Direct Edge will introduce attribution functionality to EDGA Exchange (EDGA) and EDGX Exchange (EDGX) effective on or about September 2012, pending filing with the Securities and Exchange Commission (SEC).
This new functionality will enhance the Direct Edge Market Maker Program, allowing Market Makers to identify themselves as willing to buy and sell securities on the exchanges to facilitate making continuous two-sided markets. Attribution will also be available to non-market makers who wish to increase their transparency on the orders they send to EDGA and/or EDGX.
New Market Data Product
In addition, Direct Edge will introduce an enhancement to our EdgeBook DepthSM data feed that supports attributed quotes called EdgeBook AttributedSM. Upon launch in September 2012, EdgeBook Attributed will be available for free on both EDGA and EDGX.
EdgeBook Attributed will provide firms with valuable data regarding the origin of the orders on the EDGA and/or EDGX books. This additional transparency will help our Members make more educated trading decisions and better understand the liquidity available on the EDGA and/or EDGX books.
Members will have the flexibility to attribute their orders on an order-by-order basis and can permission this functionality at the session/MPID level. Unless specifically permissioned, orders will be unattributed by default.
As a prerequisite for attribution, interested Members must first execute and submit an attribution addendum to their User Agreement. Once complete, and in order to gain session entitlement to send attributable orders, Members must also submit a request using the Logical Port Request Form to identify those sessions and MPIDs that should be entitled to access the functionality. In addition to establishing entitlement, firms may also designate a session/MPID for attribution by default. In such case, all orders entered via the session will be attributed on behalf of the entering MPID without order entry changes.
Both the addendum to the User Agreement and Logical Port Request Forms should beeld be submitted to Direct Edge Member Services.
To support attribution, FIX Tag 9140 will be modified to include the value "A" to designate the order for display with attribution on the exchange data feed. Similarly, the XPRS display field at offset 31 will be modified to include the value "A".
All orders, both attributed and non-attributed, will be delivered on the feed using the existing formats. In addition, a new message, "Add Order With Attribution", will be disseminated within the EDGA and EDGX depth of book feeds that will include all of the attributes of the current "Add Order" message, and also will include the MPID of the Member associated with the order if the order is entered with attribution. Therefore, there will be two messages disseminated per attributed order — one with the MPID and one without. Firms not interested in receiving attribution can discard the message and firms that do want to view attribution will need to incorporate it into their feed.