What technical specifications are available?

Technical specifications are available at https://memxtrading.com/specs and include the following documents.

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What order entry protocols are supported?

Participants will electronically access the exchange using Classic FIX (ASCII Tag/Value) and/or a native binary protocol called MEMO (MEMbers Orders). A common message standard and data schema is used for both. These protocols will allow members to submit, modify, and cancel orders, receive acknowledgments and execution reports, and be notified of exchange trading status. Technical specifications are available at https://memxtrading.com/specs.

Why did you choose FIX 5.0, and why don’t you support FIX 4.2?

We chose FIX 5.0 SP2 for two main reasons. First, in keeping with our desire to move the industry forward, we wanted to use the latest version of the FIX standard which originally came out in 2006 (it was updated with service pack 2 in 2009). While FIX 4 is in wide use, it is nearing the two-decade old mark and has material architectural shortcomings as well as significant accidental complexities common for something that old. Secondly is the architectural change in FIX 5.0 that addressed what we believed to be the main issue in FIX4, the introduction of the Transport Independence Framework. This construct, called FIXT, decouples the FIX Session and Application layers, allowing application messages to be sent over any viable transport technology, one of which is the FIX Session Protocol. Said another way, the classic FIX Tag/Value formatted messages do not need to be sent using the FIX Session protocol. One can also send these messages over a simple TCP connection for example, something that we do with external (like NSCC) integrations.

FIX 5.0 also allows us specify a common data schema for our MEMO order entry protocol and use that schema for both the SBE and FIX versions of MEMO. This eases the migration from FIX to binary if firms desire. If your platform currently adheres to the FIX 4.2 standard, you can use our schemas, refactor your application logic and then bolt on your FIX 5 engine of their choice for transport. “FIXT” is the label used to identify the separate session layer specification and to identify the FIX Session version being used. 

What market data protocols are supported?

MEMX data products include Depth, Top of Book, and Last Sale, as well as historical versions of each. Participants will be able to consume MEMOIR (MEMber’s Order Information Record) data products via a streaming multicast protocol, TCP/IP (Transmission Control Protocol/InternetProtocol), and through the use of modern APIs in the cloud for historical products. Technical specifications are available at https://memxtrading.com/specs.

Does MEMX provide pre-trade risk controls on incoming orders?

Yes, MEMX provides a system of integrated pre-trade risk management to help participants monitor and control their interactions with the exchange. All incoming orders are processed against a set of risk filters designed to help prevent erroneous orders. These controls are dynamically configurable by members and can be assigned to an individual session, or an aggregated set of sessions in a group. The risk checks are applied in a consistent manner to all participant orders in order to mitigate risk without incurring latency disadvantage.

What trading controls does MEMX offer to its Members?

• Order size

  • Maximum notional value per order

  • Maximum shares per order

  • Percent of average daily volume of a security including the ability to specify the minimum average daily volume of the securities for which such control will be activated.

• Price of an order including percentage-based and dollar-based controls.

• Restrict trading

  • By trading session (pre-market and post-market)

  • Easy to Borrow Lists

  • Restricted symbol list

  • Block ISO

  • Block short sale orders

  • Only allow trading in test symbols

• Duplicate orders

• Overall rate of orders

• Credit controls measuring both gross and net exposure that warn when approached and, when breached, prevent submission of either all new orders or Market Orders only.

• Functionality that permits Users to block new orders submitted, to cancel all open orders, or to both block new orders and cancel all open orders. Furthermore, the Exchange offers risk functionality that automatically cancels a User’s orders to the extent the User loses its connection to the Exchange.

• Self trade prevention

Does MEMX support mass cancels?

Yes, mass cancel functionality is in the MEMO spec and is accessible via the MEMO port. It is called MassCancelRequest. MEMX supports the canceling of an order via any active MEMO SBE session regardless of the session that the original order was transmitted on. Additionally, this flexibility allows MEMX to offer a batch cancel function, via any active session which can be used by a participant to cancel all or a subset of its orders in one or more symbols with a single command to the Exchange. Members can use this facility as a “purge port” or for other mass cancel type functions. 

What are the fees for connecting and market data?

Initially, there are no fees charged for physical connectivity, logical ports or market data. There will always be transparency around our costs, and we will always charge a fair and reasonable cost for our services.

What are the transaction fees for MEMX?

MEMX operates a maker-taker model (rebate to provide/fee to remove liquidity). Our fee schedule is posted at Fee schedule.

Which order types and modifiers will be supported?

MEMX accepts three order types (market, limit, pegged), six modifiers (ISO, reserve, non-display, post only, book only, re-pricing) and five time-in-force instructions (IOC, FOK, Day, RHO, GTT). Review the MEMX Rule Book for more details on order type functionality.

Does MEMX route to away markets?

MEMX Execution Services LLC, a registered broker-dealer pending regulatory approval, will route to away markets displaying protected quotations to comply with Reg NMS. A combination of proprietary exchange data feeds and CQS/UQDF data feeds from the Securities Information Processors (SIPs) will be used for the decisions regarding when and where to route orders.

NOTE: Routing is not currently enabled on the exchange.

Does MEMX provide directed routing to other markets?

No, MEMX will route as described above in compliance with Reg NMS but does not have order types or routing strategies for directed routing to away markets.

What symbology is used?

MEMX uses the CMS symbol convention which separates the root and the suffix.