Electronic Blue Sheets (EBS) - Overview


Transaction Fee Pilot Working Group - Overview

The SEC approved a proposed rule to conduct a Transaction Fee Pilot for NMS Securities designed to study the effects that transaction-based fees and rebates may have on and the effects that changes to those fees and rebates may have on order routing behavior, execution quality, and markit quality.  The SEC announced a 60 day comment period in which interested industry participants may raise concerns.  FIF is currently holding working group calls to discuss the content of the rule proposal and comments.  To view the text of the rule, please follow the link here.

TRACE - Overview

Effective Monday, July 10, 2017, FINRA member firms will be required to report transactions executed in Treasury securities (Treasuries) to TRACE.

The Treasury transaction message formats closely resemble the current TRACE Corporate format, with some differences, most notably:

  • The Trading Market Indicator, and existing P1 and S1 designations, will not be supported.
  •  A When Issued Indicator has been added.
  • The Trade Price field has been expanded to support 11 decimal places.
  • A Price Type has been added to designate the transaction price format.
  • The Execution Time has been expanded to support microseconds, and,
  • Modifier 4 will contain new values.


FIF Member Submitted Questions

As a service to FIF members, the Program Office has assisted firms seeking information from regulators or their FIF peers to support regulatory reporting or to address certain compliance, operational, or technical challenges. The Program Office will pose members’ questions to the regulators or other FIF members anonymously, to obtain clarification on rules and requirements, or methods employed by other practitioners. Please note the following is provided on a best efforts basis. 

While the current questions and answers are focused on Electronic Blue Sheets (EBS), this section will be expanded to include other topics as needed. 

Electronic Blue Sheets (EBS) FIF Q&A


Consolidated Audit Trail (CAT) - Q&A

Retail Execution Quality

FIF has launched a program to provide retail investors with more visibility into execution quality measures. Through the FIF program, broker-dealers are voluntarily publishing standardized statistics that measure the quality of trade executions on retail investor orders in exchange-listed stocks. Several FIF member firms have agreed to produce a report each quarter that is meaningful and understandable to retail investors.  All FIF broker-dealer members are invited to participate.

Currently, the SEC requires executing broker-dealers to make “605/606 Reports” available to investors; however, these reports do not provide the level of information that allows a retail investor to gauge how well a broker-dealer typically fills a retail order when compared to the “national best bid or offer” (NBBO) at the time the order was received by the executing broker-dealer. In order to better provide investors with execution quality measures, broker-dealer firms participating in this FIF initiative are providing more robust statistics listed below. And, to aid in retail investors’ understanding of the statistics included in these reports, a definition of terms and a set of Frequently Asked Questions to explain the meaning of each metric is also provided.

Participating firms are publishing the following metrics of their retail trade executions in exchange-listed stocks, grouped by various order size ranges:

  • Average size of orders, in shares, within each range
  • Percent of shares in market orders that were executed at current market quote or better
  • Percent of shares in market orders that received price improvement
  • Savings received on an average order as a result of price improvement
  • Average execution speed, in seconds, between order routing and trade execution

The FIF template for Retail Execution Quality Statistics are available here

The FIF template for Retail Execution Quality Statistics from the Wholesale Market Maker’s Perspective is available here.   

For additional information, contact fifinfo@fif.com.

SEC Rule 606 - Q&A

Tick Size Pilot - Overview

Tick Size Pilot Program was initiated as part of the JOBS (Jumpstart Our Business Startups) Act, passed by Congress and signed into law in 2012, which is intended to jumpstart capital-raising for small and emerging companies.

On May 6, 2015, the SEC issued an order approving a plan under the National Market System (NMS) for the National Securities Exchanges and FINRA to implement a Tick Size Pilot Program, which is a data-driven test to evaluate whether or not widening the tick size for securities of smaller capitalization companies would positively impact trading, liquidity, and market quality of those securities. The Pilot is scheduled to last for two years.

The Tick Size Pilot will include stocks of companies with $3 billion or less in market capitalization, an average daily trading volume of one million shares or less, and a volume weighted average price of at least $2.00 for every trading day.

The pilot will consist of a control group and three test groups, with each test group having approximately 400 securities.

  • The control group will be quoted and traded at their current tick size increment.
  • The first test group will be quoted in nickel increments, but will continue to trade at their current price increment.
  • The second test group will be both quoted and traded in nickel increments, but would allow certain exemptions for midpoint executions, retail investor executions, and negotiated trades.
  • The third test group, in addition to the requirements of the second test group, will also be subject to a "trade-at" requirement (which is similar to a trade-through requirement, but more complicated). There’s also an exemption for block size orders.

The impact of the changes and differences in quoting and trading requirements on the securities in each test group included in the Pilot will be measured against data collected during a Pre-Pilot Data Collection period, which began on April 4, 2016. The Pilot itself started on October 3, 2016. For the six-month period from April 4th to October 3rd, all trading centers and market makers collected and submmited certain data to their DEA. FINRA is facilitating data collection and reporting for trading centers with additional fields required for OATS reporting and market makers’ participation statistics and profitability calculations with a new daily transaction file. The data collected will be analyzed by FINRA and the SROs to measure market quality, market maker participation and profitability. The SROs must submit their initial tick pilot assessment to the SEC eighteen months after the plan begins, based on data generated during the first twelve months of operation.

The Plan calls for the listing exchanges to publish the securities involved in the Tick Size Pilot on their websites; however, FINRA will provide a consolidated list and a file of daily changes. The securities that were included in the Pre-Pilot data collection and reporting phase were published after the close of the market on March 4, 2016, and the official list of Pilot securities were published September 3, 2016, 30 days prior to the start of the Pilot.  

To obtain technical specs, FAQs, and other information regarding the Tick Size Pilot, please see FINRA’s website http://www.finra.org/industry/tick-size-pilot-program.

All FIF members are welcome to join the FIF Tick Size Working Group, which meets every Thursday at 1PM (ET). For more information contact fifinfo@fif.com.

FINRA CARDS - Overview

This Working Group addresses FINRA's Comprehensive Automated Risk Data System (CARDS) proposal. CARDS will allow FINRA to collect account information on an automated and regular basis, as well as account activity and security identification information that a firm maintains as part of its books and records. 


See Regulatory Notice 13-42 and Comment Letters here.