05 July, 2022
Working Group Update 7/5/2022
05 July, 2022
- Front Office Committee. The FIF Front Office Committee reviewed applicable updates and notices from the SEC, FINRA, FINRA CAT and the equity and option exchanges. The spotlight presenter for the meeting was Chris Sparrow, who discussed Adverse Selection in Volatile Markets.
- Data and Technology Committee. The FIF Data and Technology Committee reviewed capacity, latency and volume data for the prior month for the equity, options, currency, crypto and futures markets. The spotlight presenter for the meeting was Stefanos Barzinas of the NYSE, who discussed the surge in off hours trading volume.
- Cybersecurity Working Group. Teresa Walsh, Global Head of Intelligence at FS-ISAC, discussed the NATO Cooperative Cyber Defence Centre of Excellence (CCDCOE) Exercise that took place on April 19-22, 2022. This cyber defense exercise was specific to the financial services industry.
- Rule 606 Working Group. The FIF Rule 606 Working Group discussed questions from FIF members on reporting partial cancels, Rule 606(a) reporting for look-through scenarios, attaching Excel rate schedules, and classifying IOC and other orders as held or not held.
- FIF CAT Transaction Reporting Working Group. The CAT Transaction Reporting Working Group discussed issues and questions from FIF members relating to limit price adjustment of a GTC limit order on the ex-dividend date, reporting Route events when the only fields that change are the routedOrderID and eventTimestamp, reporting Time Managed Orders and reporting structured quotes, including responses to RFQs. The Working Group discussed feedback from FINRA CAT relating to reporting of the DIR handlingInstructions value.
- FIF CAT CAIS Working Group. The CAIS Working Group discussed issues and questions from FIF members relating to an account acquisition scenario where the account holder has not consented and the account is subject to auto-liquidations, CAIS reconciliation between target and acquiring firms, and a clearing firm maintaining the same FDID for two correspondent firms when there is an account transfer from one correspondent firm to another. The Working Group discussed a recent update from FINRA CAT relating to the Full CAIS live date and the interim reporting stages. The Working Group continued its discussion of the various CAIS end reason fields.
Eduard Kotlyar