For CAT reporting purposes, a Trailing Stop order allows the stop price to increase (or decrease) by a predetermined amount or formula (e.g., a specified dollar amount, a percentage of the market price, or some other predetermined criteria) as the market price of the security advances (or declines). Once the Trailing Stop price is triggered, the sell (or buy) order becomes either an executable market order or a limit order (e.g., a Trailing Stop Limit order). 

In Phase 2a/2b, Industry Members are required to report a New Order event or New Option Order event (MENO or MONO) with a handlingInstructions value of ‘TS’ (Trailing Stop) representing receipt or origination of the Trailing Stop order. When the market price hits or goes through the highest (or lowest) calculated Trailing Stop Price, Industry Members are also required to report an Order Modified event or Option Order Modified event (MEOM or MOOM) with applicable updates to the price field. The MEOM/MOOM must not have a handlingInstructions value of ‘TS’ since the underlying condition of the order was triggered and the order is no longer a Trailing Stop order. Industry Members are not required to report additional MEOM/MOOM events each time the predetermined amount or formula is recalculated. The Industry Member is also required to report any subsequent actions taken on the order (e.g., executing, routing away or canceling). 

In Phase 2c (equities) and Phase 2d (options), Industry Members will still be required to report a New Order event or New Option Order event (MENO or MONO) with a handlingInstructions value of ‘TS’ representing receipt or origination of the Trailing Stop order. Industry Members will also be required to report an Order Effective event or Option Order Effective event (MEOE or MOOE) when all underlying conditions (i.e., the Trailing Stop) are met and the order becomes and remains effective instead of an MEOM/MOOM (as required in Phase 2a/Phase 2b). Additionally, beginning December 5, 2022, the Multi-Leg Order Effective event (MLOE) is required to be reported to indicate that a multi-leg order, or an underlying condition of a multi-leg order, has become effective. The triggerPrice field on the MEOE/MOOE/MLOE event must be populated at the highest (or lowest) calculated trailing stop price. Refer to the Industry Member Reporting Scenarios document for additional information.

See also:  

•    See FAQ B57 regarding how the orderType and handlingInstructions fields must be populated for Trailing Stop and Trailing Stop Limit orders.
•    See FAQ B60 regarding which party has the obligation to report the Order Effective event/Option Order Effective event/Multi-Leg Order Effective event (MEOE/MOOE/MLOE) to CAT.
•    See FAQ B63 for information on how the initiator field should be populated if an Industry Member modifies or cancels an order based on implicit customer instructions communicated with the order.