VOLUME 20 - BULLETIN #112
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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April 14, 2000
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SUBJECT:
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APS Memo Group Screen
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In February 2000, The Commodity Futures Trading Commission (CFTC) announced that firms would no longer be required to use an exchange supported Average Price System (APS). This initiative has been broadly supported by clearing FCMs and The FIA. The approval by the CFTC allowing Futures Commission Merchants (FCMs) to calculate the average price through their bookkeeping system represents a significant step in providing FCMs the flexibility and control to meet the needs of the marketplace. Due to the CFTC’s decision, BOTCC is announcing that the Average Price System accessed through the Clearing Corporation’s OTIS system will no longer be supported. The ability to average trade prices through OTIS will be supported until the end of 2000. However, maintenance to the APS application to support new products, or changes to existing products, will not be part of BOTCC system requirements nor included in any project implementation.
New APS Memo Group Screen
The first project impacted by this decision will be Single Line Entry of Differential Spreads (SLEDS). The ability to average prices of differential spreads will NOT be included in the SLEDS project. However, beginning Friday, April 28, 2000 firms will be allowed to giveup a trade at an average price by using a new screen. The “APS Memo Group” screen will be accessible via choice #15 on the Give-Ups and Average Price Menu. Firms will enter 15 on the ‘selection’ line and an APS group identifier next to the selection on the menu. This will access the new APS Memo Group screen. The screen will be much like the current APS screen with some notable exceptions.
The current APS Group screen shows the results of calculations done by the Clearing Corporation to average all the trades in a group. These results include plus five average price, plus five value, rounded average price, residual per contract and actual average price. The contract information, pulled from the original trades is also detailed on the screen. Firms must enter Order Quantity and can update original trade data.
The new APS Memo Group screen will not automatically populate any fields except the Group Quantity (calculated when trade details are entered). There will be no link to the original executed trade records. Firms will be able to enter values in any field but must enter contract information, rounded average price, residual per contract, order quantity, action code, origin, trade quantity and executing broker. BOTCC will edit the information based on normal contract specifications and ensure that the group quantity matches the order quantity.
Allocation of APS Memo Groups
APS Memo Groups that have passed the edit will be available for allocation to another firm through the APS Group Display screen (choice #8 on the Give-Ups and Average Price Menu). APS groups created through the new screen will be identified with an ‘M’ in a new Group Indicator (GI column) on the Group Display screen. Allocated APS Groups must be updated to ‘Completed’ status just like regular APS transactions.
Please see the attached screen prints for examples of the new screens.
The maintenance of APS functionality has created additional overhead for BOTCC in both system processing and resource allocation. These resources would be better utilized to enhance our clearing system. The CFTC’s decision will allow us to focus on Single Line Differential Spreads and a one sided transaction system for EFPs, misclears transfers and giveups (including those at an average price) that will be based on a generic allocation and claim design.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
Volume 20 - Bulletin #112 Page 3
New Selection (15) added for APS Memo Group Maintenance. This selection will be available to firms for creating APS memo groups, to be used in the give-up of price-averaged trades.
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TEK0450
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BOARD OF TRADE CLEARING CORPORATION
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03/01/00
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EXCHANGE: 01
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GIVE-UPS AND AVERAGE PRICE SYSTEM
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10:31:22
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FIRM: 998
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S E L E C T I O N M E N U
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ENTER SELECTION NUMBER: __
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GIVE-UP FUNCTIONS:
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1. GIVE-UP SINGLE TRADE ENTRY AND ALLOCATION
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2. ALLOCATION SELECTION
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ORDER: ____
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COMMODITY: __
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CLAIMFIRM:___
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DISCREPANCIES ONLY: N
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UNCLAIMED ONLY: N
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AS OF: N
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3. CLAIM SELECTION
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ORDER: ____
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COMMODITY_
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EXEC FIRM: __
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31. FAST CLAIM
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UNCLAIMED ONLY: N
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AS OF: N
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4. REPORT REQUEST
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5. TRANSACTION DUPLICATION
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AVERAGE PRICE FUNCTIONS:
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6. OPEN APS TRADES
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11. APS REPORT REQUEST
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7. APS SINGLE GROUP MAINTENANCE: _____
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12. APS TRADE DUPLICATION
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8. APS GROUP DISPLAY
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13. APS TRANSFER ALLOCATION
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9. APS ALLOCATION
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AS-OF: N CLM FIRM: ___
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14. APS TRANSFER CLAIM
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10. APS CLAIM SELECTION
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AS-OF: N CLM/UNC _
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15. APS MEMO GROUP _
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BACK OFFICE SELECTIONS:
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20. GIVE-UP REVERSAL REQUESTS
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21. GIVE-UP REVERSAL CONFIRMATIONS
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KEYS==> ENTER = NEXT SCREEN, PF1 = OTIS MENU
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To access the APS Memo Group Maintenance screen, enter selection 15 and a group code in the APS MEMO GROUP field.
Selection 7, APS Single Group Maintenance, will access ONLY regular APS groups.
Selection 8, APS Group Display, will access the APS Single Group Maintenance screen or the APS Memo Group screen, depending on the group’s designation.
Selection 9, APS ALLOCATION, and 10, APS CLAIM, will process APS Memo Groups the same as regular APS groups.
Volume 20 - Bulletin #112 Page 4
New APS Memo Group Maintenance Screen
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TEK0380
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BOARD OF TRADE CLEARING CORPORATION
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03/01/00
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EXCHANGE:
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01
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GIVE-UPS AND AVERAGE PRICE SYSTEM
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10:32:46
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FIRM:
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998
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APS MEMO GROUP MAINTENANCE
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APS GROUP:
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A1234
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PLUS FIVE AVG PRICE:
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0090.3333300
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PLUS FIVE VALUE:
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.33344
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CONTRACT:
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COM 17
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B/S 1
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MO 6
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YR 0
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ROUNDED AVG PRICE:
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0090110
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C/P
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EXER PRC 0000000
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RESIDUAL PER CONTRACT:
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10.42
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STATUS:
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WORKING
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ACTUAL AVG PRICE:
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0000090.333333333
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ORDER QTY:
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30
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GROUP QTY:
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30
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TRADE
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EXEC
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TRAN
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ACT
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DATE
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ORG
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ACCOUNT
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QTY
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BRK
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TYPE
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A
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030100
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1
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ABCD123456
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10
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BBB
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A
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030100
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1
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ACCT123456
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10
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PPP
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A
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030100
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1
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TEST123456
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10
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ZZZ
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_
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FUNCTIONS:
1. Add or Change APS Memo Group data. For group deletions, delete all ‘trades’ from group and the APS Memo Group will be deleted during the nightly processing.
2. Add, Change, or Delete ‘Trade’ data records for group.
Group Fields:
1. APS GROUP code is a required field and will have a value that was entered or selected from a prior screen.
2. All CONTRACT data must be entered. For Futures, enter commodity, buy/sell, month, and year; for Options, also enter call/put and exercise price.
3. PLUS FIVE AVG PRICE, PLUS FIVE VALUE, and ACTUAL AVG PRICE are optional fields.
4. ROUNDED AVG PRICE (In 7-digit Trade Entry format) is a required field.
5. RESIDUAL PER CONTRACT must be entered; enter zero if there is no residual.
6. Before completing a group, ORDER QTY is required.
‘Trade’ Fields:
1. ACT (A=add, C=change, D=delete), ORG, QTY, and EXEC BRK are required fields.
2. ACCOUNT and TRAN TYPE are optional.
3. TRADE DATE will default to date APS Memo Group was created
Volume 20 - Bulletin #112 Page 5
Updated APS Group Display Screen
New field ‘GI displays Group Identifier. ‘M’ = APS Memo Group
Blank = Regular APS Group
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TEK0300
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BOARD OF TRADE CLEARING CORPORATION
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03/10/00
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EXCHANGE:
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01
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GIVE-UPS AND AVERAGE PRICE SYSTEM
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09:29:02
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FIRM:
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998
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APS GROUP DISPLAY
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B
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EXER
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C
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ROUNDED
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RESIDUAL
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REV
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G
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ACT
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DATE
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AG
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CM
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M/Y
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S
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PRICE
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P
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QTY
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AVG PRICE
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PER CONT
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STATUS
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IND
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I
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_
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031000
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A1234
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17
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6 0
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1
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30
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94
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7/32
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10.42
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WORKING
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_
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031000
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AAAAA
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17
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6 0
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1
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40
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94
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7/32
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10.42
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COMPLETE
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Y
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_
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031000
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AAAAA
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17
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6 0
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1
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10
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94
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7/32
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18.75
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COMPLETE
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M
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