Technical User Group. Milano. 18 November 2015

Transcription

1 Technical User Group Milano 18 November 2015 Page 1

2 Agenda GTP Phase II New Functionalities on IDEM New Trading Hours for Borsa Italiana Markets New SeDeX Market Model MiFID II Roadmap for 2016 Q & A Page 2

3 GTP PHASE II Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 3

4 GTP Phase II Introduction of low latency Multicast Full Book services for all markets Minimum bandwidth for Full Book services 1Gbps TAH and MiFID OTC market data feeds will be split from MTA and SeDeX: a new GTP Multicast Channel will be set up for TAH and MiFID OTC market data a new GTP Lite port will be assigned for TAH and MiFID OTC market data new ports will be assigned for TAH and MiFID OTC market data Reply and Recovery services Format of Volume (total and on book), VWAP (total and on book) and Turnover (total and on book) fields of the Statistics message will change (4 implied decimal digits instead of 8) Turnover for MOT, TLX Fixed Income and MTA convertible bonds calculation will change (disseminated value will be divided by 100) Page 4

5 Project Timeline Technical Documentation published in July 2015 CDS available since July 2015 Dress Rehearsal in production environment on Saturday, January 9 th 2016 (to be confirmed) Go-live on January 18 th 2016 (to be confirmed) Login to production available on Saturday January 16 th 2015 Page 5

6 New Functionalities on IDEM Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 6

7 4 Legs Strategies On the current live version of SOLA, Member Firms can create their own Strategies (FlexCo) with 2 legs On SOLA 7 it will be possible for Member Firms to create their own Strategies (FlexCo) with up to 4 legs This will allow traders to create more complex Strategies like: Butterflies Straddles Strangles Etc. Page 7

8 Bundled Orders Bundled Orders allow traders to group up to 4 committed cross orders on different Instrument Series (one per cross order) within the same transaction to different counterparties (one per cross order), offering certainty of simultaneous execution of all the individual trade reports included in the BO, or no execution at all Bundled Orders will require traders to specify price, size, counterparty and Instrument Series for each order A Bundled Order is executed only if all the legs can be executed, that is if all counterparties have accepted Page 8

9 Bundled Orders Example (1) Counterparty A initiates: 1. Instrument 1 vs. Counter Party B 2. Instrument 2 vs. Counter Party C 3. Instrument 2 vs. Counter Party D BO Request 3 Trades Notify Counterparty B Accept Trade Notify SOLA Trades to HSVF Counterparty C Accept Trade Notify Counterparty D Accept Trade Page 9

10 Bundled Orders Example (2) Counterparty A initiates: 1. Instrument 1 vs. Counter Party B 2. Instrument 2 vs. Counter Party C 3. Instrument 2 vs. Counter Party D BO Request Reject Notify Counterparty B Accept Reject Notify SOLA Counterparty C Accept Reject Notify Counterparty D Reject Page 10

11 Third Party Trade (1) An Non Executing Broker (NEB) will have the possibility to request the execution of a committed order between two market counterparties (Member Firms) NEB initiates a Third Party Trades between Counterparty A and Counterparty B on Instrument 1 Request Notice Notify Counterparty A Accept SOLA Trades to HSVF Trade Notify Counterparty B Accept Trade Page 11

12 Third Party Trade (2) An Non Executing Broker (NEB) will have the possibility to request the execution of a committed order between two market counterparties (Member Firms) NEB initiates a Third Party Trades between Counterparty A and Counterparty B on Instrument 1 Request Reject Counterparty A Notify Accept SOLA Counterparty B Notify Reject Page 12

13 Self Execution Prevention (1) Define set of Trader ID Groups (composed of one or more Trader IDs) whose orders cannot cross each other (independently from order capacity) If two orders sent by to 2 Trader IDs that belong to the same SEP Group (or by the same Trader ID that belong to a SEP Group) it will be possible to statically configure whether to: Cancel Incoming Order (CIO) Cancel Resting Order (CRO) Cancel Both Orders (CBO) Reduce and Cancel (RC, cancels both orders if they are of the same size, otherwise the order with smaller size is cancelled and the size of the order with bigger size is reduced of the size of the smaller) Page 13

14 Self Execution Prevention (2) Each Trader ID can belong to a single SEP group only Existing Criteria for Price Deviation Dynamic Control will not be impacted SEP will be evaluated before Circuit breaker In the case one of the two orders is a quote, the order expires independently from the chosen configuration (CIO, CRO, CBO, RC) SEP will not apply to execute minimum quantity orders, including icebergs and Fill Or Kill (FOK) Page 14

15 Timeline Technical documentation published in December 2014 New functionality available and active in IDEM CDS since June 1 st 2015 Target Go-Live of new functionalities: End of January/Early February 2016 (to be confirmed) New Functionalities will be active during the Dress Rehearsal that will be organized within the GTP Phase II project Page 15

16 Timeline Technical documentation published in December 2014 IDEM CDS available since June 1 st 2015 IDEM target Go-Live: End of January/Early February 2016 New Functionalities will be active during the Dress Rehearsal that will be organized within the GTP Phase II project Page 16

17 New Trading Hours Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 17

18 New Trading Hours Cash Markets (1) Session Now Starting from November 23 rd Opening Auction * * Continuous Trading 9.00* * Closing Auction ** ** Closing Price Publication 17.30** 17.34** 17.35** 17.36** Closing Price Cross 17.34** ** * Opening Auction ends in a random instant between 9.00 and 9.01, Continuous Trading starts right after ** Closing Auction currently ends in a random instant between and and starting from November 23 rd will end in a random instant between and 17.36, all following sessions starts consequently All Trading Times are in Italian Time (CET/CEST) London Stock Exchange Group 18 November 2015 Page 18

19 New Trading Hours Cash Markets (2) Currently, Closing Auction can be extended byadditional 5 mins, starting from November 23 rd will be extendable of 2 mins only (all following sessions are shifted and Closing Price Cross closes at instead of 17.42) The duration of Intraday Volatility Auction is currently 10 minutes (plus one random minute), starting from November 23 rd the duration will 5 mins only London Stock Exchange Group 19 November 2015 Page 19

20 New Trading Hours IDEM Markets Session Now Starting from November 23 rd Opening Auction (for FIB and MINI FIB only) * * Continuous Trading 9.00* * * Opening Auction ends in a random instant between 9.00 and 9.01, Continuous Trading starts right after Market Making obligation are currently applied between 9.30 and 17.20, starting from November 23 rd Market Making obligation will be applied between 9.30 and All Trading Times are in Italian Time (CET/CEST) London Stock Exchange Group 18 November 2015 Page 20

21 New SeDeX Market Model Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 21

22 New SeDeX Market Model (1) Introduction of the Quoting period between Italian Time on all SeDeX Instruments Continuous Trading start will be postponed by 5 minute The static and dynamic prices at start of day will be equal to the average of the quotes published by the specialist at the end of the Quoting period (if available) New calculation of Reference Price: Currently the Reference Price is calculated as the average of the last n couples of best bids and asks on the book the reference price shall be calculated as the average of the quotes of the specialist at the end of day Page 22

23 New SeDeX Market Model (2) Halt of Trading (instruments in Frozen status) in case of absence of Specialist quotes on both sides only for the following asset classes: Structured/Exotic Covered Warrants Leverage Certificates Class A (Turbo & Mini Futures) Investment Certificates Class B When the specialist quotes are present on one or both sides of the book, Specialist s Bid and/or Ask prices represent the minimum and/or maximum tradable prices In case of temporary single side quote (Specialist quote filled on one side) or bid only quoting, trading on the side without quote will not be applied any restriction Page 23

24 Frozen Status Examples (1) When the specialist quotes are present on one or both sides of the book, Specialist s Bid and/or Ask prices represent the minimum and/or maximum tradable prices Buy 35@103 Bid Ask 10@100* 10@101 10@99 10@102* 10@98 10@102 10@97 10@103 Executions: 10@101 10@102 10@102 Remaining Quantity (5) cancelled *Specialist Bid and Ask Quotes Page 24

25 Frozen Status Examples (2) In case of temporary single side quote (Specialist quote filled on one side) or bid only quoting, trading on the side without quote will not be applied any restriction Buy Bid Ask Executions: *Specialist Bid Quote Page 25

26 Frozen Status Examples (3a) Halt of Trading (instruments in Frozen status) in case of absence of Specialist quotes on both sides Sell Bid Ask Executions: Remaining Quantity (5) cancelled *Specialist Bid Quote Page 26

27 Frozen Status Examples (3b) Halt of Trading (instruments in Frozen status) in case of absence of Specialist quotes on both sides Sell Bid Ask Executions: Remaining Quantity (5) cancelled Page 27

28 Timeline Technical documentation published in October 2015 CDS available since October 28 th 2015 Target Go-Live: Q (to be confirmed) Page 28

29 MiFID II Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 29

30 MiFID II MiFID II will bring some relevant changes to our systems in terms of: Trading and Market Data Protocol Test Environments availability and structure Procedures Information to be provided to Exchanges by Member firms Post Trade Transparency Transaction Reporting Etc. Our Group is working/analyzing MiFID II requirements, clients will be involved as soon as possible Page 30

31 Roadmap for 2016 Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 31

32 Roadmap for 2016 Q1 2016: Go-Live of GTP Phase II Activation of the new functionalities on IDEM Go-Live of the New SeDeX Market Model Go-Live of Release for EuroTLX Q2 2016: new MIT release with the introduction of new functionalities (further information will be provided in due course) Q3 and Q4 2016: implementation of MiFID II related changes Page 32

33 Q & A Page 33