
Comment
29
30
375
76
851
LastCapacity
LastMkt
ContraBroker
ExecBroker
LastLiquidityInd
Y
Y
Y
Y
Y
2(Cross as Agent), 4(Principal), 5(Riskless)
65 (UBS ATS). Will send MIC code "UBSA" if requested.
UBSS
UBSS
1 (Adding Liquidity), 2 (Removing Liquidity)
5
6.6
UBS ATS—Busted Execution Message
UBS ATS may send a bust on an execution, even if the order is already filled or cancelled. A busted execution will
never cause a closed order to re-open. Busts are generally only used to comply with industry wide Clearly
Erroneous rulings.
FIX
Tag
Field Name
Required
Comment
20
150
19
17
ExecTransType
ExecType
ExecRefId
ExecId
Y
Y
Y
Y
"1" (Cancelled Execution)
"2" (Fill)
ExecId of the execution being busted.
ExecId of the bust execution message
7
UBS ATS—UBP Messages
The UBS ATS supports an additional format for sending messages, using a binary, fixed position format ('UBP').
The UBP Protocol is only available to Broker Dealer Subscribers.
The session level protocol for UBP is available in a separate document.
Fields marked as reserved or ignored must be filled with spaces if it is an alpha field or with 0 if it is an integer field.
See descriptions of each order type in the FIX message section.
7.1
UBS ATS—UBP Midpoint Pegged Order
Field Name
Offset
Length
Value
Comment
Type
Order Token
Buy/Sell Indicator
Shares
Stock
Price
0
1
15
16
20
26
1
14
1
4
6
4
"o"
Alpha
Alpha
Integer
Alpha
Integer
30
34
38
39
40
41
45
46
4
4
1
1
1
4
1
1
Integer
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Alpha
47
1 Alpha
UBS ATS Enter Order Message type
Unique order ID for an account during the day
B(Buy), S(Sell), T(Sell Short), E(Sell Short Exempt)
Total number of shares
Stock symbol (Comstock format)
Absolute price constraint of the order, 4 implied
decimals ($46.28 = 462800). Use the value
2147483647 for no price constraint.
0(IOC), 99998(Market Hours)
MPID
Reserved for future use.
A(Agency), P(Principal), R(Riskless)
Ignored
Minimum quantity for each execution on the order
Ignored
1: fillToLimit: Fill to the limit price, meaning it could be
away from the midpoint (default)
2: fillToMidpoint: Fill only to the Midpoint
Reserved for future use
Time in Force
Firm
Reserved
Capacity
Reserved
Minimum Quantity
Cross Type
PegLimitConstraintMode
Reserved
6
Field Name
Offset
Length
Value
MinQuantityLeavesMode
48
1 Alpha
Reserved
Cross Style
Peg Type
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
49
54
55
56
57
61
62
66
5
1
1
1
4
1
4
1
7.2
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Integer
Alpha
Comment
If position 41 (MinQty) is populated,, this field specifies
how the order is handled when the leaves quantity of
an order becomes smaller than the MinQty. Possible
values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves <
MinQty
3 - Remainder of order is cancelled if leaves < MinQty.
An unsolicited cancel ack (“OUT”) message is sent to
the originator of the order and the order is removed
from the book.
Reserved for internal use.
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
M(Midpoint)
Reserved for future use.
Reserved for future use.
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
UBS ATS—UBP Primary Pegged Order
Field Name
Offset
Length
Value
Comment
Type
Order Token
Buy/Sell Indicator
Shares
Stock
Price
0
1
15
16
20
26
1
14
1
4
6
4
"o"
Alpha
Alpha
Integer
Alpha
Integer
4
4
1
1
1
4
1
1
1
Integer
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Alpha
Alpha
UBS ATS Enter Order Message type
Unique order ID for an account during the day
B(Buy), S(Sell), T(Sell Short), E(Sell Short Exempt)
Total number of shares
Stock symbol (Comstock format)
Absolute price constraint of the order, 4 implied
decimals ($46.28 = 462800). Use the value
2147483647 for no price constraint.
0(IOC), 99998(Market Hours)
MPID
Reserved for future use.
A(Agency), P(Principal), R(Riskless)
Ignored
Minimum quantity for each execution on the order
Ignored
Reserved for future use.
Reserved for future use
Time in Force
Firm
Reserved
Capacity
Reserved
Minimum Quantity
Cross Type
Reserved
Reserved
30
34
38
39
40
41
45
46
47
7
Field Name
Offset
Length
Value
MinQuantityLeavesMode
48
1 Alpha
Reserved
Cross Style
Peg Type
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
49
54
55
56
57
61
62
66
5
1
1
1
4
1
4
1
7.3
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Integer
Alpha
Comment
If position 41 (MinQty) is populated,, this field specifies
how the order is handled when the leaves quantity of
an order becomes smaller than the MinQty. Possible
values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves <
MinQty
3 - Remainder of order is cancelled if leaves < MinQty.
An unsolicited cancel ack (“OUT”) message is sent to
the originator of the order and the order is removed
from the book.
Reserved for internal use.
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
R(Primary)
Reserved for future use.
Reserved for future use.
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
UBS ATS—UBP Limit Order
Field Name
Offset
Length
Value
Comment
Type
Order Token
Buy/Sell Indicator
Shares
Stock
Price
0
1
15
16
20
26
1
14
1
4
6
4
"o"
Alpha
Alpha
Integer
Alpha
Integer
Time in Force
Firm
Reserved
Capacity
Reserved
Minimum Quantity
Cross Type
Reserved
Reserved
30
34
38
39
40
41
45
46
47
4
4
1
1
1
4
1
1
1
Integer
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Alpha
Alpha
UBS ATS Enter Order Message type
Unique order ID for an account during the day
B(Buy), S(Sell), T(Sell Short), E(Sell Short Exempt)
Total number of shares
Stock symbol (Comstock format)
Limit price of the order, 4 implied decimals. Use the
value 2147483647 for no price constraint.
0(IOC), 99998(Market Hours)
MPID
Reserved for future use.
A(Agency), P(Principal), R(Riskless)
Ignored
Minimum quantity for each execution on the order
Ignored
Ignored for Limit Order
Reserved for future use
8
Field Name
Offset
Length
Value
Comment
MinQuantityLeavesMode
48
1
Alpha
Reserved
Cross Style
Peg Type
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
49
54
55
56
57
61
62
66
5
1
1
1
4
1
4
1
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Integer
Alpha
If position 41 (MinQty) is populated,, this field specifies
how the order is handled when the leaves quantity of
an order becomes smaller than the MinQty. Possible
values are:
1 - No MinQty in affect when leaves < MinQty (default)
2 - MinQty becomes the leaves quantity when leaves <
MinQty
3 - Remainder of order is cancelled if leaves < MinQty.
An unsolicited cancel ack (“OUT”) message is sent to
the originator of the order and the order is removed
from the book.
Reserved for internal use
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
N(No Peg)
Reserved for future use.
Reserved for future use.
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
7.4
UBS ATS—UBP Order Replace Message
Field Name
Offset
Length
Value
Type
Existing Order Token
Replacement Order
Token
Shares
Price
0
1
15
29
33
4 Integer
4 Integer
Time in Force
Reserved
Reserved
Minimum Quantity
Cross Style
Peg Type
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
37
41
42
43
47
48
49
50
54
55
59
4
1
1
4
1
1
1
4
1
4
1
7.5
1 "u"
14 Alpha
14 Alpha
Integer
Alpha
Alpha
Integer
Alpha
Alpha
Alpha
Integer
Alpha
Integer
Alpha
Comment
UBS ATS Replace Order Message type
Current unique order ID for an account during the day
New unique order ID for an account during the day
Total number of shares
Price of the order, 4 implied decimals ($46.28 =
462800). Use the value 2147483647 for a Market
Order.
0(IOC), 99998(Market Hours)
Reserved for future use.
Ignored
Minimum quantity
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
M(Midpoint), N(No Peg), R(Primary)
Reserved for future use.
Reserved for future use.
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
UBS ATS—UBP Order Accepted Message
This message is sent by the server when a valid ATS enter order was processed.
Field Name
Type
Timestamp
Order Token
Offset
0
1
9
Length
Value
1 "a"
8 Integer
14 Alpha
Comment
UBS ATS Accepted Message type
Timestamp of nanoseconds past midnight in New York
Unique order ID for an account during the day
9
Field Name
Offset
Length
Buy/Sell Indicator
Shares
Stock
Price
23
24
28
34
Time in Force
Firm
Reserved
Order Reference Number
Capacity
Reserved
Minimum Quantity
Cross Type
Order State
Reserved
Cross Style
Peg Type
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
38
42
46
47
55
56
57
61
62
63
71
72
73
74
78
79
83
7.6
Value
Comment
1
4
6
4
Alpha
Integer
Alpha
Integer
4
4
1
8
1
1
4
1
1
8
1
1
1
4
1
4
1
Integer
Alpha
Alpha
Integer
Alpha
Alpha
Integer
Alpha
Alpha
Alpha
Alpha
Alpha
Alpha
Integer
Alpha
Integer
Alpha
B(Buy), S(Sell), T(Sell Short), E(Sell Short Exempt)
Total number of shares
Stock symbol
Price of the order, 4 implied decimals ($46.28 =
462800). 2147483647(Market Order)
0(IOC), 99998(Market Hours)
MPID
Reserved for future use.
The day-unique reference number assigned by the ATS
A(Agency), P(Principal), R(Riskless)
Ignored
Minimum quantity
Reserved for future use.
L(Order Live), D(Order Dead)
Reserved for future use.
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
M(Midpoint), N(No Peg), R(Primary)
Reserved for future use
Reserved for future use
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
UBS ATS—UBP Order Replaced Message
Field Name
Offset
0
1
9
Length
Value
Type
Timestamp
Replacement Order
Token
Buy/Sell Indicator
Shares
Stock
Price
1 "u"
8 Integer
14 Alpha
23
24
28
34
1
4
6
4
Alpha
Integer
Alpha
Integer
Time in Force
Firm
Reserved
Order Reference Number
Capacity
Reserved
Minimum Quantity
Cross Type
Order State
Previous Order Token
Reserved
Cross Style
Peg Type
38
42
46
47
55
56
57
61
62
63
77
85
86
4
4
1
8
1
1
4
1
1
14
8
1
1
Integer
Alpha
Alpha
Integer
Alpha
Alpha
Integer
Alpha
Alpha
Alpha
Alpha
Alpha
Alpha
Comment
UBS ATS Replaced Message type
Timestamp of nanoseconds past midnight in New York
Unique order ID for an account during the day
B(Buy), S(Sell), T(Sell Short), E(Sell Short Exempt)
Total number of shares
Stock symbol
Price of the order, 4 implied decimals.
2147483647(Market Order)
0(IOC), 99998(Market Hours)
MPID
Reserved for future use.
The day-unique reference number assigned by the ATS
A(Agency), P(Principal), R(Riskless)
Reserved for future use.
Minimum quantity
Reserved for future use.
L(Order Live), D(Order Dead)
The Order Token of the order that was replaced.
Reserved for future use.
1(All), 3(Agency), 4(No Self), 5(Agency and No Self)
M(Midpoint), N(No Peg), R(Primary)
10
Field Name
Reserved
Reserved
Reserved
Reserved
RoundLotOnly
7.7
Offset
Length
87
88
92
93
97
1
4
1
4
1
Value
Comment
Alpha
Integer
Alpha
Integer
Alpha
Reserved for future use
Reserved for future use
Reserved for future use.
Reserved for future use.
Y (Yes) – indicates round lot fills only, N (No)
UBS ATS—UBP Execution Message
Field Name
Offset
Type
Order Token
Executed Shares
Execution Price
Liquidity Flag
MatchId
7.7.1
Length
0
1
Value
1 "E"
14 Alpha
23
27
31
32
4
4
1
8
Integer
Integer
Alpha
long
Comment
UBS ATS Execution Message type
The Order Token as was originally
transmitted in an Enter Order Message
Incremental number of shares executed
Execution Price. 4 implied Decimals.
See Liquidity Flag values table
Unique identifier of the execution
Execution Liquidity Flags
Code
Meaning
Comment
A
Added
Execution on a resident order posted on the UBS ATS book
R
Removed
Execution on an order that was not posted on the UBS ATS book.
7.8
UBS ATS—UBP Order Cancel Message
Field Name
Offset
Type
Order Token
Shares
7.9
0
1
15
Length
Value
1 "X"
14 Alpha
4 Integer
UBS ATS Cancel Order Message type
The Order Token as was originally transmitted in an
Enter Order Message
Must be 0 (UBS ATS does not support quantity reduce
with this message type, and does not hold priority in
queue for any replace message. Use Replace message
to modify order quantity.
UBS ATS—UBP Order Canceled Message
Field Name
Offset
Type
Timestamp
Order Token
Length
Value
0
1
9
1 "C"
8 Integer
14 Alpha
Cancelled Shares
23
4 Integer
Reason
27
1 Alpha
7.9.1
Comment
Comment
UBS ATS Cancelled Order Message type
Timestamp of nanoseconds past midnight in New York
The Order Token as was originally
transmitted in an Enter Order Message
The number of shares that were remaining on the
order when the cancel was accepted.
Cancelled Reason Code
Order Cancelled Reason Codes
Code
Meaning
Comment
U
User Requested Cancel
Cancelled Message is in response to a Cancel Message.
I
IOC
Cancel on the unexecuted portion of an order with an IOC TimeInForce.
11
Code
Meaning
Comment
T
Timeout
Order has expired.
S
Supervisory
Order was cancelled by UBS operations.
D
Regulatory Restriction
Order was cancelled due to a regulatory restriction.
K
Other
All other cancels.
7.10
UBS ATS—UBP Order Cancel Reject Message
Field Name
Offset
Type
Timestamp
Order Token
7.11
Value
1 "I"
8 Integer
14 Alpha
Comment
UBS ATS Cancel Order Reject Message type
Timestamp of nanoseconds past midnight in New York
The Order Token as was originally transmitted in an
Enter Order Message
UBS ATS—UBP Order Reject Message
Field Name
Offset
Type
Timestamp
Order Token
Reason
7.11.1
Length
0
1
9
Length
Value
0
1
9
1 "J"
8 Integer
14 Alpha
23
1 Alpha
Comment
UBS ATS Rejected Order Message type
Timestamp of nanoseconds past midnight in New York
The Order Token as was originally
transmitted in an Enter Order Message
See Reject Reason Code Table
Order Reject Reason Codes
Code
Meaning
Comment
H
Halted
Short Sale Penalty box rejects
Z
SharesLimit
Share Quantity is > 999999
S
InvalidStock
Invalid or Unknown instrument
L
ClearingTypeNotAuthorised
Invalid or not authorized MPID
X
InvalidPrice
Price is invalid (< 0 or sub-penny)
N
InvalidMinimumQuantity
MinQty is invalid
K
Other
All other rejects, including Instrument not yet open, and Instrument
is on the UBS ATS Disabled Symbol List.
7.12
UBS ATS—UBP Execution Broken Trade Message
Field Name
Type
Timestamp
Order Token
Offset
Length
Value
0
1
9
1 "B"
8 Integer
14 Alpha
Match Number
23
8 Integer
Reason
31
1 Alpha
Comment
UBS ATS Broken Trade Message type
Timestamp of nanoseconds past midnight in New York
The Order Token as was originally
transmitted in an Enter Order Message
Match Number as transmitted in the Executed
Order Message being broken.
Reason the trade was broken. Will always be "S"
(Supervisory)
12
8
Regulatory Reporting
Once a crossing opportunity has been identified, the UBS ATS will execute and report the trade to a recognized
trade reporting facility of a self-regulatory organization.
The books and records of the activity of the UBS ATS will be created and maintained by UBS BD under the MPID
‘UBSS’ in compliance with Rules 17a-3 and 17a-4 of the Securities Exchange Act of 1934 and Rules 302 and 303 of
Regulation ATS.
For OATS and OTS reporting orders sent to UBS ATS, please use the following information, for linkage:
Item
Related To
Clearing Number
Executing Broker
Sent to Firm MPID
Destination Code
Recipient's Market Participant Symbol
Recipient Type
Last Market (UBS ATS)
MIC Code
DTCC
ACT
OATS
OATS
OTS
OTS
FIX
FIX
9
Value
642
UBSS
UBSS
M
8-22651
M
65
UBSA
Clearing
The UBS ATS is a system operated by the UBS BD. UBS BD is a self-clearing broker dealer, a member of DTCC and
has the operational capacity to clear and settle all of the trades executed by the UBS ATS. The UBS BD maintains
controls to ensure compliance with the regulatory requirements for the clearance and settlement of trades in
equities securities.
10
Contact Info
If you have any questions or queries, please contact OL-UBSATS-SUPPORT@ubs.com , or contact UBS ATS Support
team at (203) 719-1750.
11
Examples
See the UBS ATS Form ATS Exhibit F for examples of crossing scenarios.
12
Recent Change History
Date
Revision
Change made by:
Synopsis of Change
LULD, Document Market Peg, UBP reject messages.
Conditional Orders clarifications, Clarified use of
compliance related fields (MPID, Locate). Added
examples. Renamed binary order entry protocol to UBP.
Updated Diagram, cleanup labelling of unused fields
in UBP.
Removed sections redundant to Exhibit F filing (now
available on UBS website). Enhanced documentation for
UBP messages.
October 2013
1.7
George Wolf
July 2014
1.8
George Wolf
September 2014
1.9
George Wolf
13
UBS ATS Rules of Engagement 2014 09 23 v4 alter.docx
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