U.S. Equities

The MIAX Pearl Equities (EPRL) Exchange has published updated Interface Specifications to support the following system enhancements:

New and Enhanced Risk Protections:
 
The following new optional protections will be added to the MIAX Pearl Equities risk protections suite:

• Cumulative Risk Metrics (“CRM”)
  • Maximum Gross Notional Trade and Open Value Protection
  • Maximum Net Notional Trade and Open Value Protection
• Mass Cancellation Capabilities
  • Auto Cancel on Disconnect (ACOD) support for the Drop Copy
  • Auto Cancel on System Failure (ACOSF) support for the Drop Copy
• Order Attribute Validation
  • Locate Account Validation

 
The following existing protections in the suite will be enhanced:

• Order by Order Drop (oFXD)
  • Support to additionally receive rejects on the Order by Order Drop
• Order Rate Check
  • Support to exclude Order Cancel Requests from the Order Rate Count
• Duplicate Order Check & Order Rate Check
  • Duplicate Order Check and Order Rate Check will be latency equalized (i.e. there is no latency penalty for a member when opting into and leveraging these risk protections as compared to a member not opting into these risk protections)

 
Specification Updates:

• MIAX Express Orders (MEO) – Version 2.4
  • Updated the list of available Risk Protections for orders entered via MEO
  • Added new error codes for New Order Response, Modify Order Response and Cancel/Reduce Size Order Notification
• FIX Interface Specification (FOI) – Version 2.3
  • Updated the list of available Risk Protections for orders entered via FOI
  • Added support for ACOD and ACOSF for FIX drop (FXD)
  • Updated the text for FIX Order by Order Drops to support order rejects, if entitled

Support for Future Execution Message Enhancements:

• MIAX Express Orders (MEO) – Version 2.4
  • Added a new message type “E1” for Execution Notification to support a new field “Executing Trading Center MPID” for future use, and added additional reserve bytes
  • Renamed the field “Executing Exchange” to “Executing Trading Center” in the Execution Notification message
• FIX Interface Specification (FOI) – Version 2.3
  • Added a new field “ContraBrokerMPID” in Execution Report message for future use

Important: The MEO 2.4 application upgrade is mandatory to accommodate the introduction of a new Execution message. The new risk protections are optional.

Important Dates:

• The above features are available in the EPRL Firm Test Bed (FTB2) as of April 10, 2023
• The updated Risk Protections Guide will be available in Q2 2023
• The above features are targeted to be available in production in Q3 2023, pending filing with the SEC. The specific production rollout date will be announced in a future alert.
• Firms will have 2 weeks after the production rollout to upgrade to MEO v2.4. Support for all older versions of MEO will be discontinued two weeks after the roll out of MEO v2.4.

An updated version of the Port Attributes Guide with the new and enhanced Risk Protections is currently available here.

Please review the updated EPRL Interface Specifications and the MIAX Exchange Group Connectivity Guide for further details.

For further information, please contact MIAX Trading Operations at TradingOperations@MIAXEquities.com or (609) 897-7302.

Regulatory inquiries should be directed to Regulatory@MIAXEquities.com or (609) 897-7309.

To learn more about Pearl Equities please contact Sales@MIAXEquities.com, (609) 897-8177 or visit MIAXEquities.com.