Developer Reference II
Proprietary Transmissions
Version 4.14Version 4.13
The Options Clearing Corporation — Last Updated Sept. 2013
ENCORE Data Distribution Services Guide – Proprietary Transmissions — Version 4.14 — Page 2
Reasonable measures are taken by OCC to ensure the accuracy of the information it distributes in its DDS program. This information is produced from data received from a number of different sources, which are believed to be reliable. However, due to the number of sources for such data, the possibility of human error, and the risks inherent in electronic distribution, there may be omissions or inaccuracies in such information and delays or interruptions in providing it. Accordingly, OCC disclaims all express or implied warranties with respect to the information distributed in its DDS program, including any warranty of merchantability or fitness for a particular purpose. Further, information sent on a real time basis should not be considered final until OCC issues an end of day message advising no additional transmissions will be made on a particular business day.
To read DDS FIXML messages, OCC recommends using an XML parser that adheres to the W3C1 1.0 and 1.1 XML recommendations and not the byte by byte method typically used for “flat file” parsing. In order to support new future business needs, OCC reserves the right to add at any time previously unused tags, which are already part of the FIXML schema, to the DDS FIXML messages. If the parsing mechanism recommended above will be used, the addition of new tags will have no impact on the programs that read in the DDS FIXML messages.
For the following cases:
- addition of new tags which are not part of the FIXML schema
- addition of new enumerations which are not part of the FIXML schema
- addition of previously unused enumerations which are part of the FIXML schema
- decommission/removal of existing required tags
OCC will notify designated contacts in advance of their implementation. When needed, updated schemas will be made available, in advance, on OCC's website.
1The World Wide Web Consortium (W3C) is an international consortium where Member organizations, a full-time staff, and the public work together to develop Web standards.
Contents
Document Organization 7
Glossary of Terms 7
CFI Code Default Values 9
Sample CFI Codes 10
Transmissions 11
ENCORE Transmission: Gross Position Adjustments 12
Overview 12
Message Structure 12
Message Layout – Valid and Deleted Futures Gross Position Adjustments 13
Sample Message - Valid and Deleted Futures Gross Position Adjustments 15
Sample End of Day Message - Valid and Deleted Futures Gross Position Adjustments 15
Message Layout – Rejected Futures Gross Position Adjustments 16
Sample Message - Rejected Futures Gross Position Adjustments 18
Sample End of Day Message - Rejected Futures Gross Position Adjustments 18
Message Layout – Valid and Deleted Commodity Options Gross Position Adjustments 19
Sample Message - Valid and Deleted Commodity Options Gross Position Adjustments 21
Sample End of Day Message - Valid and Deleted Commodity Option Gross Position Adjustments 21
Implementation Considerations 22
Rejected GPA 23
ENCORE Transmission: Transfers / Adjustments 24
Overview 24
Message Structure 25
Message Layout – Trade Capture Report – Valid and Deleted Transfers – Options 26
Sample Messages – Valid and Deleted Transfers – Equity/Index 31
Sample End of Day Messages – Valid and Deleted Transfers 33
Message Layout – Trade Capture Report – Valid and Deleted Transfers – Futures 34
Sample Messages – Valid and Deleted Transfers - Futures 38
Sample End of Day Messages – Valid and Deleted Transfers 39
Message Layout – Trade Capture Report – Rejected Transfers 40
Sample Message – Option Rejected Transfers 44
Sample End of Day Messages – Rejected Transfers 45
Implementation Considerations 45
ENCORE Transmission: Futures Allocations 47
Overview 47
Message Structure 48
Messaging Flow 49
Futures Allocation Message Flow 50
Invalid Messaging 51
Message Layout – Allocation Report – Valid Futures/Options on Futures 52
Sample Messages – Allocation Report – Futures 58
Sample Messages – Allocation Report – Commodity Option/Option on Future 61
Sample Messages – End of Day Messages – Valid Claimed and Deleted Futures Allocations 63
Message Layout – Allocation Report – Invalid Futures/Options on Futures 64
Sample Messages – Allocation Report – Invalid Futures Allocation 69
Sample Messages – Allocation Acknowledgement Report – Invalid Futures Allocation Claim/Reject 71
Sample Messages – End of Day Message – Invalid Futures/Options on Futures 71
Implementation Considerations 72
ENCORE Transmission: Trades 74
Overview 74
Message Structure 75
Message Layout – Trade Capture Report – Option Trades 76
Message Layout – Trade Capture Report – Future Trades 82
Sample Messages - Trades 88
Sample End of Day Messages - Trades 96
Message Layout – Trade Capture Report – Rejected/Pended Trades (Trades rejected or pended by OCC) 97
Sample Messages – Option Rejected Trades 104
Sample End of Day Messages – Rejected/Pended Trades 106
Implementation Considerations 107
ENCORE Transmission: Updated Trades Options & (Futures) 111
Overview 111
Message Structure 113
Message Layout – Trade Capture Report – Options & Future Trades (Updates) 116
Sample Trade Capture Report Outbound Update Cancel Message for Options: 123
Sample Trade Capture Report Outbound Update Cancel Message for Futures: 124
Sample Trade Capture Report Outbound Update Add Message for Options: 125
Sample Trade Capture Report Outbound Update Add Message for Futures: 126
Message Layout – Trade Capture Report Acknowledgement – Rejected Trade Updates 127
Sample Messages – Update Trades (Rejected) 130
Implementation Considerations 131
Additional Considerations 132
ENCORE Transmission: Exercise 133
Overview 133
Message Structure 133
Message Layout – Position Maintenance Report – Exercises 134
Sample Message - Exercises 137
ENCORE Transmission: EED/DNED/Exercise Acknowledgements 138
Overview 138
Message Structure 138
Message Layout – Position Maintenance Report – EED/DNED/Exercise Acknowledgements 139
Sample Messages – Exercise Acknowledgements 141
End of Day Message 142
Sample Messages – EED/DNED Acknowledgements 143
GUI Input Source – DNED 143
GUI Input Source – EED Quantity = ALL 143
End of Day Message 144
Implementation Considerations 144
ENCORE Transmission: Assignments 146
Overview 146
Message Structure 146
Message Layout – Assignment Report 147
Sample Message - Assignments 149
ENCORE Transmission: Positions 150
Overview 150
Message Structure 150
Message Layout – Position Report Options 151
Message Layout – Position Report Futures 154
Sample Messages - Positions 157
Positions – Implementation Consideration 160
ENCORE Transmission: Customer Gross Margins Positions 161
Overview 161
Message Structure 161
Message Layout – Customer Gross Margins Position Report – Options 162
Sample Messages – Customer Gross Margin Position Report – Options 165
Message Layout – Customer Gross Margins Position Report – Futures 166
Sample Messages – Customer Gross Margin Position Report – Futures 169
ENCORE Transmission: Account Summary 170
Overview 170
Message Layout 170
Message Layout – Account Summary Report 171
Pay/Collect Codes 174
Sample Message – Account Summary 175
Implementation Considerations 175
ENCORE Transmission: Settlement Activity 176
Overview 176
Message Structure 177
Message Layout – Settlement Activity Options 178
Message Layout – Settlement Activity Futures 182
Sample Message – Settlement Activity 185
Implementation Considerations 187
ENCORE Transmission: Adjusted Positions 188
Overview 188
Message Structure 188
Message Layout – Adjusted Position Report - Options 189
Sample Message – Adjusted Positions Options 192
Message Layout – Adjusted Position Report – Futures 193
Sample Message – Adjusted Positions – Futures 196
Implementation Considerations 197
ENCORE Transmission: Contrary Intentions 198
Overview 198
Message Structure 198
Message Layout – Contrary Intention Report 199
Sample Message – Contrary Intentions (EED entry) 202
Sample Message – Contrary Intentions (DNED entry) 203
Implementation Considerations 204
ENCORE Transmission: Collateral Response 204
Overview 204
Message Structure 205
Message Layout – Collateral Response 206
Sample Valued Security Deposit – Collateral Response 212
Sample Government Sponsored Enterprise (GSE) Withdrawal – Collateral Response 213
Sample Letter of Credit Increase – Collateral Response 214
Sample Escrow Deposit Withdrawal – Collateral Response 215
Sample Specific Deposit Withdrawal – Collateral Response 216
Sample Money Market Fund Deposit – Collateral Response 217
Sample Government Security Deposit – Collateral Response 218
Sample Cash Deposit – Collateral Response 219
Implementation Considerations 220
ENCORE Transmission: Collateral Response for Margin Requirements Haircut 223
Overview 223
Message Structure 223
Message Layout – Collateral Response for Margin Requirement Haircuts 224
Sample Message 227
Sample Government Security Message – Collateral Response for Margin Requirement Haircuts 228
ENCORE Transmission: Collateral Report 229
Overview 229
Message Structure 230
Message Layout – Collateral Report 231
Sample Specific Deposit Message – Collateral Report 236
Sample Cash Message – Collateral Report 237
Sample Escrow Deposit Message – Collateral Report 238
Sample Government Sponsored Enterprise (GSE) Message – Collateral Report 239
Sample Government Security Message – Collateral Report 240
Sample Letter of Credit Message – Collateral Report 241
Sample Money Market Message – Collateral Report 242
Sample Valued Security Message – Collateral Report 243
Implementation Considerations 244
ENCORE Transmission: Rejected Holding Submissions 247
Overview 247
Message Structure 247
Message Layout – Rejected Holding Submission 248
Sample Message - Rejected Holding Submission 250
APPENDIX A 251
CMTA and Defaulting Rules in DDS Trades Messages 251
Explanation of Product Multipliers 254
DDS Product Multipliers: 254
Use of Product Multipliers in Extended Value Calculations 255
Various Product Examples 255
Appendix B 257
Revision History 257
Document Organization 7
Glossary of Terms 7
CFI Code Default Values 9
Sample CFI Codes 10
Transmissions 11
ENCORE Transmission: Gross Position Adjustments 12
Overview 12
Message Structure 12
Message Layout – Valid and Deleted Futures Gross Position Adjustments 13
Sample Message - Valid and Deleted Futures Gross Position Adjustments 15
Sample End of Day Message - Valid and Deleted Futures Gross Position Adjustments 15
Message Layout – Rejected Futures Gross Position Adjustments 16
Sample Message - Rejected Futures Gross Position Adjustments 18
Sample End of Day Message - Rejected Futures Gross Position Adjustments 18
Message Layout – Valid and Deleted Commodity Options Gross Position Adjustments 19
Sample Message - Valid and Deleted Commodity Options Gross Position Adjustments 21
Sample End of Day Message - Valid and Deleted Commodity Option Gross Position Adjustments 21
Implementation Considerations 22
Rejected GPA 23
ENCORE Transmission: Transfers / Adjustments 24
Overview 24
Message Structure 25
Message Layout – Trade Capture Report – Valid and Deleted Transfers – Options 26
Sample Messages – Valid and Deleted Transfers – Equity/Index 31
Sample End of Day Messages – Valid and Deleted Transfers 33
Message Layout – Trade Capture Report – Valid and Deleted Transfers – Futures 34
Sample Messages – Valid and Deleted Transfers - Futures 38
Sample End of Day Messages – Valid and Deleted Transfers 39
Message Layout – Trade Capture Report – Rejected Transfers 40
Sample Message – Option Rejected Transfers 44
Sample End of Day Messages – Rejected Transfers 45
Implementation Considerations 45
ENCORE Transmission: Futures Allocations 47
Overview 47
Message Structure 48
Messaging Flow 49
Futures Allocation Message Flow 50
Invalid Messaging 51
Message Layout – Allocation Report – Valid Futures/Options on Futures 52
Sample Messages – Allocation Report – Futures 58
Sample Messages – Allocation Report – Commodity Option/Option on Future 61
Sample Messages – End of Day Messages – Valid Claimed and Deleted Futures Allocations 63
Message Layout – Allocation Report – Invalid Futures/Options on Futures 64
Sample Messages – Allocation Report – Invalid Futures Allocation 69
Sample Messages – Allocation Acknowledgement Report – Invalid Futures Allocation Claim/Reject 71
Sample Messages – End of Day Message – Invalid Futures/Options on Futures 71
Implementation Considerations 72
ENCORE Transmission: Trades 74
Overview 74
Message Structure 75
Message Layout – Trade Capture Report – Option Trades 76
Message Layout – Trade Capture Report – Future Trades 82
Sample Messages - Trades 88
Sample End of Day Messages - Trades 96
Message Layout – Trade Capture Report – Rejected/Pended Trades (Trades rejected or pended by OCC) 97
Sample Messages – Option Rejected Trades 104
Sample End of Day Messages – Rejected/Pended Trades 106
Implementation Considerations 107
ENCORE Transmission: Updated Trades Options & (Futures) 111
Overview 111
Message Structure 113
Message Layout – Trade Capture Report – Options & Future Trades (Updates) 116
Sample Trade Capture Report Outbound Update Cancel Message for Options: 123
Sample Trade Capture Report Outbound Update Cancel Message for Futures: 124
Sample Trade Capture Report Outbound Update Add Message for Options: 125
Sample Trade Capture Report Outbound Update Add Message for Futures: 126
Message Layout – Trade Capture Report Acknowledgement – Rejected Trade Updates 127
Sample Messages – Update Trades (Rejected) 130
Implementation Considerations 131
Additional Considerations 132
ENCORE Transmission: Exercise 133
Overview 133
Message Structure 133
Message Layout – Position Maintenance Report – Exercises 134
Sample Message - Exercises 137
ENCORE Transmission: EED/DNED/Exercise Acknowledgements 138
Overview 138
Message Structure 138
Message Layout – Position Maintenance Report – EED/DNED/Exercise Acknowledgements 139
Sample Messages – Exercise Acknowledgements 141
End of Day Message 142
Sample Messages – EED/DNED Acknowledgements 143
GUI Input Source – DNED 143
GUI Input Source – EED Quantity = ALL 143
End of Day Message 144
Implementation Considerations 144
ENCORE Transmission: Assignments 146
Overview 146
Message Structure 146
Message Layout – Assignment Report 147
Sample Message - Assignments 149
ENCORE Transmission: Positions 150
Overview 150
Message Structure 150
Message Layout – Position Report Options 151
Message Layout – Position Report Futures 154
Sample Messages - Positions 157
Positions – Implementation Consideration 160
ENCORE Transmission: Customer Gross Margins Positions 161
Overview 161
Message Structure 161
Message Layout – Customer Gross Margins Position Report – Options 162
Sample Messages – Customer Gross Margin Position Report – Options 165
Message Layout – Customer Gross Margins Position Report – Futures 166