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OATS Reporting Technical Specifications · PDF file OATS REPORTING TECHNICAL SPECIFICATIONS COVER MEMO September 29, 2003 iii To obtain the latest information or answers to questions

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  • OATS Reporting Technical Specifications

    September 29, 2003

    2003 NASD, Inc. All rights reserved.

  • September 29, 2003 i

    Memo

    NASD, Inc. Order Audit Trail System 9513 Key West Avenue Rockville, MD 20850-3389 800-321-NASD

    To: Senior Management

    Legal and Compliance OATS Primary Contact OATS Technical Contact Operations Systems/Technology Trading

    From: Paul J. McKenney Team Leader, OATS Compliance, Market Regulation Date: September 29, 2003 Re: OATS Reporting Technical Specifications, September 29, 2003

    Enclosed is the latest edition of the OATS Reporting Technical Specifications, dated July 28, 2003. This document was originally published March 9, 1998, for member firms and third parties developing systems to report to the Order Audit Trail SystemSM (OATSSM). Updated editions were published June 30, 1998, November 30, 1998, May 4, 1999, July 29, 1999, June 29, 2000, October 9, 2000, March 7, 2001, October 29, 2001, April 8, 2002, July 15, 2002, October 14, 2002, December 16, 2002, April 14, 2003, and July 28, 2003 to provide clarification regarding the requirements.

    This document is available on the OATS Web Pages. All updates to this and other documentation regarding OATS will be posted to the OATS Web Pages available via the NASD Regulation Web Site at www.nasdr.com. They will not be distributed via mail, except upon specific request.

    All changes and clarifications made since the July 28, 2003 edition are incorporated in this version. A list of the major changes and clarifications and their corresponding sections within this document appears on pages ii-iii. There are additional minor formatting and grammar changes that are not detailed in this list. (NOTE: The page numbering throughout this edition may have changed from the July 28, 2003 edition.) The changes described in this edition will be in effect upon implementation of the next OATS release currently scheduled for September 29, 2003, unless otherwise indicated.

  • OATS REPORTING TECHNICAL SPECIFICATIONS COVER MEMO

    September 29, 2003 ii

    Section Change

    3.1.1 Replaced MCIWorldCom references with SAVVIS and added a contact number for SAVVIS.

    3.6 Replaced MCIWorldCom reference with SAVVIS.

  • OATS REPORTING TECHNICAL SPECIFICATIONS COVER MEMO

    September 29, 2003 iii

    To obtain the latest information or answers to questions about OATS and the OATS Reporting Technical Specifications, contact NASD Business and Technology Support Services. Support Services will provide firms and third parties with necessary information to comply with the Rules and to develop, test, and implement their order-reporting applications. NASD Business Support is available Monday through Friday from 8:00 a.m. until 6:00 p.m., Eastern Time. NASD Technical Support is available Monday through Saturday from 8:00 a.m. to 8:00 a.m., Eastern Time. Please provide your Broker/Dealer Number (if appropriate), name, title, firm’s name, and a phone number when contacting Support Services via phone, fax, or e-mail. General information is maintained on the OATS Web Pages at www.nasdr.com.

    Technical Support Business Support

    Telephone: 800-321-NASD 800-321-NASD Fax: 888-345-6275 240-386-4841 E-mail: [email protected] [email protected] WWW: http://www.nasdr.com http://www.nasdr.com

  • OATS REPORTING TECHNICAL SPECIFICATIONS CONTENTS

    September 29, 2003 iv

    TABLE OF CONTENTS

    1. INTRODUCTION...............................................................................................................1-1 1.1 Definitions...................................................................................................................... 1-2 1.2 Rule Overview............................................................................................................... 1-4 1.3 Technical Requirements.................................................................................................. 1-8

    2. CLOCK SYNCHRONIZATION .......................................................................................2-1

    3. SYSTEM ACCESS...........................................................................................................3-1 3.1 Network Options........................................................................................................... 3-1

    3.1.1 OATS Network..................................................................................................... 3-2 3.1.2 Internet Access ...................................................................................................... 3-2

    3.2 Transport Options.......................................................................................................... 3-2 3.2.1 Access Methods .................................................................................................... 3-4 3.2.2 IP Addresses for FTP and CONNECT:Direct Transmission................................... 3-7

    3.3 Access to OATS Information......................................................................................... 3-8 3.3.1 OATS Feedback ................................................................................................... 3-8 3.3.2 OATS Administrative Information........................................................................... 3-9

    3.4 Security ......................................................................................................................... 3-9 3.4.1 FTP and CONNECT:Direct .................................................................................. 3-9 3.4.2 E-mail.................................................................................................................. 3-10 3.4.3 Web Interface...................................................................................................... 3-10 3.4.4 Internet File Transfer (IFT)................................................................................... 3-10

    3.5 Data Flow Examples.................................................................................................... 3-11 3.6 Registration Process..................................................................................................... 3-15

    4. ORDER REPORTING SCENARIOS.............................................................................4-1 4.1 Overview....................................................................................................................... 4-1

    4.1.1 Reporting Order Events to OATS .......................................................................... 4-1 4.1.2 Uniquely Identifying an Order................................................................................. 4-2 4.1.3 Order Receipt Time ............................................................................................... 4-2 4.1.4 Order Routing........................................................................................................ 4-3 4.1.5 Modifying an Order................................................................................................ 4-6 4.1.6 Trade Reporting in ACT or TRACS....................................................................... 4-7 4.1.7 Order Reporting in Nasdaq Execution Systems....................................................... 4-8

    4.2 Order Reports ............................................................................................................... 4-9 4.2.1 New Order Report ................................................................................................ 4-9 4.2.2 Routing Report..................................................................................................... 4-11 4.2.3 Desk Report ........................................................................................................ 4-13 4.2.4 Execution Report ................................................................................................. 4-13

  • OATS REPORTING TECHNICAL SPECIFICATIONS CONTENTS

    September 29, 2003 v

    4.2.5 Cancel Report...................................................................................................... 4-14 4.2.6 Cancel/Replace Report ........................................................................................ 4-15 4.2.7 Combined Order/Execution Report ...................................................................... 4-17 4.2.8 Combined Order/Route Report ............................................................................ 4-19

    4.3 Order Reporting Scenarios........................................................................................... 4-21 4.3.1 Order Execution................................................................................................... 4-22 4.3.2 Order Routing and Subsequent Execution............................................................. 4-24 4.3.3 Split Order Routing and Subsequent Execution..................................................... 4-30 4.3.4 Order Execution via a Give-Up Relationship ......................................................... 4-35 4.3.5 Order Execution via a Nasdaq Automated Execution System................................ 4-39 4.3.6 Order Routing to a Non-Member Firm................................................................. 4-42 4.3.7 Order Execution via an ECN................................................................................ 4-44 4.3.8 Order Execution Using Nasdaq Execution Systems to Preferen

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