CHX Direct Access Server (DAS) Link Specification Version 1.18, Revised 12/01/2015 SNAP is pending regulatory approval by the Securities and Exchange Commission and is not currently available for use. This document is purely informational and are not CHX Rules. CHX is under no obligation to maintain this document or to provide notice of any changes through this document. This document is subject to additional disclaimers, as noted below. For the most up to date information, please refer to CHX Rules, Rule 19b-4 filings and Legal Notices. . CHX Direct Access Server (DAS) Link Specification Revision History Date/Version Initials 06/08/2007 v 1.00 Revision RGG 09/19/2007 v 1.01 VS 10/05/2007 v 1.02 RGG Added Account field. Added AnonymityFlag. Remove Sell Short Exempt and Cross Short Exempt as valid sides. 10/12/07 v 1.03 RJG Remove Appendix A Tag 47 definitions 11/29/2007 v 1.04 RJG Added disconnect action code information 12/11/2007 v 1.04 RJG Added note to vendors 1/10/2008 v 1.04 RJG Added Stock-Option execution instruction to the inbound New Order message and removed the Opening Cross order type from the spec. 06/10/2008 v 1.05 JAC Changed default value for RefreshThreshold from 0 to MaxFloor. 07/15/2009 v 1.06 JAC Added Post only and Always Quote to New Order ExecInst. Added new trading sessions to New Order TradingSessionID. 07/27/2009 v 1.07 JAC Always Quote has been approved by SEC. 09/24/2009 v 1.08 JAC New trading sessions approved by SEC. Changed names to conform to the rule filing. 10/21/2010 v 1.09 JAC Restored Sell Short Exempt and Cross Short Exempt as valid sides. 02/03/2011 v 1.10 JAC Added CHXOnly to New Order. Added WorkPx to Execution Report. 02/07/2011 v 1.11 YT Initial release FIX 4.0 FIX 4.2 Updates for MTP 08/22/2013 v 1.12 YT 11/21/2013 v 1.13 JAC Match Trade Prevention (MTP) has been approved by the SEC with an implementation date of 12/2/2013. 09/24/2014 v 1.14 JAC Revised Rule80A (Tag 47) comments. 01/23/2015 v 1.15 JAC Added MERoutingInst to New Order. Note: The implementation of Match Trade Prevention functionality is subject to SEC approval. The tentative implementation date is 12/2/2013 Updates for SNAPsm Auctions on New Order, Execution Report and Cancel/Replace. 06/15/2015 v 1.16 JAC 11/11/2015 v 1.17 JAC Print Date: 12/10/15 8:37 AM Revised ExecInst, LastLiquidityInd, OrdType and TimeInForce. Added PegDiff, CancelOnAuctionCode, SNAPMinExecRequiredFlag, SNAPConvertToAOOFlag and AOOOneAndDoneFlag. Removed references to Cross with Yield functionality. Removed tags 7382, 7383, 7384, 7385 and 7386 Added custom tag 7400 to define SNAPsm and SNAPsm AOO orders on New Order and Execution Report. CHX Proprietary and Confidential Page 1 (35) . CHX Direct Access Server (DAS) Link Specification Date/Version Initials Revision Deprecated OrdType and TimeInForce values which previously defined SNAPsm and AOO orders on New Order and Execution Report. 12/01/2015 v 1.18 Print Date: 12/10/15 8:37 AM JAC Added custom tag 7400 to Cancel/Replace Request. CHX Proprietary and Confidential Page 2 (35) . CHX Direct Access Server (DAS) Link Specification Disclaimer The Chicago Stock Exchange, Inc. (CHX) DAS Link Specification is an informational document, which has been produced for the purpose of assisting order senders with developing or operating systems that interact with CHX systems. This specification is proprietary and CHX reserves the right to withdraw, modify, or replace this specification at any time and without notice. No obligation is made by CHX regarding the level, scope or timing of CHX’s implementations, functionality or features discussed in this specification.

This specification does not constitute a contract, or an offer to enter into a contract, between the Exchange and any other person or entity, including the Exchange’s participants. This specification is “as is”, “with all faults” and CHX makes no warranties and disclaims all warranties, express, implied or statutory related to this specification and to the operation of CHX systems. CHX is not liable for any consequential, incidental, or indirect damages relating to the specification or its use. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 3 (35) .

CHX Direct Access Server (DAS) Link Specification Table of Contents 1. Introduction ................................................................................................................................................................... 1 2. FIX Session .................................................................................................................................................................. 1 2.1 Message Header ......................................................................................................................................................... 1 2.2 Logon Message ...........................................................................................................................................................

2 2.3 Email ............................................................................................................................................................................ 2 2.4 Other Session Control Messages ................................................................................................................................ 2 2.5 Automated Order Cancel on Disconnect .....................................................................................................................

2 3. Order Messages ........................................................................................................................................................... 3 3.1 New Order.................................................................................................................................................................... 3 3.2 Order Cancel Request ...............................................................................................................................................

10 3.3 Cancel/Replace Request ........................................................................................................................................... 10 3.4 Order Status Request ................................................................................................................................................ 11 3.5 Execution Report .......................................................................................................................................................

11 3.6 Order Cancel Reject .................................................................................................................................................. 16 4. User- defined Fields ................................................................................................................................................... 17 5. FIX Message Examples .............................................................................................................................................

20 5.1 Buy Order................................................................................................................................................................... 20 5.2 Correspondent Order ................................................................................................................................................. 20 5.3 Cross Orders..............................................................................................................................................................

21 5.3.1 Normal Cross Order ........................................................................................................................................ 21 5.3.2 Midpoint Cross Order ...................................................................................................................................... 21 5.4 Display Orders ...........................................................................................................................................................

21 5.4.1 Reserve Order with RefreshThreshold ............................................................................................................ 21 5.4.2 Reserve Order without RefreshThreshold ....................................................................................................... 21 5.4.3 Do not Display Order .......................................................................................................................................

22 5.5 Reg NMS Orders ....................................................................................................................................................... 22 5.5.1 Price-Penetrating ISO ..................................................................................................................................... 22 5.5.2 BBO ISO ..........................................................................................................................................................

22 5.5.3 ISO Cross ........................................................................................................................................................ 22 5.5.4 5.6 Qualified Contingent Trade ............................................................................................................................. 23 SNAPsm Auction Orders .............................................................................................................................................

23 5.6.1 Buy Order – Cancel on SNAPsm Auction ......................................................................................................... 23 5.6.2 SNAPsm – Do Not Convert to SNAPsm AOO .................................................................................................... 23 5.6.3 SNAPsm – Minimum Threshold Required ........................................................................................................

24 5.6.4 SNAPsm AOO – One and Done ....................................................................................................................... 24 5.6.5 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – IBM tick size is .01 .......................................... 24 5.6.6 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – ADGE tick size is .01.......................................

24 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 4 (35) . CHX Direct Access Server (DAS) Link Specification 5.6.7 SNAPsm AOO – Buy Market Peg – Limit - Negative PegDiff – ADGE tick size is .01 ..................................... 25 5.6.8 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – BRK.A tick size is .10 ...................................... 25 5.6.9 SNAPsm AOO – Sell Market Peg – No Limit - Positive PegDiff – IBM tick size is .01 ..................................... 26 5.6.10 SNAPsm AOO – Buy Market Peg – No Limit - Negative PegDiff – IBM tick size is .01 ...................................

26 5.6.11 SNAPsm AOO – Sell Market Peg – Limit - Negative PegDiff – IBM tick size is .01 ......................................... 26 5.6.12 SNAPsm AOO – Buy Primary Peg – No Limit - Positive PegDiff – IBM tick size is .01 ................................... 27 5.6.13 SNAPsm AOO – Sell Primary Peg – Limit - Positive PegDiff – IBM tick size is .01 .........................................

27 5.6.14 SNAPsm AOO – Buy Primary Peg – Limit - Negative PegDiff – IBM tick size is .01 ....................................... 27 5.6.15 SNAPsm AOO – Sell Primary Peg – No Limit - Negative PegDiff – IBM tick size is .01 .................................. 28 5.6.16 SNAPsm AOO – Buy Midpoint Peg - Limit .......................................................................................................

28 5.6.17 SNAPsm AOO – Sell Midpoint Peg – No Limit ................................................................................................. 29 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 5 (35) . CHX Direct Access Server (DAS) Link Specification 1. Introduction The CHX Direct Access Server (DAS) provides a streamlined interface for customers to connect to the CHX Matching System. By using the DAS, orders should be received by the CHX Matching System much quicker than through the normal CHX interface. However, the DAS will not support all order types offered by the CHX Matching System.

In addition, the DAS will not support routing to any destination other than the CHX Matching System. This document is intended for firms who would like to connect to the CHX Matching System using the DAS. The DAS supports FIX version 4.0, 4.1 and 4.2. This document describes functionality that is proprietary, optional, different or possibly unclear in the standard FIX specifications, which can be accessed at www.fixprotocol.org. Note to Vendors: The DAS will accept orders from any give-up that is valid at the Chicago Stock Exchange, and therefore it is the vendor’s responsibility to assure that only orders intended to be sent to the CHX are sent over the DAS. Any requests for validation made in connection with orders sent through other CHX connections (such as the OMS) will not be recognized by the DAS. 2.

FIX Session The firm will connect to the CHX system at a pre-arranged IP address and port number. CHX’s CompID (TargetCompID or SenderCompID) is always “CHX”. The firm’s CompID will be determined during initial configuration and has a maximum length of 12 characters. 2.1 Message Header Each administrative or application message is preceded by a standard header. Tag Field Name Req'd Comments 8 BeginString Y FIX.4.0, FIX 4.1 or FIX 4.2 9 BodyLength Y Must be second field in message 35 MsgType Y Must be third field in message 49 SenderCompID Y Assigned value used to identify sender of message. 56 TargetCompID Y Assigned value used to identify receiver of message. 115 OnBehalfOfCompID N A maximum four-character field used to identify firm originating message. 116 OnBehalfOfSubID N Sub ID of the OnBehalfOfCompID 128 DeliverToCompID N The only value allowed will be ‘ECHX’. 129 DeliverToSubID N Any value entered will be ignored. 43 PossDupFlag N Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. 97 PossResend N Required when message may be duplicate of another message sent under a different sequence number. 34 MsgSeqNum Y 52 SendingTime Y Print Date: 12/10/15 8:37 AM Expressed in GMT. CHX Proprietary and Confidential Page 1 (35) . CHX Direct Access Server (DAS) Link Specification 2.2 Logon Message While data encryption is supported within the FIX specification, CHX does not support this feature. CHX only establishes connections to order sending firms via a dedicated circuit. Tag Field Name Req'd Comments Standard Header Y MsgType = A 98 EncryptMethod Y Always 0 (None). 108 HeartBtInt Y Pre-arranged between CHX and the broker. CHX will adjust to this value (received from the firm) and put it in the confirmation Logon message (sent to the firm) 141 ResetSeqNumFlag N CHX doesn't support 24-hour connectivity so if a firm sends a logon with ResetSeqNumFlag=Y, it will reject the logon message. For FIX 4.1/4.2 The fields RawDatalength and RawData are not supported 2.3 Email The CHX has the ability to send and receive Email messages. Tag Field Name Standard Header Req'd Comments Y MsgType = C 94 EmailType Y Valid values: 0 = New 1 = Reply 2 = Admin Reply 164 EmailThreadId Y Unique identifier (for the day) for an email thread (new and chain of replies). Positive numeric. For FIX 4.1/4.2 55 Symbol N Stock symbol 65 SymbolSfx N 147 Subject Y 33 LinesOfText  Text Y 58 For FIX 4.1/4.2 Y The total maximum length of Text(s) is 80 characters. 2.4 Other Session Control Messages All other administrative messages for session control – Heartbeat, Test Request, Resend Request, Reject, Sequence Reset and Logout – are supported as described in the FIX Protocol Specification which can be accessed at www.fixprotocol.org. 2.5 Automated Order Cancel on Disconnect The CHX DAS can be configured to automatically cancel all open orders whenever there is an order sending firm (OSF) – DAS or DAS – Matching System disconnect.

OSFs may configure the firm’s DAS automated order cancel and connection failure behavior by selecting one of the Disconnect Action Codes listed in the table below. There is no guarantee that all Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 2 (35) . CHX Direct Access Server (DAS) Link Specification open orders will be successfully canceled subsequent to a disconnect. Order sending firms should contact CHX Customer Service to ensure that all orders have been canceled or execution reports received in the event of a OSF - DAS or DAS - Matching System disconnect. Disconnect 0 1 2 3 Normal Broad Cancel & Disconnect Narrow Cancel & Reconnect Broad Cancel & Action Code Trigger Event Reconnect OSF-DAS Disconnect DAS shuts down OSF connection N Y N N DAS signals Matching System(s) to cancel orders of OSF N Y Y Y DAS allows OSF to reconnect Y N Y Y DAS rejects new orders and cancel/replace requests; queues cancel and status request messages for the disconnected Matching System(s) until connection restored Y Y Y Y DAS-Matching System Disconnect Connected Matching System(s) Process messages normally Cancel orders of OSF Process messages normally Cancel orders of OSF Disconnected Matching System(s) Process messages normally Cancel orders of OSF Cancel orders of OSF Cancel orders of OSF 3. Order Messages 3.1 New Order Cross orders, which are indicated by the Side equal to Cross (8) or Cross Short (9), cannot be canceled or canceled/replaced. Cross orders must have the BuyerFirm and SellerFirm specified. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 3 (35) .

CHX Direct Access Server (DAS) Link Specification Tag Field Name Standard Header Req’d Comments Y MsgType = D 1 Account N Account as specified by the order sender. The Account is limited to 20 characters. This value will be returned on any execution report for the order. 11 ClOrdID Y This field must be unique for the current day. 21 HandlInst Y 1 = Automated execution order, private, no Broker intervention. 55 Symbol Y 54 Side Y 1 = Buy 2 = Sell 5 = Sell short 6 = Sell short exempt 8 = Cross 9 = Cross short A = Cross short exempt 38 OrderQty Y Maximum quantity accepted by the Matching System is 99,999,999 111 MaxFloor N Maximum number of shares within an order to be displayed in the Matching System quote. If MaxFloor is not specified, the order will be displayed in its entirety assuming it would not lock or cross the NBBO. MaxFloor must be a round lot value and less than the OrderQty; otherwise the order will be rejected. If MaxFloor = 0, the order will be undisplayed (Do not Display).

In the CHX Matching System the OrderQty of undisplayed orders must be equal to or greater than 1000 shares. 7369 RefreshThreshold N User-defined field. For a reserve order, the field acts as a low water mark for the current display quantity. That is, when the current displayed quantity becomes less than or equal to this field, it should be reset to the original display quantity as defined by MaxFloor.

Absence of this field means RefreshThreshold = MaxFloor. 40 OrdType Y 1 = Market 2 = Limit 7 = Limit or better Market orders must be IOC. The following are user-defined values: P = Peg Q = Midpoint Cross Cross orders must have the BuyerFirm and SellerFirm specified. Any Midpoint Cross (Q) order must not have a Price (#44); otherwise, it will be rejected. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 4 (35) . CHX Direct Access Server (DAS) Link Specification Tag 63 Field Name SettlmntTyp Req’d N 64 FutSettDate N 18 ExecInst N Comments 0 = Regular 1 = Cash 2 = Next Day (T+1) 3 = T+2 4 = T+3 5 = T+4 6 = Future 7 = When And If Issued 8 = Sellers Option 9 = T+5 Settlement types other than “0 (Regular)” are only valid for cross order types. Required when SettlmntTyp = 6 (Future) or 8 (Sellers Option). CHX accepts only: 5 = Held K = Cancel on Trading Halt The following Peg modifiers are only allowed on SNAPsm AOO (Auction Only Orders) (see Time in Force below): P = Market Peg – Buy pegged to offer; Sell to bid R = Primary Peg – Buy pegged to bid; Sell to offer M = Midpoint Peg f = Inter-market Sweep Order (ISO) The following are custom values: p = Post only q = Always quote v = Stock-Option (for cross orders only) 7387 ISOType N Custom field, ISO type. Applicable for ISO orders (Tag 18 ExecInst = f). Absence of this field is interpreted as 0 (Pricepenetrating ISO). 0 = Price-penetrating ISO (default) 1 = BBO ISO (may rest in book if TimeInForce not ‘3’ (IOC)) 7388 TradeThroughExemptType N Custom field. Indicates trade-through exemption type. Applicable for cross orders that have no ISO execution type (i.e., Tag 18 ExecInst <> f) and Tag 54 Side = 8, 9 or A (Cross or Cross short)). 2 = Qualified Contingent Trade 65 SymbolSfx N 44 Price N Maximum price accepted by the Matching System is 9,999,999.99 47 Rule80A (aka OrderCapacity) N A Participant must definitively indicate its capacity on every order and may do so using the following means: Proprietary: Tag 47=”P” Riskless Principal: Tag 47 =”R” Agency: Tag 47=”A” OR Tag 47 omitted Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 5 (35) .

CHX Direct Access Server (DAS) Link Specification Tag Field Name Req’d Comments 59 TimeInForce N 0 = Day 3 = Immediate or Cancel 4 = Fill or Kill 6 = Good Till Date (Must be current date.) A = Good For Seconds (GFS; # of seconds) [Available in later releases.] Required if TimeInForce = GTD. Must be current date. 126 ExpireTime N 7368 GFSSeconds N Populated when TimeInForce = GFS. [Available in later releases.] 439 ClearingFirm N Clearing firm account symbol that is going to clear the trade. 7365 BuyerFirm N 7366 SellerFirm N Required if Side = 8 (Cross) or 9 (Cross Short). 4 alphanumeric. Required if Side = 8 (Cross) or 9 (Cross Short).

4 alphanumeric. 336 TradingSessionID N Indicates the trading session(s) the order is eligible to be traded in. Absence of this field indicates valid to all sessions. 1 = Primary trading session 2 = Late Crossing session – Only cross (except Midpoint Cross) orders accepted. 4 = Late trading session 5 = Early trading session 6 = Early and Primary trading sessions 7 = Early, Primary, and Late trading sessions 7391 AnonymityFlag N Flag to determine whether the order sender is to remain anonymous. N = Order sender will NOT be anonymous and will be displayed on the CHX Book Feed, as ContraBroker on execution reports and in clearing transactions. Y = Order sender will be anonymous in the CHX Book Feed, as ContraBroker on executions and within clearing transactions. Note: If this tag is omitted, the order will not be anonymous. Instead of using this tag, the firm can request that all orders to the CHX remain anonymous by contacting Customer Service. 7394 CHXOnly N Indicates CHX Only order type. N = Do not process as CHX Only order. S = CHX Only order. Price will slide to avoid locking/crossing NBBO. L = CHX Only order if price locks NBBO; reject order if price crosses NBBO. 60 TransactTime Print Date: 12/10/15 8:37 AM Y Note: If this tag is omitted, the CHX Only order type will default to N (Do not process as CHX Only).

Firms can contact Customer Service to set an alternative default value. For FIX 4.2 CHX Proprietary and Confidential Page 6 (35) . CHX Direct Access Server (DAS) Link Specification Tag 7928 Field Name MatchTradePrevention Req’d N Comments Used to prevent the order from trading against other orders from the same trading group. 2 characters (not space separated): 1st character – MTP Action: I = No MTP Action (Inactivate the trading account default MTP action, if any) N = Cancel Newest (or incoming order) O = Cancel Oldest (or resting order) B = Cancel Both 2nd character – MTP Sub Level (optional): Member specified alphanumeric value 0-9, A-Z, or a-z. When MTP is triggered (preventing a match), the MTP Action (1st character) of the inbound order will always be honored (the MTP Action of the resting order is irrelevant). If specified on the incoming order, the MTP Sub Level (2nd character) of both orders must match to prevent a trade. Absence of this field indicates No MTP Action by default. However, Firms can contact Customer Service to set an alternative default value. 7393 MERoutingInst N Instructs the ME to either route the order to satisfy Reg. NMS Rule 610 & 611 requirements or reject the order back to the sender. 0 – External routing allowed. 1 – External routing not allowed. ME only order. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 7 (35) .

CHX Direct Access Server (DAS) Link Specification Tag 211 Field Name PegDiff Req’d N Comments Must be expressed as the number of ticks for the given instrument. A SNAPsm AOO Market Peg buy order can be pegged to the offer with a positive or negative value; a positive value would make the order more competitive, a negative value would make the order less competitive. SNAPsm AOO Market Peg sell order can be pegged to the bid with a positive or negative value; a positive value would make the order less competitive, a negative value would make the order more competitive. SNAPsm AOO Primary Peg buy order can be pegged to the bid with a positive or negative value; a positive value would make the order more competitive while a negative value would make the order less competitive. SNAPsm AOO Primary Peg sell order can be pegged to the offer with a positive or negative value; a positive value would make the order less competitive while a negative value would make the order more competitive. The value must be in the range -9999 to 9999. Depending on the tick size of the instrument and the price of the order, this would translate to -0.0999 to 0.0999 below 1.00, -99.99 to 99.99 above 1.00 for an instrument with a tick size of 0.01, 999.90 to 999.90 for an instrument with a tick size of 0.10, etc. For more details, see “Section 5: FIX message examples”. 7396 CancelOnSNAPAuctionFlag N Determines if order participates in SNAPsm Auctions. ‘Y’ –When a SNAPsm Auction is invoked, the order will be canceled, it will not participate in the SNAPsm Auction. ‘N’ –When a SNAPsm Auction is invoked, the order will not be canceled, it will participate in the SNAPsm Auction. Note: If this tag is omitted, the CancelOnSNAPAuctionFlag will default to ‘N’. Firms can contact Customer Service to set an alternative default value. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 8 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Req’d 7397 SNAPMinExecRequiredFlag N Comments Only relevant on a SNAPsm order. Flag determines if the SNAPsm order requires a minimum number of shares to be projected to execute in the SNAPsm Auction before invoking the SNAPsm Auction, otherwise if the minimum participation shares are not projected to execute during the SNAPsm Auction, the SNAPsm order will be canceled without invoking the SNAPsm Auction. Note: Although SNAPsm orders initiate the SNAPsm Auction, there is no guarantee the SNAPsm order will participate. ‘Y = Minimum SNAPsm threshold required. ‘N’ = Minimum SNAPsm threshold not required. Absence of this field indicates the minimum SNAP threshold is not required. 7398 SNAPConvertToAOOFlag N Only relevant on a SNAPsm order. ‘Y’ = If this SNAPsm order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be converted to SNAPsm AOO, as long as it meets the SNAPsm AOO requirements. ‘N’ = If this SNAP order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be canceled. Absence of this field indicates SNAPsm order can be converted to SNAPsm AOO. 7399 AOOOneAndDoneFlag N Only relevant on an SNAPsm AOO. Flag determines if SNAPsm AOO will participate in one or more SNAPsm Auctions. ‘Y’ = SNAPsm AOO will only participate in one SNAPsm Auction, then it will be canceled. ‘N’ = SNAPsm AOO will participate in every available SNAPsm Auction until either the order is cancelled by the sender, the order is executed in its entirety or the primary trading session ends and the remainder of the order is canceled. Absence of this field indicates SNAPsm AOO will participate in every SNAPsm Auction. 7400 CHXOrdType N s = SNAPsm Auction Order 9 = SNAPsm Auction Only Order (AOO) If CHXOrdType = s (SNAPsm Auction Order), OrdType must be 2 (Limit). May also be qualified with either tag 7397 (SNAPsm Minimum Execution Required) or tag 7398 (SNAPsm Convert to AOO) If CHXOrdType = 9 (AOO), OrdType must be 2 (Limit) or P (Peg). If specified, TimeInForce must be 0 = Day. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 9 (35) . CHX Direct Access Server (DAS) Link Specification 3.2 Order Cancel Request This message is used to request the cancellation of all of the remaining quantity of an existing order. In order to partially cancel (reduce) an order, use the Cancel/Replace Request message. FIX 4.0: If the cancel request is successful, the CHX will send an Execution Report referencing the OrigClOrdID (not ClOrdID) with OrderStatus = 4 (Cancelled). FIX 4.1/4.2: If the requested cancel is successful, the CHX will send an Execution Report referencing the ClOrdID (not OrigClOrdID) with ExecType and OrderStatus = 4 (Cancelled). Please note that cross orders cannot be cancelled electronically by order senders. Cross orders either execute or reject. If a processing problem occurs, order sending firms should contact Customer Service to resolve the issue. Tag Field Name Standard Header Req’d Comments Y MsgType = F 41 OrigClOrdID Y Order ID of the order being cancelled. 11 ClOrdID Y Must be unique for the current day. 125 CxlType Y CHX accepts only: F = Full remaining quantity. This field is only used in FIX 4.0 only. Tag 125, CxlType, is not a field in this message in FIX 4.1/4.2 55 Symbol Y 54 Side Y 38 OrderQty Y 65 SymbolSfx N 60 TransactTime Y Original OrderQty. For FIX 4.2 3.3 Cancel/Replace Request Do not use this message to cancel the remaining quantity of an outstanding order; use the Order Cancel Request message instead. FIX 4.0: If the request is successful, the CHX will send an Execution Report referencing the ClOrdID (not OrigClOrdID) with OrderStatus = 0 (New) for fully open order or OrderStatus = 1 (Partially filled) for partially filled order. From that point on, the broker must reference the replacement order with the ClOrdID. FIX 4.1/4.2: If the request is successful, the CHX will send an Execution Report referencing the ClOrdID (not OrigClOrdID) with ExecType = 5 (Replaced) and OrderStatus = 5 (Replaced) for fully open order or OrderStatus = 1 (Partially filled) for partially filled order.

From that point on, the broker must reference the replacement order with the ClOrdID. Please note that cross orders cannot be cancelled/replaced electronically by order senders. Cross orders either execute or reject. If a processing problem occurs, order sending firms should contact Customer Service to resolve the issue. Tag Field Name Standard Header Req’d Comments Y MsgType = G 41 OrigClOrdID Y Order ID of the order being replaced. 11 ClOrdID Y Unique identifier of replacement order as assigned by institution. This field must at a minimum be unique for the current day.

For multi-day, the firm must assure uniqueness of this field across days. Embedding a date with the ClOrdID would be one solution. 21 HandlInst Y Must match the original order. Otherwise it will get rejected. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 10 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Req’d Comments 55 Symbol Y Must match the original order. 54 Side Y Must match the original order. 38 OrderQty Y 111 MaxFloor N Changeable but this quantity has to include any partial executions previously received on the original order(s). Changeable 7369 RefreshThreshold N Changeable 40 OrdType Y Changeable. 18 ExecInst N Changeable, except cancel/replace to ExecInst = f. 65 SymbolSfx N Must match the original order. 44 Price N Changeable. 59 TimeInForce N Changeable. 126 ExpireTime N Changeable. 7368 GFSSeconds N Populated when TimeInForce = GFS. 439 ClearingFirm N 60 TransactTime Y Clearing firm account symbol that is going to clear the trade. For FIX 4.2 211 PegDiff N Changeable. 7400 CHXOrdType N Must match the original order. 3.4 Order Status Request Upon receiving an Order Status Request message, the CHX will respond with an Execution Report with ExecTransType = 3 (Status). Tag Field Name Standard Header Req’d Y 11 ClOrdID Symbol Y 54 Side Y 37 OrderID N 65 SymbolSfx MsgType = H Y 55 Comments N 3.5 Execution Report If an order is rejected, CHX will send an Execution Report message with OrdStatus = 8 (Rejected) with OrdRejReason OR Text, but not both. If an order is canceled by the CHX (unsolicited cancel), the CHX will notify the broker by sending an Execution Report referencing ClOrdID of the canceled order with OrdStatus = 4 (Canceled). If a trade is busted, the CHX will send an Execution Report referencing the original order in ExeRefID with ExecTransType = 1 (Trade Cancel). If a trade is corrected, the CHX will send an Execution Report referencing the original order in ExeRefID with ExecTransType = 2 (Trade Correction). The CHX may send an Execution Report message with OrdStatus = C (Expired) after the market is closed, indicating the order has been expired. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 11 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Standard Header Req’d Comments Y MsgType = 8 1 Account N Account specified by order sender when order was entered. Maximum length of 20 characters. 37 OrderID Y Unique identifier for order as assigned by CHX. 17 ExecID Y Unique identifier of execution message (not trade; CHX doesn't provide the trade ID.) as assigned by CHX. This field will always be “0” if ExecTransType = 3 (Status). 20 ExecTransType Y 39 OrdStatus Y 55 Symbol Y 54 Side Y 38 OrderQty Y 32 LastShares Y Quantity of shares bought/sold; otherwise 0. Y With MTP, the number of shares that would have matched on an MTP triggered cancel. Firms must contact Customer Service to receive this information. Price of LastShares. 31 LastPx The CHX supports the following status values: 0 = New 1 = Partially filled 2 = Filled 4 = Canceled 5 = Replaced 6 = Pending Cancel/Replace (renamed to Pending Cancel in FIX 4.2) 8 = Rejected C = Expired E = Pending Replace (For FIX 4.2) With MTP, the price at which LastShares would have matched on an MTP triggered cancel. Firms must contact Customer Service to receive this information. 198 SecondaryOrderID N With MTP, OrderID of the contra side that prevented match on an MTP triggered cancel.

Firms must contact Customer Service to receive this information. For FIX 4.1/4.2 30 LastMkt N Market of execution for last fill. CHX will send ISO 10383 Market Identifier Code (MIC). Please refer to the FIX 4.4 specification for more information about the MIC. 375 ContraBroker N Identifies contra broker.

A four- character field identifying the CHX account ID for the contra-broker. This tag will be present on all executions that occur in the CHX matching system. If the ContraBroker has specified that orders are to remain anonymous, then this field will contain the value ‘ANON’. 14 CumQty Y For all reports on cross type orders, the value will be set to 0 (zero). The BuyCumQty and SellCumQty fields will be used instead. 151 LeavesQty Y For all reports on cross type orders, the value will be set to 0 (zero)., The BuyLeavesQty and SellLeavesQty fields will be used instead. For FIX 4.1/4.2 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 12 (35) .

CHX Direct Access Server (DAS) Link Specification Tag Field Name Req’d Comments 6 AvgPx Y For all reports on cross type orders, this value will be set to 0 (zero). 150 ExecType Y The CHX supports the following status values: 0 = New 1 = Partially fill 2 = Fill 4 = Canceled 5 = Replace 6 = Pending Cancel/Replace (renamed to Pending Cancel in FIX 4.2) 8 = Rejected C = Expired D = Restated (ExecutionRpt sent unsolicited by the CHX, with ExecRestatementReason set, used for unsolicited change) (For FIX 4.2) E = Pending Replace (For FIX 4.2) For FIX 4.1/4.2 378 ExecRestatementReason N Code to identify reason for an ExecutionRpt message sent with ExecType=Restated or used when communicating an unsolicited cancel. For FIX 4.2 11 ClOrdID N 41 OrigClOrdID N Always populated. Conditionally populated for Replaced and Canceled ExecType values. ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing and order. For FIX 4.1/4.2 65 SymbolSfx N 40 OrdType N 44 Price N 111 MaxFloor N 7369 RefreshThreshold N 18 ExecInst N 7387 ISOType N 7388 TradeThroughExemptType N 59 TimeInForce N 126 ExpireTime N Populated when TimeInForce = GTD. 7368 GFSSeconds N 19 ExecRefID N Populated when TimeInForce = GFS. [Available in later releases.] Populated when ExecTransType = 1 (Cancel) or 2 (Correct). 103 OrdRejReason N 60 TransactTime N 336 TradingSessionID N Print Date: 12/10/15 8:37 AM Always populated. Populated only when OrdStatus = 5 (Replaced). Populated only when OrdStatus = 5 (Replaced). For supported values, see New Order Populated when OrdStatus = 8 (Rejected) and there is a matched code (rejected reason) in the FIX specification.

If there is no matched code, CHX will populate Text instead. Indicates the trading session(s) the order is eligible to be traded in. If ExecType = 1 (Partially fill) or 2 (Filled), this will indicated the session the trade occurred. Absence of this field indicates Regular session (1). CHX Proprietary and Confidential Page 13 (35) . CHX Direct Access Server (DAS) Link Specification Tag 851 Field Name LastLiquidityInd Req’d N Comments Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for trades (partial fill (1) or fill (2)) or trade cancels/corrections. Valid values: 1 - Added Liquidity 2 - Removed Liquidity 3 - Liquidity Routed Out 4 - Auction 58 Text N Used as follows: In the case of OrdStatus = 8 and there is no matched OrdRejReason, this field will describe why CHX rejected the order. 7395 WorkPx N If the order was inserted into book with a price which was adjusted to avoid locking/crossing the NBBO, the initial working price will be provided in this tag. 211 PegDiff N Must be expressed as the number of ticks for the given instrument. A SNAPsm AOO Market Peg buy order can be pegged to the offer with a positive or negative value; a positive value would make the order more competitive, a negative value would make the order less competitive. SNAPsm AOO Market Peg sell order can be pegged to the bid with a positive or negative value; a positive value would make the order less competitive, a negative value would make the order more competitive. SNAPsm AOO Primary Peg buy order can be pegged to the bid with a positive or negative value; a positive value would make the order more competitive while a negative value would make the order less competitive. SNAPsm AOO Primary Peg sell order can be pegged to the offer with a positive or negative value; a positive value would make the order less competitive while a negative value would make the order more competitive. The value must be in the range -9999 to 9999. Depending on the tick size of the instrument and the price of the order, this would translate to -0.9999 to 0.9999 below 1.00, -99.99 to 99.99 above 1.00 for an instrument with a tick size of 0.01, 999.90 to 999.90 for an instrument with a tick size of 0.10, etc. For more details, see “Section 5: FIX message examples”. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 14 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Req’d 7396 CancelOnSNAPAuctionFlag N Comments Determines if order participates in SNAPsm Auctions. ‘Y’ –When a SNAPsm Auction is invoked, the order will be canceled, it will not participate in the SNAPsm Auction. ‘N’ –When a SNAPsm Auction is invoked, the order will not be canceled, it will participate in the SNAPsm Auction. Note: If this tag is omitted, the CancelOnSNAPAuctionFlag will default to ‘N’. Firms can contact Customer Service to set an alternative default value. 7397 SNAPMinExecRequiredFlag N Only relevant on a SNAPsm order. Flag determines if the SNAPsm order requires a minimum number of shares to be projected to execute in the SNAPsm Auction before invoking the SNAPsm Auction, otherwise if the minimum participation shares are not projected to execute during the SNAPsm Auction, the SNAPsm order will be canceled without invoking the SNAPsm Auction. Note: Although SNAPsm orders initiate the SNAPsm Auction, there is no guarantee the SNAPsm order will participate. ‘Y = Minimum SNAPsm threshold required. ‘N’ = Minimum SNAPsm threshold not required. Absence of this field indicates the minimum SNAP threshold is not required. 7398 SNAPConvertToAOOFlag N Only relevant on a SNAPsm order. ‘Y’ = If this SNAPsm order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be converted to SNAPsm AOO One and Done, as long as it meets the SNAPsm AOO requirements. ‘N’ = If this SNAP order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be canceled. Absence of this field indicates SNAPsm order can be converted to SNAPsm AOO. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 15 (35) . CHX Direct Access Server (DAS) Link Specification Tag 7399 Req’d Field Name AOOOneAndDoneFlag N Comments Only relevant on an SNAPsm AOO. Flag determines if SNAPsm AOO will participate in one or more SNAPsm Auctions. ‘Y’ = SNAPsm AOO will only participate in one SNAPsm Auction, then it will be canceled. ‘N’ = SNAPsm AOO will participate in every available SNAPsm Auction until either the order is cancelled by the sender, the order is executed in its entirety or the primary trading session ends and the remainder of the order is canceled. Absence of this field indicates SNAPsm AOO will participate in every SNAPsm Auction. 7400 CHXOrdType N s = SNAPsm Auction Order 9 = SNAPsm Auction Only Order (AOO) If CHXOrdType = s (SNAPsm Auction Order), OrdType must be 2 (Limit). May also be qualified with either tag 7397 (SNAPsm Minimum Execution Required) or tag 7398 (SNAPsm Convert to AOO) If CHXOrdType = 9 (AOO), OrdType must be 2 (Limit) or P (Peg). If specified, TimeInForce must be 0 = Day. 3.6 Order Cancel Reject If the CHX is unable to honor an Order Cancel Request or Order Cancel/Replace Request message submitted by the firm, the CHX will send an Order Cancel Reject message back to the sender. Tag Field Name Standard Header Req’d Comments Y MsgType = 9 11 ClOrdID Y Unique order ID of Order Cancel Request or Order Cancel/Replace Request. 37 OrderID Y 39 OrdStatus Y Can be "" (no branch code and sequence number), indicating that CHX assigned no order ID because it was rejected. For FIX 4.1/4.2 41 OrigClOrdId Y For FIX 4.1/4.2 102 CxlRejReason N Populated, if there is a matched code (reject reason) in the FIX spec. If not, Text is used instead. 58 Text N 60 TransactTime N Used as follows: "Invalid Price" or "Invalid StopPx". For FIX 4.2 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 16 (35) . CHX Direct Access Server (DAS) Link Specification Tag 434 Field Name CxlRejResponseTo Req’d Y Comments Identifies the type of request that a Cancel Reject is in response to. Valid values: 1 - Order Cancel Request 2 - Order Cancel/Replace Request For FIX 4.2 4. User- defined Fields Tag Field Name Req’d Description Required if Side = 8 (Cross) or 9 (Cross Short) - 4 alphanumeric. Required if Side = 8 (Cross) or 9 (Cross Short) - 4 alphanumeric. 7365 BuyerFirm N 7366 SellerFirm N 7368 GFSSeconds N Populated when TimeInForce = GFS. 7369 RefreshThreshold N User-defined field. For a reserve order, the field acts as a low water mark for the current display quantity. That is, when the current displayed quantity becomes less than or equal to this field, it should be reset to the original display quantity.

Absence of this field means RefreshThreshold = 0. 7387 ISOType N ISO type. Applicable for ISO orders (Tag 18 ExecInst = f). Absence of this field is interpreted as 0 (Price-penetrating ISO). 0 = Price-penetrating ISO (default) 1 = BBO ISO (may rest in book if TimeInForce not ‘3’ (IOC)) 2 = Outbound ISO 7388 TradeThroughExemptType N Indicates trade-through exemption type.

Applicable for cross orders that have no ISO execution type (i.e., Tag 18 ExecInst <> f) and Tag 54 Side = 8 or 9 (Cross or Cross short)). 1 = Benchmark 2 = Qualified Contingent Trade 7391 AnonymityFlag N Flag to determine whether the order sender is to remain anonymous. N = Order sender will NOT be anonymous and will be displayed on the CHX Book Feed, as ContraBroker on execution reports and in clearing transactions. Y = Order sender will be anonymous in the CHX Book Feed, as ContraBroker on executions and within clearing transactions. Note: If this tag is omitted, the order will not be anonymous. Instead of using this tag, the firm can request that all orders to the CHX remain anonymous by contacting Customer Service. 7393 MERoutingInst N Instructs the ME to either route the order to satisfy Reg. NMS Rule 610 & 611 requirements or reject the order back to the sender. 0 – External routing allowed. 1 – External routing not allowed. ME only order. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 17 (35) . CHX Direct Access Server (DAS) Link Specification Tag 7394 Field Name CHXOnly Req’d N Description Indicates CHX Only order type. N = Do not process as CHX Only order. S = CHX Only order. Price will slide to avoid locking/crossing NBBO. L = CHX Only order if price locks NBBO; reject order if price crosses NBBO. Note: If this tag is omitted, the CHX Only order type will default to S (CHX Only) unless the firm has contacted Customer Service to set an alternative default value. 7395 WorkPx N If the order was inserted into book with a price which was adjusted to avoid locking/crossing the NBBO, the working price will be provided in this tag. 7396 CancelOnSNAPAuctionFlag N Determines if order participates in SNAPsm Auctions. ‘Y’ –When a SNAPsm Auction is invoked, the order will be canceled, it will not participate in the SNAPsm Auction. ‘N’ –When a SNAPsm Auction is invoked, the order will not be canceled, it will participate in the SNAPsm Auction. Note: If this tag is omitted, the CancelOnSNAPAuctionFlag will default to ‘N’. Firms can contact Customer Service to set an alternative default value. 7397 SNAPMinExecRequiredFlag N Only relevant on a SNAPsm order. Flag determines if the SNAPsm order requires a minimum number of shares to be projected to execute in the SNAPsm Auction before invoking the SNAPsm Auction, otherwise if the minimum participation shares are not projected to execute during the SNAPsm Auction, the SNAPsm order will be canceled without invoking the SNAPsm Auction. Note: Although SNAPsm orders initiate the SNAPsm Auction, there is no guarantee the SNAPsm order will participate. ‘Y = Minimum SNAPsm threshold required. ‘N’ = Minimum SNAPsm threshold not required. Absence of this field indicates the minimum SNAP threshold is not required. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 18 (35) .

CHX Direct Access Server (DAS) Link Specification Tag 7398 Field Name SNAPConvertToAOOFlag Req’d N Description Only relevant on a SNAPsm order. ‘Y’ = If this SNAPsm order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be converted to SNAPsm AOO One and Done, as long as it meets the SNAPsm AOO requirements. ‘N’ = If this SNAP order received after SNAPsm Auction already invoked by another SNAPsm order, this SNAPsm order will be canceled. Absence of this field indicates SNAPsm order can be converted to SNAPsm AOO. 7399 AOOOneAndDoneFlag N Only relevant on an SNAPsm AOO. Flag determines if SNAPsm AOO will participate in one or more SNAPsm Auctions. ‘Y’ = SNAPsm AOO will only participate in one SNAPsm Auction, then it will be canceled. ‘N’ = SNAPsm AOO will participate in every available SNAPsm Auction until either the order is cancelled by the sender, the order is executed in its entirety or the primary trading session ends and the remainder of the order is canceled. Absence of this field indicates SNAPsm AOO will participate in every SNAPsm Auction. 7400 CHXOrdType N s = SNAPsm Auction Order 9 = SNAPsm Auction Only Order (AOO) If CHXOrdType = s (SNAPsm Auction Order), OrdType must be 2 (Limit). May also be qualified with either tag 7397 (SNAPsm Minimum Execution Required) or tag 7398 (SNAPsm Convert to AOO) If CHXOrdType = 9 (AOO), OrdType must be 2 (Limit) or P (Peg). If specified, TimeInForce must be 0 = Day. Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 19 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name 7928 MatchTradePrevention Req’d N Description Used to prevent the order from trading against other orders from the same trading group. 2 characters (not space separated): 1st character – MTP Action: I = No MTP Action (Inactivate the trading account default MTP action, if any) N = Cancel Newest (or incoming order) O = Cancel Oldest (or resting order) B = Cancel Both 2nd character – MTP Sub Level (optional): Member specified alphanumeric value 0-9, A-Z, or a-z. When MTP is triggered (preventing a match), the MTP Action (1st character) of the inbound order will always be honored (the MTP Action of the resting order is irrelevant). If specified on the incoming order, the MTP Sub Level (2nd character) of both orders must match to prevent a trade. Absence of this field indicates No MTP Action by default. However, Firms can contact Customer Service to set an alternative default value. 5. FIX Message Examples 5.1 Buy Order Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 5.2 Correspondent Order Order senders have the ability to send correspondent orders to the CHX, which will clear using the specified symbol as shown in the example below. Tag Field Name Value 439 ClearingFirm CLFM 54 Side 1 (Buy) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 20 (35) . CHX Direct Access Server (DAS) Link Specification 5.3 Cross Orders 5.3.1 Normal Cross Order Tag Field Name Value 11 ClOrdID CROSS-ID-1 54 Side 8 (Cross) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7365 BuyerFirm ABCD 7366 SellerFirm WXYZ 5.3.2 Midpoint Cross Order Tag Field Name Value 54 Side 8 (Cross) 38 OrderQty 1000 55 Symbol IBM 40 OrdType Q (Cross at Midpoint) 7365 BuyerFirm ABCD 7366 SellerFirm WXYZ 5.4 Display Orders 5.4.1 Reserve Order with RefreshThreshold The following example shows a 20000 share order with a display size of 2000 and a refresh value of 500. When the order is entered into the book, only 2000 shares will display in the CHX quote. With each partial execution of the order, the display amount will be decreased by the execution amount. Once the display volume drops to 500 or less, the display volume will be refreshed to 2000. Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 20000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 111 MaxFloor 2000 7369 RefreshThreshold 500 5.4.2 Reserve Order without RefreshThreshold The following example show a 20000 share order with a display size of 2000 with no refresh value specified.

This order will behave the same as the previous example, with the exception that the display volume will not be refreshed until the display volume reaches 2000 (MaxFloor). Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 21 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 20000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 111 MaxFloor 2000 5.4.3 Do not Display Order The display volume is specified as zero (0). Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 20000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 111 MaxFloor 0 5.5 Reg NMS Orders 5.5.1 Price-Penetrating ISO Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 18 ExecInst f (ISO) 5.5.2 BBO ISO Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 18 ExecInst f (ISO) 7387 ISOType 1 (BBO ISO) 59 TimeInForce 3 (IOC) 5.5.3 ISO Cross Tag 11 Field Name ClOrdID Print Date: 12/10/15 8:37 AM Value CROSS-ID-1 CHX Proprietary and Confidential Page 22 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Value 54 Side 8 (Cross) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7365 BuyerFirm ABCD 7366 SellerFirm WXYZ 18 ExecInst f (ISO) 5.5.4 Qualified Contingent Trade Tag Field Name Value 11 ClOrdID CROSS-ID-1 54 Side 8 (Cross) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7365 BuyerFirm ABCD 7366 SellerFirm WXYZ 7388 TradeThroughExemptType 2 (Qualified Contingent Trade) 5.6 SNAPsm Auction Orders 5.6.1 Buy Order – Cancel on SNAPsm Auction Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 1000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7396 CancelOnSNAPAuctionFlag Y (Cancel on SNAPsm Auction) 5.6.2 SNAPsm – Do Not Convert to SNAPsm AOO Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 100000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7398 SNAPConvertToAOOFlag N (Do Not Convert to SNAPsm AOO) 7400 CHXOrdType s (SNAPsm order) Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 23 (35) . CHX Direct Access Server (DAS) Link Specification 5.6.3 SNAPsm – Minimum Threshold Required Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 100000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 7397 SNAPMinExecRequiredFlag Y (Minimum participation threshold required) 7400 CHXOrdType s (SNAPsm order) 5.6.4 SNAPsm AOO – One and Done Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol IBM 40 OrdType 2 (Limit) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 7399 AOOOneAndDoneFlag Y (Only participate in one SNAP Auction) 7400 CHXOrdType 9 (SNAPsm Auction Only Order) 5.6.5 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff 2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.95 – 79.97, this order will be priced at 79.99 80.00 – 80.02, this order will be priced at 80.00 80.04 – 80.06, this order will be priced at 80.00 (79.97 + 2 ticks = 79.99) (80.02 + 2 ticks = 80.04), default to 80.00 limit (80.06 + 2 ticks = 80.08), default to 80.00 limit 5.6.6 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – ADGE tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol ADGE 40 OrdType P (Peg) Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 24 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Value 44 Price .9999 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff 4 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: .9990 - .9995 this order will be priced at .9999 .9995 – .9997, this order will be priced at .9999 1.00 – 1.01, this order will be priced at .9999 (.9995 + 4 ticks = .9999 ) (.9997 + 4 ticks = 1.01, default to .9999 (1.01 + 4 ticks = 1.05, default to .9999) 5.6.7 SNAPsm AOO – Buy Market Peg – Limit - Negative PegDiff – ADGE tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol ADGE 40 OrdType P (Peg) 44 Price 1.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff -4 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: .9990 - .9995 this order will be priced at .9991 .9995 – .9997, this order will be priced at .9993 1.00 – 1.01, this order will be priced at .9997 (.9995 – 4 ticks = .9991) (.9997 – 4 ticks = .9993) (1.01 – 4 ticks = .9997) 5.6.8 SNAPsm AOO – Buy Market Peg – Limit - Positive PegDiff – BRK.A tick size is .10 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol BRK.A 40 OrdType P (Peg) 44 Price 219,820.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff 105 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 219,580.30 – 219,720.00, this order will be priced at 219,730.50 (219,720.00 + 105 ticks = 219,730.50) Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 25 (35) . CHX Direct Access Server (DAS) Link Specification 219,650.50 – 219,819.20, this order will be priced at 219,820.00 (219,819.20 + 105 ticks = 219,829.70), default to 219,820.00 limit 220,590.30 – 220,820.60, this order will be priced at 219,820.00 (220,820.60 + 105 ticks = 220,831.10), default to 219,820.00 limit 5.6.9 SNAPsm AOO – Sell Market Peg – No Limit - Positive PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 2 (Sell) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff 2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.98 80.00 – 80.02, this order will be priced at 80.02 80.04 – 80.06, this order will be priced at 80.06 (79.96 + 2 ticks = 79.98) (80.00 + 2 ticks = 80.02) (80.04 + 2 ticks = 80.06) 5.6.10 SNAPsm AOO – Buy Market Peg – No Limit - Negative PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) 211 PegDiff -2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.96 80.00 – 80.02, this order will be priced at 80.00 80.04 – 80.06, this order will be priced at 80.04 (79.98 - 2 ticks = 79.96) (80.02 – 2 ticks = 80.00) (80.06 – 2 ticks = 80.04) 5.6.11 SNAPsm AOO – Sell Market Peg – Limit - Negative PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 2 (Sell) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst P (Market Peg) Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 26 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Value 211 PegDiff -2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 80.00 80.00 – 80.02, this order will be priced at 80.00 80.04 – 80.06, this order will be priced at 80.02 (79.96 – 2 ticks = 79.94), default to 80.00 limit (80.00 – 2 ticks = 79.98), default to 80.00 limit (80.04 – 2 ticks = 80.02) 5.6.12 SNAPsm AOO – Buy Primary Peg – No Limit - Positive PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst R (Primary Peg) 211 PegDiff 2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.98 80.00 – 80.02, this order will be priced at 80.02 80.04 – 80.06, this order will be priced at 80.06 (79.96 + 2 ticks = 79.98) (80.00 + 2 ticks = 80.02) (80.04 + 2 ticks = 80.06) 5.6.13 SNAPsm AOO – Sell Primary Peg – Limit - Positive PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 2 (Sell) 38 OrderQty 1000 55 Symbol IBM 40 OrdType P (Peg) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst R (Primary Peg) 211 PegDiff 2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.95 – 79.97, this order will be priced at 80.00 80.00 – 80.02, this order will be priced at 80.04 80.04 – 80.06, this order will be priced at 80.08 (79.97 + 2 ticks = 79.99), default to 80.00 limit (80.02 + 2 ticks = 80.04) (80.06 + 2 ticks = 80.08) 5.6.14 SNAPsm AOO – Buy Primary Peg – Limit - Negative PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 Print Date: 12/10/15 8:37 AM CHX Proprietary and Confidential Page 27 (35) . CHX Direct Access Server (DAS) Link Specification Tag Field Name Value 55 Symbol IBM 40 OrdType P (Peg) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst R (Primary Peg) 211 PegDiff -2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.94 80.00 – 80.02, this order will be priced at 79.98 80.04 – 80.06, this order will be priced at 80.00 (79.96 – 2 ticks = 79.94) (80.00 – 2 ticks = 79.98) (80.04 – 2 ticks = 80.02), default to 80.00 limit 5.6.15 SNAPsm AOO – Sell Primary Peg – No Limit - Negative PegDiff – IBM tick size is .01 Tag Field Name Value 54 Side 2 (Sell) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst R (Primary Peg) 211 PegDiff -2 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.96 80.00 – 80.02, this order will be priced at 80.00 80.04 – 80.06, this order will be priced at 80.04 (79.98 – 2 ticks = 79.96) (80.02 – 2 ticks = 80.00) (80.06 – 2 ticks = 80.04) 5.6.16 SNAPsm AOO – Buy Midpoint Peg - Limit Tag Field Name Value 54 Side 1 (Buy) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 44 Price 80.00 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst M (Midpoint Peg) 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.97 79.96 – 79.97, this order will be priced at 79.965 80.00 – 80.01, this order will be priced at 80.00 Print Date: 12/10/15 8:37 AM (79.96 + 79.98)/2 = 79.97 (79.96 + 79.97)/2 = 79.965 (80.00 + 80.01)/2 = 80.005, default to 80.00 limit CHX Proprietary and Confidential Page 28 (35) . CHX Direct Access Server (DAS) Link Specification 5.6.17 SNAPsm AOO – Sell Midpoint Peg – No Limit Tag Field Name Value 54 Side 2 (Sell) 38 OrderQty 10000 55 Symbol IBM 40 OrdType P (Peg) 59 TimeInForce If specified, 0 = Day is only allowable value. 18 ExecInst M (Midpoint Peg) 7400 CHXOrdType 9 (SNAPsm Auction Only Order) If the NBBO used to price the SNAPsm auction is: 79.96 – 79.98, this order will be priced at 79.97 79.96 – 79.97, this order will be priced at 79.965 80.00 – 80.01, this order will be priced at 80.005 Print Date: 12/10/15 8:37 AM (79.96 + 79.98)/2 = 79.97 (79.96 + 79.97)/2 = 79.965 (80.00 + 80.01)/2 = 80.005 CHX Proprietary and Confidential Page 29 (35) .