Threshold
Securities
CHX will calculate and publish its daily list of threshold securities
by 11:00 p.m. CT of each settlement day. Publication will begin
on Friday, January 7, 2005 (covering settlement dates January 3-7),
for effective date Monday, January 10, 2005.
Pursuant to Reg SHO, the CHX threshold securities list will include
only those securities for which CHX is the primary listing market.
The list file can be viewed or downloaded from the FTP site below.
ftp://ftp3.chx.com/regsho/
File Name Format: CHXthyyyymmdd.txt, where yyyymmdd
represents the settlement date.
For example, the file for Monday, January 10 can be retrieved using
the FTP address:
ftp://ftp3.chx.com/regsho/CHXth20050107.txt
Header: Symbol|Security Name|Market Category|Reg
SHO
Threshold Flag|Filler|Filler
Example Data: GRF|NAIC Growth Fund Inc., Common
Stock|MW|Y||
Trailer: File Creation Timestamp formatted as yyyymmddhhmmss
The Market Category for CHX will always be "MW".
Pilot Data
CHX will publish short sales
data on a monthly basis beginning March 1, 2005 (for trades occurring
in January, 2005). The pilot period per the provisions of Reg SHO
is May 2, 2005 to April 28, 2006. For an updated list of Pilot securities,
please refer to the websites of the NYSE, NASDAQ and AMEX (see links
below).
The data will be maintained on the CHX website at least through
December 2006. Data will be compressed in monthly ZIP files, and
can be downloaded via FTP transfer (similar to monthly ZIP files
posted for Rule 11Ac5-1). Data records will be in pipe-delimited
ASCII text format. The monthly ZIP files downloaded from the FTP
site below.
ftp://ftp3.chx.com/regsho/
File Name Format: CHXshyyyymm.ZIP, where yyyymm
represents the trade year and month. For example, the file for January
2005 can be retrieved using the FTP address:
ftp://ftp3.chx.com/regsho/CHXsh200501.ZIP
Header: MarketCenter|SymbolDate|Time|ShortType|Size|Price|
LinkIndicator|ShortSize
Data format
MarketCenter: Character, set to "M".
Symbol: Character, identifying the security.
Date: YYYYMMDD, indicating the execution date.
Time: HH:MM:SS Eastern Military, indicating the execution time.
ShortType: character, S for Short and E for short exempt. Long sales
are not included.
Size: Number of shares in the transaction reported in Round Lots
only.
Price: Number, restricted to 4 decimals (truncated).
LinkIndicator: Character, set to blank.
ShortSize: Unused, set to blank.
- A carriage return, line feed will terminate each record.
- Records are sorted by Date and Time of execution.
- Data represents short sale trades reported for CHX OTC and Listed
securities, not including outbound ITS.
- CHX OTC short sales will have the ShortType set to "E".
CHX OTC trading rules do not have a short sale price test.
- CHX Listed sales executed pursuant to the Madoff exemption will
have the ShortType set to "E".
Additional Information
Order Marking and Trade Execution
Chicago Stock Exchange systems and procedures comply with all
elements of the no action letter granted by the SEC on April 15,
2005 in response to a request by the Securities Industry Association.
- OTC Order Masking: The CHX OTC trading system processes SSH
or SSE orders identically. The order instruction is preserved,
and trade confirmation indicates Sold Short or Sold Short Exempt
respectively.
- Listed Order Masking: The CHX Listed trading system checks the
issue's exemption status in an internal database to determine
whether or not the issue is subject to a tick test. Orders marked
as SSE or marked as SSH in pilot issues will be processed identically
during the pilot period (i.e. as Short Exempt). The order instruction
is preserved, and trade confirmation indicates Sold Short Exempt
or Sold Short respectively.
As of April 28, 2005, CHX systems have been upgraded to electronically
capture all short sale data.
FTP Access Details
Server address to connect to: ftp3.chx.com
Folder: regsho (i.e. cd regsho in FTP)
User Id = anonymous
Password = guest or user's email by convention; a blank is also
accepted.
Links
For additional Reg SHO links and Pilot details please refer to
the SEC site.
http://www.sec.gov/spotlight/shortsales.htm
The following excerpt from the SEC publication regarding Updates
to the Pilot List is included here for reference.
The securities included in the Pilot were selected as of June
25, 2004. Securities will not be added, and securities will be deleted
only in limited circumstances. Since June 25, 2004, name changes,
business combinations, permanent delistings, and other events have
taken place. The [SEC] Staff has updated the list of Category A
Pilot Securities and Category B Pilot Securities to reflect the
changes that have occurred as of April 13, 2005. These lists, which
are in downloadable, pipe-delimited ASCII format, may be found below:
In addition to the updated lists of Category A Pilot Securities
and Category B Pilot Securities, the Staff has prepared a summary
of the updates that have occurred since June 25, 2004. This summary,
which is in downloadable, pipe-delimited ASCII format, as well as
a description of the information and codes included in the summary,
may be found below:
Once the Pilot takes effect on May 2, 2005, and until the Pilot
ends on April 28, 2006, the SROs that maintain the primary listing
of Category A Pilot Securities and Category B Pilot Securities will
publish daily current lists of these securities on their web sites.
The SROs will also publish a summary of updates. These lists may
be found on the web sites of such SROs, as set forth below:
NYSE-listed Pilot securities: www.nyse.com/regshopilot
NASDAQ-listed Pilot securities: www.nasdaqtrader.com/trader/tradingservices
/mktregulation.stm#regsho
AMEX-listed Pilot securities: www.amex.com/AmexTrader
For questions regarding the Chicago Stock Exchange Regulation SHO
data, please contact:
RegSHOinfo@chx.com
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