In Phase 2a, if an order is received or originated with instructions to work the order using a Trading Algorithm as defined in the Industry Member Technical Specifications, a handlingInstructions value of 'ALG' should be populated on the New Order or Order Accepted event submitted to CAT along with any additional relevant handlingInstructions. For example, customer orders received with a counterparty restriction instruction and instructions to work using a trading algorithm should be reported to CAT using handlingInstructions values of ‘CPR’ and ‘ALG.’ Additionally, customer orders received with instructions to execute at TWAP or VWAP would be considered instructions to work the order using a trading algorithm and therefore any orders received with these instructions should be reported to CAT using a handlingInstructions value of ‘ALG.’ Firms should note that more granular handlingInstructions values may be required in future phases of CAT.

Starting in Phase 2c, Industry Members will be required to populate the ‘ALG’ handlingInstructions value on Order Route events for orders that were sent to another broker-dealer with instructions to handle the order using a specific trading algo. The ‘ALG’ handlingInstructions value must not be used on routes that are sent by an algo. The same guidance for Order Route events outlined above applies to the ‘ALGMod’ handlingInstructions value. Specifically that the ‘ALGMod’ value should not be used on routes that are sent resulting from the use of a different trading algorithm or a change in the settings of the algorithm. 

Example 1: Broker 1 receives a customer order with instructions to handle the order using a specific proprietary algo. Broker 1 then sends the order through its algo, and the algo routes the orders to the street. In this example, Broker 1 is required to report ‘ALG’ on its MENO from the customer. ‘ALG’ must not be populated on the routes made by the algo. 

Example 2: Broker 1 receives a customer order with instructions to handle the order using a specific algo at another broker-dealer. Broker 1 routes the order to Broker 2, who sends the order through its algo. In this example, Broker 1 is required to report ‘ALG’ on its MENO and MEOR (in Phase 2c) to Broker 2. Broker 2 is required to report ‘ALG’ on its MEOA. ‘ALG’ must not be populated on the MEORs for the routes made by the algo. 

Example 3: Broker 1 receives a Not-Held customer order. The trader uses discretion and determines to route the order through a specific proprietary algo. ‘ALG’ must not be populated on the MENO in this scenario, since the order was not received with the instruction to handle the order via an algo. At a future date, a new field will be added to the MENO to indicate that an Industry Member applied discretion to use an algorithm in the absence of a customer instruction. ‘ALG’ must not be populated on the MEORs for the routes made by the algo. 

Example 4: Broker 1 receives a Not-Held customer order. The trader uses discretion and determines to route the order to a specific algo at another broker-dealer. Broker 1 routes the order to Broker 2, who sends the order through its algo. ‘ALG’ must not be populated on Broker 1’s MENO in this scenario, since the order was not received with the instruction to handle the order via an algo. ‘ALG’ must be populated on Broker 1’s MEOR and Broker 2’s MEOA, as the instruction to handle the order using a specific algo was applied and passed by the trader who had discretion over the order. ‘ALG’ must not be populated for the routes made by the algo.