CAT Required Fields by Reportable Event

Every field list below is keyed to one event in the life of an order. The same order produces a different field set each time it moves, and an alternative trading system operator adds a further set on top.

What Must a Member Record When It Receives or Originates an Order?

On the original receipt or origination of an order, the consolidated audit trail (CAT) rules require eleven items.

Exam Tip: Gotchas

• The customer identifier here is the Firm Designated ID. It is an identifier the member itself designates: for the customer's trading account, or a relationship identifier where no account number is available at order receipt, or an entity identifier for an aggregated order. The customer account and identifying information travel in the received-data category instead.
• A display request is its own field. A customer's request that a limit order not be displayed, or that a block size limit order be displayed, under applicable rules, is recorded on origination.

What Must a Member Record When It Routes or Receives a Routed Order?

Routing an order requires eight items.

• The CAT-Order-ID.
• The date on which the order is routed.
• The time at which the order is routed, using time stamps under the time stamp rule.
• The market participant identifier of the Industry Member routing the order.
• The market participant identifier of the Industry Member or Participant to which the order is being routed.
• If routed internally at the Industry Member, the identity and nature of the department or desk to which the order is routed, and the unique identification of any appropriate information barriers in place at the department to which the order was transmitted.
• The Material Terms of the Order.
• For an Industry Member that operates an alternative trading system, the sequence number assigned to the routing of the order by the system's matching engine.

Receiving an order that has been routed requires ten items.

• The CAT-Order-ID.
• The date on which the order is received.
• The time at which the order is received, using time stamps under the time stamp rule.
• The market participant identifier of the Industry Member receiving the order.
• The market participant identifier of the Industry Member or Participant routing the order.
• The Material Terms of the Order.
• The unique identification of any appropriate information barriers in place at the department that received the order.
• The nature of the department or desk that received the order.
• Any request by a Customer that a limit order not be displayed, or that a block size limit order be displayed, under applicable rules.
• For an Industry Member that operates an alternative trading system, the five further items set out below.

Exam Tip: Gotchas

• Routing and receipt are two separate reports, not one. The router files one event and, where the order goes to another Industry Member, the receiving member files another, and each carries both firms' market participant identifiers.
• The routing report carries only one alternative trading system field. Routing adds the matching engine sequence number alone, while receipt adds the full five-item set.

What Must a Member Record on a Modification, Cancellation or Execution?

If the order is modified or cancelled, nine items are required.

• The CAT-Order-ID.
• The date the modification or cancellation is received or originated.
• The time at which the modification or cancellation is received or originated, using time stamps under the time stamp rule.
• The price and remaining size of the order, if modified.
• Other changes in the Material Terms of the Order, if modified.
• Whether the modification or cancellation instruction was given by the Customer or was initiated by the Industry Member.
• The unique identification of any appropriate information barriers at the department that received or originated the modification.
• Any request by a Customer that a limit order not be displayed, or that a block size limit order be displayed, under applicable rules.
• For an Industry Member that operates an alternative trading system, the five further items set out below.

If the order is executed, in whole or in part, seven items are required, plus the alternative trading system set.

The rules also allow other information or additional events to be prescribed under the CAT national market system (NMS) Plan, so the five event categories are not the outer limit of what can be required.

Exam Tip: Gotchas

• Who gave the instruction is a required field on a modification or cancellation. The report must say whether the Customer gave the instruction or the Industry Member initiated it.
• Execution capacity has three values, not two. Riskless principal is reported separately from principal and from agency.

What Extra Fields Does an ATS Operator Report?

An Industry Member that operates an alternative trading system adds a five-item set on origination or receipt, on receipt of a routed order, and on modification or cancellation.

Three points sit on top of that table.

• The market data feed field carries a second duty. If for any reason the system uses an alternative market data feed to the one reported on its own data submission, it must provide notice to the Central Repository that an alternative source was used, identify the alternative source, and specify the dates, times and securities for which the alternative source was used.
• On a modification or cancellation the fifth sub-item changes. In place of the display question, the system reports each time its matching engine re-prices an order or changes the display quantity of an order, giving the time of the modification and the applicable new price or size.
• On execution the set is three items, not five. The system reports the reference price and the date and time it recorded it, the market data feed identification with the same alternative-source notice duty, and the sequence number the matching engine assigned to the execution.

An Industry Member that operates an alternative trading system trading over-the-counter equity securities also provides the Central Repository with the best bid and best offer for each such security traded on the system, an indication of whether each bid and offer was solicited or unsolicited, and the unpriced bids and offers for each such security traded on the system.

Exam Tip: Gotchas

• Switching market data feeds triggers an affirmative notice. The system must tell the Central Repository which alternative source it used and for which dates, times and securities, not merely record the substitution internally.
• The re-pricing field replaces the display field and does not join it. On a modification or cancellation the fifth sub-item is the matching engine re-price or display quantity change.

What Should You Check on Exam Day?

• Identify the event first. The field list changes completely between origination, routing, receipt of a routed order, modification or cancellation, and execution.
• Check whether the firm operates an alternative trading system, which adds five fields on most events, three on execution, and one on routing.
• On a modification or cancellation, look for the field naming who gave the instruction, the Customer or the Industry Member.
• Confirm the time on every event report uses time stamps in the increments the time stamp rule sets.
• Remember the reference-price fields belong to the system operator, not to every member reporting the same event.