Following the publication of the UBS MTF factsheet on the forthcoming new Periodic Auction, we would like to follow-up with information on the technical changes that will be required to participate in the UBS MTF Periodic Auction.
An implementation date for our Conformance and Production environments will be communicated in a near future. However, in order to facilitate mandatory testing for the new Period Auction Order Book, we have attached a marked-up and clean version of the revised Rules of Engagement with this Trading Notice.
We would draw your attention to the following significant changes in particular:
- New tag to target the new Order Book (tag 9303): P for Periodic Auction
- New value in tag 30 LastMkt to identify the Periodic Auction: XUMP
- New Time in Force in tag 59 (Good for Auction)
- New FIX value in tag 7772 for Members that wish to settle manually internalised trades
- Pegged orders in the dark order book will be limited to mid-point price book only. The Bid and Offer order books will be removed from our dark pool when the Periodic Auction is launched;
- A new "No CCP" functionality at Member level will allow our Members to suppress post trading flow to their CCP for internalised trades only. To use this functionality please contact the MTF Supervisors.
- MAQ remaining quantity: when the remaining quantity of a partially filled order falls below the MinQty set by a Member, the MAQ will be set to the Leave quantity (instead of 1 share).
In line with MiFID pre-trade transparency requirements, the UBS MTF Periodic Auction market data will be available to interested parties. The auction price and indicative auction volume will be disseminated immediately. A new UBS MTF Market Data feed specification guide is also attached to this Trading Notice.
Once a date for deployment in our Conformance environment is published, we recommend all Members to contact our Deployment & Testing team to coordinate testing at dl-dat-uk@ubs.com.
Once we have finalised the go-live date for the Periodic Auction we will inform our Members accordingly together with consequential changes to the UBS MTF Rulebook and User Guide.
UBS MTF FIX Interface Rules of Engagement
