01-10-2020 13:47
Please be advised of the following update to Market Notice 077/2020 (published on 17th of September 2020).
The technical release scheduled for deployment on the evening of Thursday 1st will go ahead as planned and be effective at the start of business on Friday 2nd of October. However, due to client request, we will initially leave the externally visible changes configured off in the system.
The change to distinguish the pre-open and post-close trading phases in the HybridBook feed will now be enabled for the start of business on Monday 12th October.
The change to enable off-book, on exchange negotiated trades will be delayed until further notice. A further communication will be sent to confirm to clients when this is to be re-scheduled.
The instrument list changes to support negotiated trades (e.g. DVC Suspension data) will be rolled out as planned, ready for the start of business Friday 2nd October, but no data will be populated until the negotiated trade change has been enabled.
Furthermore, the introduction of the ability to report off book, on exchange trades, will now only be applicable to liquid (NLIQ) instruments, as designated by ESMA. The ITCH Market Data specification for our HybridBook feed to incorporate the trade type “N” denoting an off-book, on exchange trade report for liquid instruments has now been updated. See sections 5.8.1 of the latest specification for details, along with the MMT mappings in Appendix A. This is a non-technical clarification change to the specification and no further changes have been applied.
Please contact Market Control if you have any questions.