|
It is expected in the fourth quarter of this year, the American Stock Exchange will begin migrating equities to its new Auction and Electronic Market Integration (AEMI) trading platform. In concert with this migration, a number of enhancements to order routing and processing will become effective. Equity products that remain on existing Amex legacy systems during the rollout period will not be impacted.
The migration to the AEMI platform and the equities included in the initial migration are contingent upon Securities and Exchange Commission (SEC) approval. If it is decided that Reg NMS is to be delayed, equities migrated to AEMI will continue to be traded within the guidelines of the current market structure. Subsequent to SEC approval all member firms will be notified of the migration schedule.
More detailed descriptions of changes to post-trade reports and files resulting from the migration to AEMI will be made available in the near future.
Intermarket Sweep Order (ISO Identifier)
In compliance with SEC Rule 611, the Amex will accept Intermarket Sweep Orders. Each participating order must contain the qualifier "ISO" in field 2 of Line 1A. For example, "AM ISO" will direct orders to AEMI for execution on the Amex. It is to be noted that the only acceptable "Time-In-Force" for an ISO is Immediate-or-Cancel.
End-of-Day "Nothing Done" Messages
As equities are migrated to AEMI, automatic end-of-day "Nothing Done" admin messages will be discontinued. "Request Status" admins sent intra day will be delivered to AEMI for a response. During the migration period, orders for equity symbols remaining on the "old" platform will continue to receive this end-of-day message.
Sub-Penny Handling
In accordance with the sub-penny pricing rule mandated by the SEC, orders will be accepted and trades disseminated in sub-penny increments of up to four positions to the right of the decimal point ($.0001) for equity symbols migrated to AEMI.
Orders for symbols that have not migrated to AEMI will be processed as they are today - in pennies. Orders entered with a price more than two (2) digits to the right of the decimal point will be truncated if the extra digits are all zeros. If the extra digits contain a significant number (1 through 9) the order is rejected back to the entering firm with an appropriate message.
Unique Order Identifiers
Members and Member Firms entering orders for equities that have migrated to AEMI must enter each order with a unique Branch Code and Sequence Number per order entry mnemonic -- daily. If an order entry firm mnemonic repeats a Branch Code and Sequence Number during the trading day for an equity that has migrated to AEMI, the order with the repeated Branch Code and Sequence number will be rejected. For AEMI equities, over the course of a trading day, you may only repeat a Branch Code and Sequence number if the entering firm mnemonic is different.
Branch Codes currently restricted by CMS will continue to be restricted.
Non-Regular Way Orders
For equities migrated to AEMI, the terms "Cash" and "Next Day" will only be accepted if the issue is trading "Cash" or "Next Day" exclusively. "Seller's Option" will not be an applicable term for equities that migrate to AEMI. Orders with invalid settlement terms will be rejected back to the entering firm.
Booth Routing
As stated in the Amex Notice dated March 3, 2006, BARS algorithmic routing is being discontinued. Unless a valid booth ID is entered on Line 1A of an order, the order will be automatically routed to the trading post for processing.
Orders entered by a Floor Broker with a Branch Code of ZZZ will continue to be reported back to the booth upon execution.
CMS "Drop Copy" Service
CMS "Drop Copy" service for orders entered on the trading floor through BARS will be discontinued. Clearing firms will continue to have available copies of BARS executions through MQ outbound messaging service. Questions regarding this service are to be directed to Peter Fetiak at 212/ 306-1472.
CMS "Drop Copy" service for orders entered off floor is not affected. This change is applicable only to orders entered on the trading floor through BARS.
Crossing Session (After-Hours Trading)
As equity issues are migrated to the new AEMI platform, their participation in the after-hours crossing session will be discontinued. On the evening prior to migration to AEMI, all orders on file for a migrating issue with a time in force of GTX will be automatically deleted.
Bust / Bust-Re-instate Messages
The processing of Bust and Bust/Reinstate performed by the Amex Service Desk for corrections will change for equities on AEMI and for orders entered in FIX. The following chart highlights the differences:
|
|
| | Bust and Reinstate | Bust - Do Not Reinstate Order |
|
| Today | 1. Execution Bust Message sent to Entering Firm: Quantity previously reported as executed now open | 1. Execution Bust Message sent to Entering Firm: Quantity previously reported as executed is now open.
2. Order Delete Message sent to Entering Firm: Order/Open quantity is now deleted. |
| AEMI through CMS | 1. Execution Bust Message sent to Entering Firm.
2. UROUT for quantity busted sent to entering firm.
3. Service Desk calls entering firm to confirm reinstatement of order/open quantity. | 1. Execution Bust Message sent to entering firm.
2. UROUT for busted quantity sent to entering firm. |
| AEMI using FIX Protocol | 1. Trade Cancel Message sent to entering firm.
2. Order Reinstatement Message sent to entering firm. | 1. Trade Cancel Message sent to entering firm. |
|
|
Questions regarding this notice may be directed to Peter Fetiak at 212/306-1472, Shirley Thompson at 212/306-1161, or Frank Vento at 212/306-1735.
|