|Functional Requirements Specification for Single Stock Futures Page 4|
3. Specific Requirements
3.1 BUSINESS RULES |
Single stock futures will be processed like options.
It is estimated that SSF traffic volume will amount to no more than 10% of OPRA traffic volume. MDD states that the projected peak message rate will be no more than 500 messages per second.
A root SSF symbol will consist of the underlying symbol. A Microsoft SSF will have the SSF symbol
Some corporate actions, such as stock splits, mergers and special cash dividends, may change the value of the underlying, the SSF, or both, and will be indicated by a change in the symbol. For an underlying symbol of 4 characters or less, a 1 will be added to the symbol to indicate such a change. For example, if Microsoft underwent a corporate action which the business felt should be reflected in the symbol, the new SSF symbol would be:
If the symbol is already 5 characters long, the last character will be changed to a 1. The symbol for Comcast, for example, would change from
ATP will expect that the symbol will be changed in the master file, but will make provision for changing the symbol by the Admin Interface. See 3.1.18 Master Files and 3.5.3 Corporate Actions.
3.4 MARKET CENTERS AND ID CODES
At the moment it is projected that Single Stock Futures will be traded by only 2 exchanges besides the AMEX: Nasdaq Liffe (NLQX), and OneChicago (a joint venture of CBOE, CME and CBOT). (Island discusses SSF's on its web site, but apparently has no plans to trade them.) The products sold on these different exchanges are not fungible, and only the AMEX plans to send its data via NMS. If the products become fungible in the future, SIAC will need to publish an exchange identifier for the other SSF exchanges. The suggested codes are listed below, based on the fact that the trading exchanges are already identified by those codes, either in option data publishing or equity data publishing (Nasdaq).
In the first implementation, ATP will not receive any trade or quote messages from any other participant besides A. Any message from NMS that must be disseminated will have the participant changed to A before being published.
3.5 TRADE, QUOTE AND OPEN INTEREST MESSAGES AND HANDLING
For message formats, see 3.1.8 and following paragraphs.
3.6 BBO AND QUOTES
There can be no BBO if there is only one participant, the AMEX. In the first SSF release ATP will process and publish only SSF trades and quotes from the AMEX. However, in anticipation of the time when there might be more than one participant trading fungible Single Stock Futures, four more journals will be created in the database. The same BBO logic now used for options will be applied to Single Stock Futures but all other potential participants will be permanently excluded from BBO, and no quotes from other exchanges will be published by ATP unless and until
1. the product becomes fungible;
2. other SSF exchanges send their data to NMS and NMS sends it to ATP;
3. any SEC conditions are met.
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