Self Trading Prevention Functionality v100

Self Trade Prevention Functionality
Version 1.0.0 October 19th 2011
Trading Systems Department

Document
BM&FBOVESPA Self Trade Prevention Functionality
Table of Contents
TABLE INDEX ............................................................................................................................................................ 3

DOCUMENT OVERVIEW.......................................................................................................................................... 5
1
BUSINESS CONTEXT ....................................................................................................................................... 6

1.1
DISAMBIGUATION ........................................................................................................................................... 6
BUSINESS REQUIREMENTS .......................................................................................................................... 7

2.1
SELF TRADE PREVENTION VERIFICATION AT CUSTOMER LEVEL IS MANDATORY FOR MESSAGES
CONTAINING THE UNIQUE CUSTOMER IDENTIFIER ................................................................................................... 7
2.2
THE UNIQUE CUSTOMER IDENTIFIER IS OPTIONAL......................................................................................... 7
2.3
SELF TRADE PREVENTION AT CUSTOMER LEVEL - REQUIRED PARAMETERS ............................................. 7
2.3.1
Unique Customer Identifier ................................................................................................................... 7
2.4
SELF TRADE ACTION FUNCTIONALITY........................................................................................................... 7
2.5
RULES FOR SELF TRADE VERIFICATION AT CUSTOMER LEVEL ................................................................... 7
2.5.1
Continuous trading ................................................................................................................................ 8
2.5.2
In a condition that can trigger an auction ............................................................................................. 8
2.5.3
During an auction .................................................................................................................................. 8
SELF TRADE PREVENTION ........................................................................................................................... 9

3.1
SELF TRADE PREVENTION SCENARIOS ....................................................................................................... 10
3.1.1
Self Trade prevention on Aggressing Order ........................................................................................ 10
3.1.2
Self Trade prevention on Order Modification ...................................................................................... 11
3.1.3
Self Trade prevention and Partial Fills ............................................................................................... 11
3.1.4
Self Trade prevention on Stop Orders.................................................................................................. 13
EXAMPLES ....................................................................................................................................................... 14
4.1
SELF TRADE SCENARIOS FOR LIMIT ORDERS ............................................................................................ 14
4.1.1
Scenario 1 ............................................................................................................................................ 14
4.1.1.1
4.1.1.2
4.1.2
4.1.2.1
4.1.2.2
4.1.3
4.1.3.1
4.1.3.2
4.1.4
4.1.4.1
4.1.4.2
Steps ................................................................................................................................................................ 14
Result............................................................................................................................................................... 14
Scenario 2 ............................................................................................................................................ 14
Steps ................................................................................................................................................................ 14
Result............................................................................................................................................................... 14
Scenario 3 ............................................................................................................................................ 15
Steps ................................................................................................................................................................ 15
Result............................................................................................................................................................... 15
Scenario 4 ............................................................................................................................................ 15
Steps ................................................................................................................................................................ 15
Result............................................................................................................................................................... 16
4.2
SELF TRADE SCENARIOS FOR FILL AND KILL ORDERS (FAK) ................................................................... 16
4.2.1
Scenario 1 ............................................................................................................................................ 16
4.2.1.1
4.2.1.2
Steps ................................................................................................................................................................ 16
Result............................................................................................................................................................... 16
4.3
SELF TRADE SCENARIOS FOR ORDERS WITH MINIMUM QUANTITY ........................................................... 17
4.3.1
Scenario 1 ............................................................................................................................................ 17
4.3.1.1
4.3.1.2
4.3.2
4.3.2.1
4.3.2.2
Steps ................................................................................................................................................................ 17
Result............................................................................................................................................................... 17
Scenario 2 ............................................................................................................................................ 17
Steps ................................................................................................................................................................ 17
Result............................................................................................................................................................... 18

Document
4.4
SELF TRADE SCENARIOS FOR FILL OR KILL ORDERS (FOK) ..................................................................... 18
4.4.1
Scenario 1 ............................................................................................................................................ 18
4.4.1.1
4.4.1.2
Steps ................................................................................................................................................................ 18
Result............................................................................................................................................................... 18
4.5
SELF TRADE SCENARIOS FOR PRICE AND QUANTITY CONTROL................................................................ 18
4.5.1
Scenario 1 ............................................................................................................................................ 18
4.5.1.1
4.5.1.2
4.5.2
4.5.2.1
4.5.2.2
Steps ................................................................................................................................................................ 18
Result............................................................................................................................................................... 19
Scenario 3 ............................................................................................................................................ 19
Steps ................................................................................................................................................................ 19
Result............................................................................................................................................................... 19
4.6
SELF TRADE PREVENTION GENERAL SCENARIOS...................................................................................... 20
4.6.1
Scenario 1: Incoming Orders from the Same Customer, but No Potential Match ............................... 20
4.6.1.1
4.6.1.2
4.6.2
4.6.2.1
4.6.2.2
Steps ................................................................................................................................................................ 20
Result............................................................................................................................................................... 20
Scenario 2: Potential match with two orders of the same customer .................................................... 20
Steps ................................................................................................................................................................ 20
Result: ............................................................................................................................................................. 21
4.6.3
Scenario 3: Incoming Market-to-Limit Bid matches multiple orders, but one order belongs to the
same customer Bid elimination ......................................................................................................................... 21
4.6.3.1
4.6.3.2
4.6.4
4.6.4.1
4.6.4.2
4.6.4.3
4.6.5
4.6.5.1
4.6.5.2
4.6.5.3
4.6.5.4
4.6.6
4.6.6.1
4.6.6.2
Steps ................................................................................................................................................................ 21
Result............................................................................................................................................................... 21
Scenario 4: Simultaneous Self Trade at Customer Level and Broker / Firm Level ............................. 21
Pre-Conditions................................................................................................................................................ 21
Steps ................................................................................................................................................................ 22
Result............................................................................................................................................................... 22
Scenario 5: Attempt to Submit Orders during an Auction ................................................................... 22

Pre-Conditions................................................................................................................................................ 22
Steps ................................................................................................................................................................ 23
Result............................................................................................................................................................... 23
Brief explanation ............................................................................................................................................ 23
Scenario 9: Stop order: elimination when elected ............................................................................... 23

Steps ................................................................................................................................................................ 23
Result............................................................................................................................................................... 23
THE UNIQUE CUSTOMER IDENTIFIER ................................................................................................... 25
Table Index
Table 1 - Scenario 1 for limit orders ............................................................................................................ 14
Table 3 - Scenario 2 resulting book ............................................................................................................ 14
Table 8 - Scenario 1 for FAK order ............................................................................................................. 16
Table 9 - Scenario 1 for FAK resulting book ............................................................................................... 17
Table 10 - Scenario 1 for minimum quantity order ...................................................................................... 17
Table 11 - Scenario 2 for minimum quantity order ...................................................................................... 17
Table 12 - Scenario 2 for minimum quantity order: resulting book ............................................................. 18
Table 13 - Scenario 1 for FOK order ........................................................................................................... 18
Table 14 - Scenario 1 for quantity control ................................................................................................... 19
Table 15 - Scenario 3 for price control ........................................................................................................ 19
Table 16 - Scenario 3 for price control: resulting crossed book .................................................................. 19

Document
Table 17 - Initial book .................................................................................................................................. 20

Table 18 - Scenario 1: two orders of the same customer resting in the book ............................................ 20
Table 19 - Scenario 2: match with same customer ..................................................................................... 21
Table 20 Scenario 3: Market-to-Limit Bid matching with more than one order ........................................ 21
Table 21 Scenario 4: Self Trade at customer and Broker / Firm level ..................................................... 22
Table 22 Scenario 5: initial crossed book ................................................................................................ 22
Table 23 - Initial book .................................................................................................................................. 23
Table 24 Scenario 9: Stop order .............................................................................................................. 24

Document
Document Overview
This document provides the detailed level specifications for Self Trade prevention at customer level.
This document contains the following sections:
Business Context
Provide a brief explanation of Self Trade prevention from a business perspective.
Use Cases
Provide specific step-by-step business use scenarios for the Self Trade prevention feature.

Document
1
1.1
Business Context
Disambiguation
To avoid misunderstandings, there are two types of Self Trade

Self Trade Prevention at the Broker / Firm Level
The main goal of this feature is to restrict matching between buying and selling orders from the same
Broker / Firm. This is configured at group level by BVMF
Self Trade Prevention at the Customer Level
This functionality resembles the Self Trade prevention at the Broker / Firm Level; however the main
goal of Self Trade prevention at customer level is to restrict matching between buying and selling
orders from the same customer, regardless of Broker / Firm. The customer is identified by a unique
customer identifier, included within the FIX message.
It is up to the customer to include the unique customer identifier within the order message, i.e., it is
optional.
This document solely details Self Trade at Customer Level.

Document
Business Requirements
2.1
Self Trade prevention verification at Customer Level is Mandatory for Messages

Containing the Unique Customer Identifier
The trading platform must perform Self Trade validations at customer level against all orders which
contain the unique customer identifier. Messages that do not contain the unique customer identifier
are not validated for self trade prevention.
2.2
The unique customer identifier is optional

Self Trade prevention at the customer level must be explicitly required by the customer by providing a
unique Customer Identifier in the FIX order message. However this identifier is not mandatory.
2.3
Self Trade Prevention at Customer Level - Required Parameters
To enable the trading platform to handle Self Trade situations, the customer must provide the unique
Customer Identifier in the order message:
2.3.1 Unique Customer Identifier

The unique Customer Identifier is optionally used in customer orders as a key to identify the
customer.
o
This unique customer identifier is a unique number and by no means related to any Broker / Firm
number.
The unique customer Identifier can be optionally used by the customer regardless of Broker / Firm.
o
There is a TAG in the message entry and order modification to include the unique customer
identifier.
The unique Customer Identifier must be provided by the customer for the validation to be executed.
o
2.4
The system does not run Self Trade validations at customer level against orders not tagged with
the unique customer identifier.
Self Trade Action Functionality

Self Trade is a condition when both aggressor and aggressed order are tagged with the same unique
Customer Identifier.
The incoming (aggressing) order is eliminated in case of Self Trade at customer level.
A modification can lead to order elimination in case of Self Trade at customer level.
Self Trade prevention at customer level applies to both liquid and illiquid groups.
Self Trade prevention at customer level functionality is active for all instruments of a specific
instrument group, as decided by BM&FBOVESPA Market Operations. Changes (inclusions of
exclusions) of the list of groups with this functionality enabled will be communicated in advance to all
customers.
2.5
Rules for Self Trade Verification at Customer Level

Two orders on opposite market sides with the same unique Customer Identifier can rest in the
book simultaneously, as long as there is no potential match between them.

Document
When a Stop order is elected, the resulting actual order is subjected to the same rules as any other
incoming order.
2.5.1 Continuous trading

During continuous trading, Self Trade validation at customer level is triggered by incoming
(aggressing) orders tagged with a unique customer identifier.
During continuous trading, Self Trade validation at customer level is also triggered by
modification of orders tagged with a unique customer identifier.
Self Trade prevention at customer level works only if both aggressor (incoming) and aggressed
(resting) orders are tagged with the same unique Customer Identifier.
In such situation, the aggressing order must be eliminated
When a resting order tagged with a unique customer identifier is modified, and this modification leads
to a potential match with another order tagged with the same identifier, this modified order must be
eliminated.
For incoming Minimum quantity orders or FOK orders, the Match Engine needs to analyze the book to
assure the minimum required quantities can be achieved without self-trade. Otherwise the incoming
(aggressing) order must be eliminated upon entry.
2.5.2 In a condition that can trigger an auction

No Self Trade prevention validation is performed during conditions that can trigger an auction.
2.5.3 During an auction

No Self Trade prevention validation is performed during an auction.
Self Trade Prevention functionality is available only for Derivatives traded using the
PUMA platform, and not for MegaBolsa.

Document
Self Trade Prevention
Self Trade prevention at customer level is a functionality that aims to restrict matching between buying
and selling orders from the same customer, regardless of Broker/Firm.
For this purpose, the customer must be identified with a unique Investor ID, included within the order
message. The use of this unique identifier is optional and it is up to the customer to provide this
information within the Parties block in the FIX message.
Note that Investor ID value is not the same as the customers Account (1) field nor is there necessarily a
one-to-one mapping between Account and Investor ID.
As presented below, PartyID (448) field must be used to convey the unique customer identifier used by
Self Trade prevention and PartyRole (452) must be assigned with value 5 Investor ID.
Tag
453
Tag Name
NoPartyIDs
Data Type
NumInGroup
448
PartyID
String
447
452
PartyIDSource
PartyRole
Char
Int
Value
Investors must provide here their unique customer identifier
in order to enable Self Trade prevention.
D
5
Its important to note that Self Trade prevention at customer level works only if both aggressor (incoming)
and aggressed (resting) orders are assigned to the same unique Investor ID.
However, two orders on opposite market sides with the same unique customer identifier can rest in
the book simultaneously, as long as there is no potential match between them.
Self Trade prevention rules at the customer level do not apply for auction, match
events that trigger an auction, orders entered on-behalf by CCB and UDS legs.
In order to guarantee the oneness on Investor IDs, BVMF adopted the following convention to define the
customer identifier for each participant:
Brazilian residents and corporate investors must use the 8 leftmost digits of their CNPJ;
A Brazilian resident and individual investor uses the whole CPF as a unique customer identifier;
Non-resident investors must use a six-digit code extracted from their individual investor ID. The whole
code is formatted as AAAAA.BBBBBB.CCCCCC.X-Y, where only the CCCCCC part is used.
The table below presents some examples of Investor IDs:
Investor
Document Type
Document Number
Unique Customer Identifier
Corporate resident
CNPJ
99.999.999/9999-99
99999999
Individual resident
CPF
999.999.999-99
99999999999
Non-resident investor
Investor ID
9999.999999.999999.9-9
999999
Note: All Investor ID values above should be provided in tag PartyID (448) as numeric only (i.e. exclude
alphanumeric characters such as dashes and dots).

Document
3.1
Self Trade prevention scenarios
This section presents scenarios where the Self Trade prevention at the customer level causes the
cancellation of orders entered by customers. In all cases, the system sends an ExecutionReport and
provides the reason for the order elimination in tag ExecRestatementReason (378).
3.1.1 Self Trade prevention on Aggressing Order

In this scenario, the customer already has an order in the book tagged with their unique Investor ID and
the new order that is being sent can potentially match with the one in the book.
In this case, the new order is accepted and then canceled upon entry. Tag OrderStatus (39) in the
ExecutionReport sent to the participant indicates that the order has been canceled (39 = 4 Canceled) and
tag ExecRestatementReason (378) provides a self explanatory reason for the elimination (378 = 103 Self
Trade prevention).
Note that the system does not run Self Trade validations at customer level for orders not tagged with
Party Role (452) = 5 Investor ID.
Order Entry Gateway
{An order for buying 100 shares at $ 70.77

of customer 02058930 already rests in the
order book when the same customer sends
the following sell order to the system.}
BM&FBovespa
NewOrderSingle (35=D, 54=2, 38=100, 44=70.77, 448=02058930, 447=D, 452=5)
ExecutionReport (35=8, 39=0, 150=0) - Accepted
(SELF TRADING
TRADE PREVENTION))
ExecutionReport (35=8, 39=4, 150=D, 378=103 (SELF
PREVENTION))
{Aggressing order is eliminated}
Figure 1 - Self Trade prevention on aggressing order
The following table shows the sequence of messages received and sent by the Exchange and some
sample values are assigned to key fields in order to demonstrate their usage:
1
2
3
Message
Received
NewOrderSingle
Message
Sent
ExecutionReport
D
8
2
2
448
(452=5)
02058930
02058930
ExecutionReport
02058930
35
40
38
44
100
100
70.77
70.77
-0
39
-0
150
---
378
100
70.77
103
Comment
New
Restated /
Canceled
10

Document
3.1.2 Self Trade prevention on Order Modification

When an order modification leads to a potential match with another order, tagged with the same Investor
ID, the modification will be accepted but it will be followed by an immediate elimination of the order.
Tag OrderStatus (39) in the ExecutionReport sent to the participant indicates that the order has been
canceled (39 = 4 Canceled) and tag ExecRestatementReason (378) provides a self explanatory reason
for the elimination (378 = 103 Self Trade prevention).
Figure 2 - Self Trade prevention on order modification

Message
Received
1
NewOrderSingle
2
3
Message
Sent
35
D
ExecutionReport
OrderCancelReplaceRequest
8
G
ExecutionReport
ExecutionReport
11
AB
C
AB
C
DE
F
DE
F
DE
F
448
(452=5)
38
44
02058930
100
02058930
40
39
150
378
Comment
72.77
--
--
--
100
72.77
--
02058930
100
70.77
--
--
--
02058930
100
70.77
--
Replaced
02058930
100
70.77
103
Restated /
Canceled
New
3.1.3 Self Trade prevention and Partial Fills

This scenario presents a situation in which the order is partially executed in 200 shares and the remaining
amount of 800 is eliminated because the next aggressed order has the same unique Investor ID.
Tag OrderStatus (39) in the ExecutionReport sent to the participant indicates that the order has been
canceled (39 = 4 Canceled) and tag ExecRestatementReason (378) provides a self explanatory reason
for the elimination (378 = 103 Self Trade prevention).
11

Document
Order Entry Gateway
BM&FBovespa
NewOrderSingle (35=D, 11=ABC, 38=100, 448=02058930, 447=D, 452=5)
ExecutionReport (35=8, 11=ABC, 39=0, 150=0) - Accept
{Order matches partially

with other counter parties
before it is eliminated}
ExecutionReport (35=8, 11=ABC, 39=1, 150=F) - Partial Fill
ExecutionReport (35=8, 11=ABC, 39=1, 150=F) - Partial Fill
ExecutionReport (35=8, 11=ABC, 39=4, 150=D, 378=103 (SELF

PREVENTION))
(SELFTRADING
TRADE PREVENTION))
{Order is eliminated}
Figure 3 - Self Trade prevention and partial fills

For incoming Minimum quantity orders or FOK orders, the Match Engine analyzes the book to assure the
minimum required quantities can be achieved without self-trade. Otherwise the incoming (aggressing)
order must be eliminated upon entry.
1
2
3
4
5
Message
Received
NewOrderSingle
Message
Sent
38
32
151
14
ABC
ABC
ABC
ABC
448
(452=5)
02058930
02058930
02058930
02058930
1000
1000
1000
1000
--100
100
-1000
900
800
--100
200
ABC
02058930
1000 --
800
200
35
11
ExecutionReport
ExecutionReport
ExecutionReport
D
8
8
8
ExecutionReport
39
150
378
-0
1
1
-0
F
F
-----
Comment
New
Partial Fill
Partial Fill
Restated /
103
Canceled
12

Document
3.1.4 Self Trade prevention on Stop Orders

In the following scenario, a Stop order becomes a Limit order and it is tagged with the same Investor ID
as another order in the book. If such condition leads to a self-trade, the triggered order will be immediately
eliminated.
Tag WorkingIndicator (636) points when the order becomes active and available for trading. Upon
activation, the OrderType (40) changes from Stop Limit (40 = 4) to Limit (40 = 2) and the order is
eliminated by the Self Trade prevention functionality.
{A Stop Order is
accepted and rests
in the stop order book.}
Order Entry Gateway
BM&FBovespa
NewOrderSingle (35=D, 11=ABC, 40=4, 38=100, 448=02058930, 447=D, 452=5)
ExecutionReport (35=8, 11=ABC, 39=0, 40=4, 150=0, 636=N) - Accept
{Stop Order triggers}
ExecutionReport (35=8, 39=0, 40=2, 636=Y) - Accept
ExecutionReport (35=8, 11=ABC, 39=4, 150=D, 378=103 (SELF

PREVENTION))
(SELFTRADING
TRADE PREVENTION))
{Order is eliminated}
Figure 4 - Self Trade prevention on Stop orders
1
2
3
4
Message
Received
NewOrderSingle
Message
Sent
ExecutionReport
ExecutionReport
ExecutionReport
3
5
D
8
8
8
11
ABC
ABC
ABC
ABC
40
4
4
2
2
448
(452=5)
02058930
02058930
02058930
02058930
38
100
100
100
100
39
-0
0
4
150
-0
0
D
378
---103
636
-N
Y
--
Comment
New
New
Restated /
Canceled
13

Document
Examples
All examples and brokers are fictional.
4.1
Self Trade Scenarios for Limit Orders
4.1.1 Scenario 1
4.1.1.1
Steps
BROKER / FIRM 82 is buying 100 shares at R $ 70.77 for customer 02058930 and submits a sell
order of 100 at R $ 70.77 to customer 02058930.
Table 1 - Scenario 1 for limit orders
BID side
Broker
/
Firm ID
82
82
16
147
122
4.1.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011 14:42:48
100
500
300
500
600
70,77
70,76
70,75
70,75
70,72
70,97
70,97
70,98
70,99
71
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
300
100
500
500
2000
Broker
Firm ID
54
3
150
227
27
Result
The aggressing (incoming) order should be eliminated because the aggressed one has the same
unique Customer Identifier.
4.1.2 Scenario 2
4.1.2.1
Steps
BROKER / FIRM 82 is buying 500 shares at R $ 70.76 for customer 00003491 and BROKER / FIRM
22 submits a sell order of 1,000 at R $ 70.75 for customer 00003491.
BID side
Broker
Firm ID
82
82
16
147
122
4.1.2.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011 14:42:48
100
500
300
500
600
70,77
70,76
70,75
70,75
70,72
70,97
70,97
70,98
70,99
71
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
300
100
500
500
2000
Broker / Firm
ID
54
3
150
227
27
Result
The order is partially executed in 100 shares at R$ 70.77 and the remaining amount is eliminated
because the aggressed one has the same unique Customer Identifier.
Table 3 - Scenario 2 resulting book
BID side
Broker
Firm ID
82
16
147
122
Timestamp
Quantity
Price
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011 14:42:48
500
300
500
600
70,76
70,75
70,75
70,72
ASK side
Price
Quantity
Timestamp
70,97
70,97
70,98
70,99
71
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
300
100
500
500
2000
Broker / Firm
ID
54
3
150
227
27
14

Document
4.1.3 Scenario 3
4.1.3.1
Steps
BROKER / FIRM 147 is buying 500 shares at R$ 70.75 for customer 00219426 and submits a sell
order of 10,000 at R$ 70.00 for customer 00219426.
BID side
Broker / Firm
ID
82
Timestamp
Quantity
Price
ASK side
Price
Quantity
4/7/2011 15:42:31
100
70,77
70,97
300
82
4/7/2011 15:31:49
500
70,76
70,97
100
16
4/7/2011 15:28:00
300
70,75
70,98
500
147
4/7/2011 15:42:15
500
70,75
70,99
500
122
4/7/2011 14:42:48
600
70,72
71
2000
4.1.3.2
Timestamp
Broker /
Firm ID
54
4/7/2011
15:42:26
4/7/2011
15:42:40
4/7/2011
15:42:40
4/7/2011
15:39:07
4/7/2011
15:37:57
3
150
227
27
Result
The order is partially executed in 900 shares: 100 at R$ 70.77, 500 at R$ 70.76 and 300 at R$ 70.75
and the remaining amount of 9100 is eliminated because the aggressed one has the same unique
BID side
Broker / Firm
ID
147
122
Timestamp
Quantity
Price
ASK side
Price
Quantity
4/7/2011 15:42:15
500
70,75
70,97
300
4/7/2011 14:42:48
600
70,72
70,97
100
70,98
500
70,99
500
71
2000
Timestamp
Broker /
Firm ID
54
4/7/2011
15:42:26
4/7/2011
15:42:40
4/7/2011
15:42:40
4/7/2011
15:39:07
4/7/2011
15:37:57
3
150
227
27
4.1.4 Scenario 4
4.1.4.1
Steps
BROKER / FIRM 21 is buying 100 shares at R $ 67.90 for customer 00054860 and submits a sell
order of 10,000 at R$ 67.90 for customer 00054860.
BID side
Broker /
Firm ID
82
82
16
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
15:42:31
4/7/2011
15:31:49
4/7/2011
15:28:00
100
70,00
70,97
300
4/7/2011 15:42:26
Broker
Firm ID
54
500
70,00
70,97
100
4/7/2011 15:42:40
300
69,50
70,98
500
4/7/2011 15:42:40
150
15

Document
147
4/7/2011
15:42:15
4/7/2011
14:42:48
4/7/2011
15:30:18
4/7/2011
14:33:09
4/7/2011
14:50:30
122
2
8
21
4.1.4.2
500
69,00
70,99
500
4/7/2011 15:39:07
227
600
68,00
71
2000
4/7/2011 15:37:57
27
100
67,95
71,1
100
4/7/2011 15:29:37
147
1000
67,90
71,2
500
4/7/2011 15:05:55
27
100
67,90
71,2
500
4/7/2011 15:21:17
227
Result
The order is partially executed in 3100 shares: 100 and 500 at R$ 70.00, 300 at R$ 69.50, 500 at R$
69.00, 600 at R$ 68.00, 100 at R$ 67, 95, and 1000 at R$ 67.90 and the remaining amount of 6900 at
R$ 67.90 is eliminated.
BID side
Broker /
Firm ID
21
4.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
14:50:30
100
67,90
70,97
300
4/7/2011 15:42:26
Broker
Firm ID
54
70,97
70,98
70,99
71
71,1
71,2
71,2
100
500
500
2000
100
500
500
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
4/7/2011 15:29:37
4/7/2011 15:05:55
4/7/2011 15:21:17
3
150
227
27
147
27
227
Self Trade Scenarios for Fill and Kill Orders (FAK)
4.2.1 Scenario 1
4.2.1.1
Steps
BROKER / FIRM 147 is buying 500 shares at R $ 70.75, and customer 00219426 sends a sell order
of 10,000 at R $ 70.00 for customer 00219426 with FAK qualifier.
Table 8 - Scenario 1 for FAK order
BID side
Broker
/
Firm ID
82
82
16
147
122
4.2.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011 14:42:48
100
500
300
500
600
70,77
70,76
70,75
70,75
70,72
70,97
70,97
70,98
70,99
71
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
300
100
500
500
2000
Broker
Firm ID
54
3
150
227
27
Result
The order is partially executed in 900 shares: 100 at R$ 70.77, 500 at R$ 70.76, and 300 at R$ 70.75,
and the remaining amount of 9100 is eliminated because the aggressed one has the same unique
16

Document
Table 9 - Scenario 1 for FAK resulting book

BID side
Broker
/
Firm ID
147
122
4.3
Timestamp
Quantity
Price
4/7/2011 15:42:15
4/7/2011 14:42:48
500
600
70,75
70,72
ASK side
Price
Quantity
Timestamp
70,97
70,97
70,98
70,99
71
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
300
100
500
500
2000
Broker
Firm ID
54
3
150
227
27
Self Trade Scenarios for Orders with Minimum Quantity
4.3.1 Scenario 1
4.3.1.1
Steps
BROKER / FIRM 147 is buying 500 shares at R $ 70.75 for customer 00219426 and sends a sell
order of 10,000 at R$ 70.00 with minimum quantity equals to 1000 for customer 00219426.
Table 10 - Scenario 1 for minimum quantity order
BID side
Broker
/
Firm ID
82
82
16
147
122
4.3.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011
15:42:15
4/7/2011 14:42:48
100
500
300
500
70,77
70,76
70,75
70,75
70,97
70,97
70,98
70,99
300
100
500
500
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker / Firm
ID
54
3
150
227
600
70,72
71
2000
4/7/2011 15:37:57
27
Result
The order is eliminated because it couldnt achieve the minimum quantity before reaching the Bid
tagged with the same unique customer identifier.
4.3.2 Scenario 2
4.3.2.1
Steps
BROKER / FIRM 147 is buying 500 shares at R$ 70.75 for customer 00219426 and BROKER / FIRM
22 submits a sell order for 1,000 at R$ 70.00 for customer 00219426 with a minimum quantity equals
to 500.
Table 11 - Scenario 2 for minimum quantity order
BID side
Broker /
Firm ID
82
82
16
147
122
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011
15:42:15
4/7/2011 14:42:48
100
500
300
500
70,77
70,76
70,75
70,75
70,97
70,97
70,98
70,99
300
100
500
500
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker /
Firm ID
54
3
150
227
600
70,72
71
2000
4/7/2011 15:37:57
27
17

Document
4.3.2.2
Result
The order is partially executed in 900 shares: 100 at R$ 70.77, 500 at R$ 70.76, and 300 at R$ 70.75,
and the remaining amount of 100 is eliminated because the next aggressed order has the same
Table 12 - Scenario 2 for minimum quantity order: resulting book
BID side
Broker /
Firm ID
147
122
4.4
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
15:42:15
4/7/2011 14:42:48
500
70,75
70,97
300
4/7/2011 15:42:26
Broker /
Firm ID
54
600
70,72
70,97
70,98
70,99
71
100
500
500
2000
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
3
150
227
27
Self Trade Scenarios for Fill or Kill Orders (FOK)
4.4.1 Scenario 1
4.4.1.1
Steps
BROKER / FIRM 82 is buying 500 shares at R$ 70.76 for customer 00219426 and sends a sell order
with qualifier FOK of 1,000 at R$ 70.00 for customer 00219426.
Table 13 - Scenario 1 for FOK order
BID side
Broker /
Firm ID
82
82
16
147
122
4.4.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
15:42:31
4/7/2011
15:31:49
4/7/2011
15:28:00
4/7/2011
15:42:15
4/7/2011
14:42:48
100
70,77
70,97
300
4/7/2011 15:42:26
Broker /
Firm ID
54
500
70,76
70,97
100
4/7/2011 15:42:40
300
70,75
70,98
500
4/7/2011 15:42:40
150
500
70,75
70,99
500
4/7/2011 15:39:07
227
600
70,72
71
2000
4/7/2011 15:37:57
27
Result
The order is eliminated because the minimum condition to match would include an order tagged with
the same unique customer identifier.
4.5
Self Trade Scenarios for Price and Quantity Control
4.5.1 Scenario 1
4.5.1.1
Steps
BROKER / FIRM 82 is buying 1000 shares at R$ 70.77 for customer 00219426 and BROKER / FIRM
22 sends a sell order of 1,500 at R$ 70.00 for customer 00219426.
The quantity band is triggered with a quantity equals to or higher than 900.
18

Document
Table 14 - Scenario 1 for quantity control

BID side
Broker /
Firm ID
82
82
16
147
122
4.5.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011 14:42:48
1000
70,77
70,97
300
4/7/2011 15:42:26
Broker
Firm ID
54
500
300
500
600
70,76
70,75
70,75
70,72
70,97
70,98
70,99
71
100
500
500
2000
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
3
150
227
27
Result
The incoming Ask triggers an auction despite of being tagged with the same unique customer
identifier of the resting 1000Lots@70.77 Bid.
4.5.2 Scenario 3
4.5.2.1
Steps
BROKER / FIRM 16 is buying 300 shares at R$ 70.75 for customer 00219426 and sends a sell order
of 1,000 at R $ 70.00 for customer 00219426.
The auction price band is triggered with a price equals to or less than R$ 70.75.
Table 15 - Scenario 3 for price control
BID side
Broker /
Firm ID
82
82
147
16
122
4.5.2.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
15:42:31
4/7/2011
15:31:49
4/7/2011
15:28:00
4/7/2011
15:42:15
4/7/2011
14:42:48
100
70,77
70,97
300
4/7/2011 15:42:26
Broker
Firm ID
54
500
70,76
70,97
100
4/7/2011 15:42:40
500
70,75
70,98
500
4/7/2011 15:42:40
150
300
70,75
70,99
500
4/7/2011 15:39:07
227
600
70,72
71
2000
4/7/2011 15:37:57
27
Result
The order is partially executed in 600 shares: 100 at R$ 70.77, 500 at $ 70.76, and the remaining
amount of 400 triggers the auction at R$ 70.75.
Table 16 - Scenario 3 for price control: resulting crossed book
BID side
Broker /
Firm ID
147
16
122
Timestamp
Quantity
Price
ASK side
Price
Quantity
4/7/2011
15:28:00
4/7/2011
15:42:15
4/7/2011
14:42:48
500
70,75
70,75
400
300
70,75
70,97
300
4/7/2011
16:01:00
4/7/2011 15:42:26
600
70,72
70,97
100
4/7/2011 15:42:40
70,98
70,99
71
500
500
2000
4/7/2011 15:42:40
4/7/2011 15:39:07
4/7/2011 15:37:57
150
227
27
Timestamp
Broker
Firm ID
16
54
19

Document
4.6
Self Trade Prevention General Scenarios
For the remaining scenarios, the following initial order book applies:
Reference price = $1499.00
Auction bands: $1494.00 x 1503.00
Quantity band = 700Lots
Protection points = $2.00
Table 17 - Initial book
BID side
Broker
/
Firm ID
82
82
16
147
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
100
150
150
100
$1499.00
$1498.50
$1498.00
$1495.00
$1501.00
$1502.00
$1502.50
$1504.00
100
200
100
50
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker /
Firm ID
54
3
150
227
4.6.1 Scenario 1: Incoming Orders from the Same Customer, but No Potential Match
4.6.1.1
Steps
Broker / Firm 22 sends new bid of 100Lots@$1495.00. It is tagged with a unique Customer Identifier.
An incoming ask of 100Lots@$1501.00 submitted by Broker / Firm 29, with the same unique
Table 18 - Scenario 1: two orders of the same customer resting in the book
BID side
Broker
/
Firm ID
82
82
16
147
22
4.6.1.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
4/7/2011
16:01:31
100
150
150
100
100
$1499.00
$1498.50
$1498.00
$1495.00
$1495.00
$1501.00
$1501.00
$1502.00
$1502.50
$1504.00
100
100
200
100
50
4/7/2011 15:42:26
4/7/2011 16:01:33
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker /
Firm ID
54
29
3
150
227
Result
This scenario does not trigger any Self Trade action because there is no potential match. Both orders
will rest in the order book.
4.6.2 Scenario 2: Potential match with two orders of the same customer
4.6.2.1
Steps
Broker / Firm 22 submitted a bid of 100Lots@$1500.00 NOT tagged with unique Customer Identifier.
Broker / Firm 29 is submitting a limit ask of 100Lots@$1500.00 tagged with a unique Customer
Identifier.
20

Document
Table 19 - Scenario 2: match with same customer

BID side
Broker
/
Firm ID
22
82
82
16
147
4.6.2.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011
16:01:31
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
100
$1500.00
$1501.00
100
4/7/2011 15:42:26
Broker /
Firm ID
54
100
150
150
100
$1499.00
$1498.50
$1498.00
$1495.00
$1502.00
$1502.50
$1504.00
200
100
50
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
3
150
227
Result:
This scenario does not trigger any Self Trade prevention at customer level action because the Match
Engine cannot identify that both orders belongs to the same customer (one of them is not tagged)
Resulting trade of 100Lots@$1500.00
4.6.3 Scenario 3: Incoming Market-to-Limit Bid matches multiple orders, but one order
belongs to the same customer Bid elimination
4.6.3.1
Steps
A limit Ask, from Broker / Firm 29, is resting in the book. It is 100Lots@$1501.00 tagged with a
There is an incoming Market-to-Limit bid of 300Lots tagged with the same unique Customer Identifier,
from Broker / Firm 22
Book is:
Table 20 Scenario 3: Market-to-Limit Bid matching with more than one order
BID side
Broker
/
Firm ID
82
82
16
147
4.6.3.2
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
100
150
$1499.00
$1498.50
$1501.00
$1501.00
100
100
4/7/2011 15:28:00
4/7/2011 15:42:15
150
100
$1498.00
$1495.00
$1502.00
$1502.50
$1504.00
200
100
50
4/7/2011 15:42:26
4/7/2011
16:01:33
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker
Firm ID
54
29
3
150
227
Result
First trade is 100Lots@$1501.00. Remaining bid quantity is $200Lots.

When trying to match with 100Lots@$1501.00 Ask, tagged with the same unique customer identifier,
the system will eliminate the remaining bid quantity due to Self Trade at the same customer. The first
trade remains valid.
4.6.4 Scenario 4: Simultaneous Self Trade at Customer Level and Broker / Firm Level
4.6.4.1
Pre-Conditions
In addition to the Self Trade Prevention General Scenarios described in section 4.6, the following preconditions also apply for this scenario:
Group is configured to trigger an auction on Self Trade at the Broker / Firm level.
21

Document
Both orders are submitted by the same customer (same unique Customer Identifier) and through the
same Broker / Firm.
4.6.4.2
Steps
Broker / Firm 22 submitted an Ask of 100Lots@$1500.00 tagged with a unique Customer Identifier. It
rests in the book.
Table 21 Scenario 4: Self Trade at customer and Broker / Firm level
BID side
Broker
/
Firm ID
82
82
16
147
Timestamp
Quantity
Price
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
100
150
150
100
$1499.00
$1498.50
$1498.00
$1495.00
ASK side
Price
Quantity
Timestamp
$1500.00
$1501.00
$1502.00
$1502.50
$1504.00
100
100
200
100
50
7/7/2011 16:01:31
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker /
Firm ID
22
54
3
150
227
Broker / Firm 22 submits an incoming limit bid of 100Lots@$1500.00, tagged with the same unique
4.6.4.3
Result
The incoming Bid triggers an auction due to Self Trade at Broker / Firm level.
4.6.5 Scenario 5: Attempt to Submit Orders during an Auction

4.6.5.1
Pre-Conditions
Current parameters:
Auction bands: $1494.00 x 1503.00
Broker / Firm 82 submitted a Bid of 400Lots@$1500.00 tagged with a unique Customer Identifier.
Broker / Firm 54 submitted an Ask of 700Lots@$1500.50 with the same unique Customer Identifier.
Broker / Firm 82 submitted a Bid of 800Lots@$1501.00 from a different customer, which triggers an
auction by breaching the quantity band.
The resulting book is:
Table 22 Scenario 5: initial crossed book
TOP = $1501.00 / TOQ = 800
BID side
Broker
/ Timestamp
Firm ID
82
4/7/2011 15:42:31
Quantity
Price
ASK side
Price
Quantity
Timestamp
800
$1501.00
$1500.50
700
82
400
$1500.00
$1501.00
100
4/7/2011
15:42:26
4/7/2011 15:42:40
100
150
$1499.00
$1499.00
$1502.00
$1502.00
200
100
4/7/2011 15:42:40
4/7/2011 15:39:07
16
147
4/7/2011
15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
Broker
Firm ID
54
3
150
227
22

Document
4.6.5.2
Steps
Broker / Firm 82 submitted a Bid of 200Lots@$1502.00, tagged with the same unique Customer
Identifier as the highlighted orders in the book (400@$1500.00 Bid and 700@$1500.50 Ask).
4.6.5.3
Result
The incoming bid 200Lots@$1502.00 is accepted.

4.6.5.4
Brief explanation
There is no Self Trade validation at customer level during an auction.
4.6.6 Scenario 9: Stop order: elimination when elected

Similar to previous examples from section 4.6, the initial book condition is:
Auction bands: $1494.00 x 1503.00
A Stop Bid, from Broker / Firm 22, is resting in the stop order book. It triggers at $1500.00 and
becomes a limit bid of 100Lots@$1501.00. This order is tagged with the same unique customer
identifier as the Ask 100Lots@$1501.00 from broker 29.
Table 23 - Initial book
BID side
Broker
/
Firm ID
82
82
16
147
4.6.6.1
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
100
150
150
100
$1499.00
$1498.50
$1498.00
$1495.00
$1501.00
$1502.00
$1502.50
$1504.00
100
200
100
50
4/7/2011 15:42:26
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker /
Firm ID
54
3
150
227
Steps
A limit Ask, from Broker / Firm 29, is entered. It is 100Lots@$1501.00 tagged with a unique Customer
Identifier.
Ask 100Lots@1501.00 from Broker / Firm 54 is cancelled
There is an incoming limit Bid of 100Lots@$1500.00 from Broker / Firm 99
There is an incoming limit Ask of 100Lots@$1500.00 from Broker / Firm 98
4.6.6.2
Result
There is trade of 100Lots@$1500.00. Now the LTP (last trade price) = $1500.00 and the resulting
book is:
23

Document
Table 24 Scenario 9: Stop order

BID side
Broker
/
Firm ID
82
82
16
147
Timestamp
Quantity
Price
ASK side
Price
Quantity
Timestamp
4/7/2011 15:42:31
100
$1499.00
$1501.00
100
4/7/2011 15:31:49
4/7/2011 15:28:00
4/7/2011 15:42:15
150
150
100
$1498.50
$1498.00
$1495.00
$1502.00
$1502.50
$1504.00
200
100
50
4/7/2011
16:01:33
4/7/2011 15:42:40
4/7/2011 15:42:40
4/7/2011 15:39:07
Broker
Firm ID
29
3
150
227
Because now LTP = $1500.00, Stop order would become a limit Bid of 100Lots@$1501.00. But as
such condition would lead to self-trade with 100Lots@$1501.00 Ask, the Bid is eliminated. The book
remains as above.
24

Document
The unique customer identifier
BVMF will request the final investor to use their CPF/CNPJ as unique Customer Identifier. This document
is issued by Brazilian Revenue Service (Receita Federal) for both individual and corporate investors.
Non-resident investors will use their individual investor ID.
The rule is:
A Brazilian resident and corporate investor uses the 8 leftmost digits of its CNPJ as a unique
customer identifier;
A Brazilian resident and individual investor uses the whole CPF as a unique customer identifier;
A non-resident uses the individual investor ID, a six-digit code part of a broader code, used by the
exchange as a non-resident identifier. The whole code is formatted as aaaaa.bbbbbb.cccccc.x-y,
where just the cccccc part will be used.
Example
Investor 1: corporate and resident in Brazil
CNPJ is 99.999.999/9999-99. Unique Customer Identifier will be: 99999999
Investor 2: individual and resident in Brazil
CPF is 999.999.999-99. Unique Customer Identifier will be: 99999999999
Investor 3: non-resident investor
ID is 9999.999999.999999.9.9. Unique Customer Identifier will be: 999999
25

Self Trading Prevention Functionality v100

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Self Trading Prevention Functionality v100

Uploaded by

Copyright:

Available Formats

Self Trade Prevention Functionality

Version 1.0.0 October 19th 2011

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

TABLE INDEX ............................................................................................................................................................ 3

BUSINESS CONTEXT ....................................................................................................................................... 6

BUSINESS REQUIREMENTS .......................................................................................................................... 7

SELF TRADE PREVENTION ........................................................................................................................... 9

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Scenario 5: Attempt to Submit Orders during an Auction ................................................................... 22

Scenario 9: Stop order: elimination when elected ............................................................................... 23

THE UNIQUE CUSTOMER IDENTIFIER ................................................................................................... 25

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Table 17 - Initial book .................................................................................................................................. 20

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

To avoid misunderstandings, there are two types of Self Trade

This document solely details Self Trade at Customer Level.

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Self Trade prevention verification at Customer Level is Mandatory for Messages

The unique customer identifier is optional

Self Trade Prevention at Customer Level - Required Parameters

2.3.1 Unique Customer Identifier

Self Trade Action Functionality

Rules for Self Trade Verification at Customer Level

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

2.5.1 Continuous trading

2.5.2 In a condition that can trigger an auction

2.5.3 During an auction

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Self Trade Prevention

Unique Customer Identifier

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Self Trade prevention scenarios

3.1.1 Self Trade prevention on Aggressing Order

Order Entry Gateway

{An order for buying 100 shares at $ 70.77

NewOrderSingle (35=D, 54=2, 38=100, 44=70.77, 448=02058930, 447=D, 452=5)

ExecutionReport (35=8, 39=0, 150=0) - Accepted

{Aggressing order is eliminated}

Figure 1 - Self Trade prevention on aggressing order

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

3.1.2 Self Trade prevention on Order Modification

Figure 2 - Self Trade prevention on order modification

3.1.3 Self Trade prevention and Partial Fills

Trading Systems Department

BM&FBOVESPA Self Trade Prevention Functionality

Order Entry Gateway

NewOrderSingle (35=D, 11=ABC, 38=100, 448=02058930, 447=D, 452=5)

ExecutionReport (35=8, 11=ABC, 39=0, 150=0) - Accept

{Order matches partially

ExecutionReport (35=8, 11=ABC, 39=1, 150=F) - Partial Fill

ExecutionReport (35=8, 11=ABC, 39=1, 150=F) - Partial Fill

ExecutionReport (35=8, 11=ABC, 39=4, 150=D, 378=103 (SELF

Figure 3 - Self Trade prevention and partial fills