realtickems - ss&c ezerealtickems releasenotes releasedon:december4,2015...

RealTick EMS

Release Notes Released on: December 4, 2015

This document contains information about the new features included in version 11.5 of RealTick® EMS.

The information included in this document is confidential and intended only for Eze Software Groupand its affiliates’ employees and clients.

New Features 3

Omgeo CTM integration with EMS for improved central matching workflows 3

Introduction of Agency Automatic Order Grouping functionality 6

Ability to perform bulk order crossing 10

Ability to update parent order when updating a child order 13

Enhancements to default Custodian value on orders 15

Enhancement for child order limit price bumps 18

NewOrder Alert for Child Fill Limit Price 19

Ability to view parent order Limit Price in EMS Blotters 21

NewOATS Technical Specifications 22

RealTick EMS 11.5— ReleaseNotes | © 2015 1

CopyrightThis document is the copyrighted work of Eze Software Group (Eze). Eze distributes this document pursuantto a subscription agreement containing confidentiality and license provisions and is solely for the benefit of itsauthorized licensees. This documentation may not be copied or transmitted, in whole or in part, in any formor by any means without the express written consent of Eze.

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ContentInformation in this document is subject to change without notice. In the event that you are using a version ofEze products other than themost recent version, theremay be discrepancies between the content of thisdocumentation and the operation or visual presentation of your older version of the product. Eze does notwarrant that this documentation is error free.

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All other company or product names mentioned herein are the trademarks or registered trademarks of theirrespective companies.

Eze Software Group

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RealTick EMS 11.5 — ReleaseNotes | © 2015 2

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New Features

Omgeo CTM integration with EMS forimproved central matching workflowsThis release introduces the ability for brokers to send completed orders to Omgeo and receive informationfrom the Central TradeManager™ (Omgeo CTM), a strategic platform for the central matching of cross-border equity.

Your firmmust be subscribed to Omgeo's CTM service to enable this functionality.

When this functionality is enabled, you can automatically send orders you execute in the EMS to Omgeo CTMfor matching before the trade is sent for settlement.

To support this functionality, after execution cross-border equity orders are enriched with taxes and otherlocal market fee details, based on rule sets you configure.

Additionally, the CTM Blotter is introduced in this release and allows you to view OmgeoMatch Status foryour CTM blocks and allocations directly in the EMS. You can also edit or delete blocks in the EMSCTMblotter and your revisions are re-sent to Omgeo CTM.

Contact your EzeSoft product consultant for more information about enabling this functionality.

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The following diagram displays the CTM blotter.

The following diagram displays the Omgeo CTM blotter Allocation Level view.

The CTM blotter offers single click column sorting, filtering byMatch Status or side (i.e. buy vs sell) and acolumn picker so you can control what information you see.



The following diagram describes the standard workflow for completed order matching between RealTick EMSandOmgeo CTM:

Additionally, the following table describes standard completed order allocation matching status definitionsthat appear in the Agreed column of the Omgeo CTM blotter.

TradeMatching Status Values

AgreedStatus

Status Description

MAGR MATCHAGREED

The matching process is complete and is considered ready for settlement. Anorder cannot become MATCH AGREEDwhen all matching conditions are met.

CAND CANCELED The client or the broker cancels the order.

CANA CANCELAGREED

Both the client and broker agree to cancel a matched order.

CMAG CANCELMATCHAGREED

Cancel requests for a fully MATCH AGREED order are agreed upon by both theclient and broker. The order is ready to be cancelled.


Introduction of Agency Automatic OrderGrouping functionalityThis release introduces agency automatic order grouping functionality for sell side EMS users. When thisfunctionality is enabled, staged orders frommultiple desks across your firm (Sales Trading, Wholesale orGlobal Electronic) can be routed to an 'Agency' desk, where they will be automatically grouped based onSymbol and Side.

The following diagram illustrates an example of this Agency Auto-GroupingWorkflow:

Automatic grouping of Agency Desk orders reduces administrative work, increases the accuracy of groupedorders, prevents competition between internal client orders, and allows your firm to leverage aggregate ordersize.

Before enabling this functionality, it is recommended that your firm determine which types of ordersare best sent to your Agency Desk.For example, if traders at your firm identify a group of orders with the same Symbol and Side thatcan be leveraged as a group, then the orders can be sent to the Agency Desk.



The following table describes the Agency Desk grouping and Execution Reporting tasks that are availablewhen this functionality is enabled.

Agency order grouping

Agency Desk

OrderType

Description

OrderReceipt

When an order is received by a desk at your firm, the trader can route the order to theAgency Desk, or route the order.

If the order is routed to the Agency Desk, the EMS automatically groups orders into anaggregated ticket according to the following criteria:

l Group Already Exists—The incoming order matches the Side and Symbol of a pre-exist-ing group and is automatically added to the existing group.

l Group Does Not Exist—The incoming order's Side and Symbol do not match any exist-ing orders, and a new group is created.

OrderUpdate

The EMS automates the communication between clients, trading desks, and the AgencyDesk for order updates and cancellations.

When a client order that has been auto-grouped in the Agency Desk is updated, thosechanges are automatically applied downstream by the EMS at all locations (including theAgency Desk and originating desk).

Execution and Reporting tasks

Task Description

AutomatedRelease

The EMS automatically allocates the executed shares back to the underlying client ordersin real time (or as close to real-time as possible) as fills are received from the market.

Client FillDistribution

l The EMS distributes executed amounts evenly among eligible clients regardless of theirorder size and time received.

l The EMS distributes executed amounts evenly among eligible clients regardless of whetherthe client’s order is a market order or limit order (provided executed amounts do not exceedany limit orders).

l The EMS sends notifications if an overfill occurs. When an overfill occurs the extra amountsare automatically moved to an error account.

ExecutionPrice

The EMS ensures that each eligible participating order receive the same average price.

Uneven FillQuantities

The EMSminimizes variation among unevenly allocated fills (fractional shares).


The following sections describe order behavior for Sales, Electronic, Wholesale desks, and the Agency Deskwhen this functionality is enabled.

Sales Trading and Wholesale DesksIn the Order window (F7) ofMarket Minder, when AgencyDesk is selected as the Route for an order. Agrouped order is generated in the AGENCY;POD account, and the order is sent to the Agency Desk.

When this functionality is enabled, no auto-grouping occurs unless orders are routed to the AgencyDesk Route. Other trade desks personnel have the flexibility to analyze whether a specific order is bestdone by their desks or be routed to an Agency Desk for bundled or grouped order (this functionalitydoes not dictate that 100%orders should go through agency-grouping).

The following diagram illustrates Market Minder for Sales Trading andWholesale desks for which three Buyorders of the same Symbol that are sent via the Agency Desk route, all for different quantities and pricelevels:

Traders have the ability to bypass the auto grouping feature even though it is enabled.



Agency DeskOne of the following occurs when an order is received on the Agency Desk's Order Blotter:

l If there is already a group with the same Symbol and Side, the orders submitted by your firm's desks willbe grouped based on Symbol and Side.

l If there is no group with the same Symbol and Side, and one of the following occurs:

l If there is an order with the same Symbol and Side, a new bundle with themost conservative price isadded to the Order Blotter.

l If another staged order with the same Symbol and Side cannot be found, the order remains on the blot-ter and a new single grouped order is created.

Additionally, a mix of limits, markets, DAY, and GTC constituents can be added to grouped orders throughoutthe trading day.

If a new order with a more conservative price limit is added to an existing group, the EMS notifies thetrader that the group now has a more conservative price limit.

The following diagram displays the Order Blotter for the Agency Desk with a grouped order working at themost conservative price. The grouped order is comprised of the three Buy orders received from the AgencyDesk.

Agency Desk traders can also terminate grouped orders and create new groups to add or remove specificorders from an aggregate order.



Ability to perform bulk order crossingBulk Order Cross is a complementary feature to the internal cross function in RealTick EMS. The current crossorder method allows users to highlight a buy order and a sell order of the same Symbol in the List Traderwindow and cross the two orders.

The Bulk Order Cross feature allows users to highlight any number of Buy and Sell orders of different symbolsin List Trader and internally cross the orders in one action by selecting Cross Order(s)... on the shortcut(right-click) menu, shown below.

When you select Cross Orders(s)... for multiple orders in List Trader grid, the Bulk Cross window appears asshown below.



The following table describes the options that are available in the Bulk Cross window.

Bulk Crosswindow — Field Descriptions

Field Name Description

Cross Type The type of order cross that is performed.

The options:

l Last

l Bid

l Ask

l Midpoint

l Settle

l VWAP

Route The execution route through which the order(s) are sent.

Broker Code The broker code to which the order(s) are sent.

Crossing Account The crossing account to which the order(s) are assigned.

Message (optional) Message that is included with the order(s).

Cancel Cancel the bulk cross workflow.

Cross Cross and send the order(s).



When you click Cross in the Bulk Cross window to internally cross multiple orders, the Confirm Bulk Crosswindow appears, shown below.

The Confirm Bulk Cross window displays a summary, by Symbol, of all the order pairs that are eligible forcrossing. When you clickOK in the Confirm Bulk Cross window, all eligible orders are internally crossed usingan algorithm that will attempt to cross all the buy and sell orders of the same Symbol using an equalquantity distribution. Additionally, all crossed orders are updated with anOrder Tag ofBulk Cross in theList Trader grid.

After the cross order is complete and there is a remaining balance, the user can submit the staged order tothemarket to complete the trade.

Only Market Orders (other order types are ignored, e.g. Limit Orders) and Orders with available freequantity (working orders in themarket will be ignored) are eligible for Bulk Cross.


Ability to update parent order whenupdating a child orderThis release introduces the ability to automatically update a parent order tomatch changes you make to achild order. This functionality applies to new and existing child orders.

If this functionality is enabled, then aWarning/Confirmation message appears only when you perform one ofthe following actions:

l You change the Limit Price of one or more child orders to a value that breaches the parent order LimitPrice.

l You change a child order’s Order Type toMKTwhen the parent order has an Order Type of LMT eithermanually or by using the hot button Change Order to MKT.

You can then click Yes on theWarning/Confirmation message window to proceed with updating the parentorder’s Limit Price or Order Type.

For example, if you change the Limit Price of a child order to $100.00 and the parent Limit Price is $90.99,then the followingWarning/Confirmation message appears:

Select Yes to update the parent order and route the child order. SelectNo to leave the parent orderunchanged and cancel routing the child order.

Order updates in RealTick EMS persist to the Eze OMSbroker row for the order.With this functionality enabled, a Warning/Confirmation message appears regardless of the status ofthe Child Order Price Is Worse Than Parent checkbox (Order Entry Properties window >Warnings/Confirmation tab > Other Warnings area).

Contact your EzeSoft product consultant to enable this functionality.



To enable this functionality, you need to enable theAllowParentPriceOverride User Trading Perm(XPERM).

When both the EnforceStagedOrderLimitPrice andAllowParentPriceOverride XPERMs areenabled, the EnforceStagedOrderLimitPrice XPERM takes precedence.

To enable this functionality, the followingminimum requirements must bemet.

l RealTick EMS 11.4.3 or later

l Trade server 108.2 or later

For this workflow to update Eze OMSproperly, you need to add the following rules:

To the AFT session, add the following Forward (TAL To FIX) rules:

l #39[AKBTP]=Conditional(Matched(20457:6,"35129872"),Replace("5"),Ignore())

l #44[TAKRPBC]=Conditional(In(20680:6,"Market"),Supersede(Constant("0.0"))

To the DC session on the Change Order tab, add the two rules described in the table below:

FIX Tag Rule Type Static Value BBCD Attribute Special Processing TAL FIDs Parent FIX Tag

39 Static 5 - NONE - 0

150 Static 5 - IsFill - 0


Enhancements to default Custodian value onordersBeginning in this release, your system can be configured to default the Custodian field (FID 20053) on orderforms based on top-down priority rules defined in the CustodianValues.ini file (C:\RealTick\PARM).

Contact your EzeSoft product consultant to configure this feature.

The top-down priority rule structure allows you to include the Portfolio field (FID 20464) as a parameter fordefault Custodian rules.

The Portfolio field is populated via the portfolio.ini file (C:\RealTick\Trading).

You can leverage sets and wildcards when writing rules. For example, you want a rule to default theCustodian field to Custodian A on orders for which the Symbol and Portfolio values are somecombination of the following criteria:

Symbol Portfolio

l Starts with a letter between A andM

l Equals TSLA

l Equals VMW

l Starts with SA

l Portfolio 1

l Portfolio 2

The example rule above is written in the [Ordered Rules] section of the CustodianValues.ini file in the followingformat:

*,*,*,*,[A-M].*|TSLA|VMW|[SA].*,*,*,PORTFOLIO 1|PORTFOLIO 2=Custodian A



Rules follow the following format:

Bank,Branch,Customer,Deposit,Symbol,Sec Type,Exchange,Portfolio=Custodian

Rules in the CustodianValues.ini file are valid only for orders that originate in RealTick EMS. Rules thatoriginate outside of RealTick EMS (e.g. FIX, API, Excel) require conversion rules that can default theCustodian value on orders.

The default Custodian value on orders can bemanually overridden via the Custodian drop-down inan order form or via anOrder Action hot button.

To support this functionality, the following settings are added to the Order Entry Properties window, shownbelow.



The following table describes the new settings.

Setting Name Description

Default CustodianUsing Top-DownPriority Rules(Requires Restart)

When enabled, the [Ordered Rules] section, which defines the top-down priorityrules, of the CustodianValues.ini file is enabled and the [Data] and [Custom Rule]sections, which are used for legacy behavior, of the CustodianValues.ini file aredisabled.

Use Sub Accountsover NeutralAccounts (RequiresRestart)

When enabled, the selected Sub Account is used to determine the defaultCustodian value.

This setting is applicable when using a Neutral Account and SubAccounts.


Enhancement for child order limit pricebumpsBeginning in this release, if List Trader is linked toMarket Minder, and you bump a staged trade in MarketMinder for which there aremultiple child orders with different Limit Prices, RealTick EMS now automaticallybumps themost competitive child order Limit Price.

For example, you enter two staged buy orders in List Trader for which you create two child orders withdifferent Limit Prices. You select a trade in List Trader, and then increment the trade by a value of .05 via abump button in Market Maker. RealTick EMS automatically increments the Limit Price of themostcompetitive child order that is associated with the selection, rather than the exact selection.


New Order Alert for Child Fill Limit PriceThis release introduces the ability to configure your system so that Standard Order Alerts are generated, perAccount and Customer Rule, when fills are received for a child or standard order that exceeds the Limit Pricefor the order.

The following diagram displays a child order fill Limit Price alert.

To support this functionality, the Fill Outside Limit Price and Ignore Other Trader's Orders check boxesare added to the Standard Order Alerts area of theAlerts for Selected Rule area on theOrder Alertstab of theOrder Entry Propertieswindow, shown below.



The following table describes the new settings.

Limit Price settings — Field Descriptions

Setting Name Description

Fills OutsideLimit Price

Alerts are generated in the Order Entry Alerts window when fills are received for achild or standard order that exceeds the Limit Price for the order.

Ignore OtherTrader's Orders

When selected, Limit Price alerts for other user's trades do not appear in the OrderEntry Alerts window for the current user.


Ability to view parent order Limit Price inEMS BlottersThis release introduces the ability to view parent order Limit Price for Exchange Traded Orders (ETOs) inEMS blotters.

To support this functionality, you can now add theBroker Order Limit Price field to EMS blotters, shownbelow in the Orders Blotter.

Broker Order Limit Price displays parent order Limit Price values for fills, at the time the fills are generated.


New OATS Technical SpecificationsThe following updates, made effective by FINRA as of 9/28/15, are introduced in this release forOATS reporting to FINRA:

l The EMS now support the OATS Reporting Technical Specifications dated June 26, 2015.

l This release introduces validation of Time in Force Code and the addition of the Trading Session Code field.


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