HSVF D5 and D6 Sequence Number Capacity on Options Level 2

Derivatives trading on MX has grown markedly in the last 2 years. Consequently, Data Dissemination has followed suit. Versions D5 and D6 of HSVF currently have a 999,999,999 sequence number limit.

MX has reached 80% of sequence number capacity in 2022 on the Options Level 2 (5 Price Levels) Data Line.

This more than doubles the observed yearly trend in messaging growth.

The same risk is not present in the other HSVF Data Lines in D5 or D6.

• Options Level 1
• Futures Level 1
• Futures Level 2

Consequently, the MX will take multiple steps to mitigate the risk of breaching this threshold (999,999,999)

Mitigation includes the following:

1- Implement HSVF D7: MX will increase the sequence number capacity threshold to 9,999,999,999

• Activation Date Nov. 14th, 2022
• Technical Notice 22-006

2- Implement Temporary HSVF Filter controls

• In order to mitigate the risk of a sequence number breach, MX will reduce the flow of information if possible and only on a Data Line that breaches an Exchange defined threshold.
• Applies only to the D5 and D6 Options Level 2 Data Lines
• Following a breach of the Exchange defined Sequence Number Threshold
  • Will only broadcast Level 1 data (Message Type = H)
    • Price Levels 2 to 5 removed
    • Implied Prices removed
• Transmission of Automated Bulletin Messages (Message type = L):
  • "Next Market Depth messages will only contain level 1 prices."
    • Options Level 2 will only broadcast Level 1 following this bulletin
  • Bulletin will also be sent with the sequence number representing the Exchange defined threshold
• Temporary HSVF Filter controls will cease on February 24th, 2023 once most clients have migrated to D7 or implemented a Sequence Rollover Patch.

3- Implement Sequence Number Rollover Patch in HSVF D6

• For clients who have not yet made the transition to HSVF D7, the MX will implement a patch in HSVF D6 permitting the rollover of the sequence number to zero once the Maximum permitted value (999,999,999) is reached.
• Implementation date is February 23rd 2023.
• HSVF D5 will be decommissioned on February 23rd 2023 and will not receive the patch
• The Rollover will be preceded by a Bulletin (L Message)
  • "MAX SEQUENCE NUMBER 999,999,999 REACHED, PREPARE ROLLBACK TO 0"
    • Bulletin sent with message 999,999,999
    • Sequence number 0 follows 999,999,999
    • Sequence number 0 represents 1,000,000,000

Retransmissions following a Sequence Number Rollover

• The last 999,999,999 messages sent in HSVF are available for retransmissions, following a Rollover.
• Example:
  • HSVF D6 Options Level 2
  • Last Sequence Number following a Rollover = 200,000,000
    • Represents message 1,200,000,000
    • Messages available for retransmission
      • 200,000,001 (pre Rollover) to 200,000,000 (post Rollover)
  • A request for actual messages 999,999,998 to 1,000,000,001
    • Request = Start=999,999,998, End=1
    • Return = 999,999,998; 999,999,999; 0; 1

Mitigation Timeline

Implement Temporary HSVF Filter controls

HSVF D7 Implementation

Implement HSVF D6 Rollover Patch