HKATS and DCASS Upgrade to Genium INET Platform. September 2012 Derivatives Market, Trading Division

Transcription

1 HKATS and DCASS Upgrade to Genium INET Platform September 2012 Derivatives Market, Trading Division

2 Agenda 1 Introduction 2 Key Features 3 Infrastructural Features 4 Functional Enhancements 5 Implementation Considerations 2

3 Agenda 6 Tentative Implementation Schedule 7 Appendix A 8 Appendix B 3

4 Introduction Initiative as part of the HKEx Strategy Plan Both HKATS & DCASS will be upgraded in the same exercise to the new technology platform Genium INET Upgraded systems are built on a different architecture and provide new functional features Tentative rollout in the fourth quarter of

5 Agenda 2 Key Features 5

6 Key Features Significant increase in trading capacity Improvement in clearing process resulting in shortened batch run time Ultra-low latency architecture for order processing through connection to Central Gateways ( CGs ) Largely backward compatible OMNet Application Programming Interface (OAPI) New functionalities such as Tailor-made Combination (TMC) order and Enhanced Central Order Size Limit 6

7 Agenda 3 Infrastructure Features 7

8 Infrastructural Features CG as the primary access point for both trading and clearing functions Network Gateways ( NGs ) as the transitional access point Trading Workstations as transitional trading device Changes in hardware / software requirements for NG, DCASS Server / Terminal (Client) Increase in SDNet/2 circuit bandwidth requirements Contingent arrangement for site failover and SOS centre 8

9 Infrastructural Features - Existing System Architecture * HKEx supplied software 9

10 Infrastructural Features - System Architecture after Genium Upgrade * HKEx supplied software 10

11 Infrastructural Features - System Architecture after OMD Derivatives Rollout * HKEx supplied software 11

12 Infrastructural Features - NG, CG, PRS/PRS+ and OMD Connection Availability Roadmap 12

13 Infrastructural Features Central Gateways (CGs) as primary access point Located on High Speed Message Bus for low latency order transactions Cost reduction for Participants by not needing to purchase, house and maintain their own Network Gateways Redundant Central Gateways at HKEx available for backup No Market Data available Market Makers must submit quotes via Central Gateways 13

14 Infrastructural Features Network Gateways (NGs) as transitional access points Network Gateways available only during transition period (tentatively ends in 2017) Conflated market data can still be subscribed by OAPI programs via Network Gateways No price data for underlying (e.g. stocks and indices) Only 1 Network Gateway per physical location HKEx provides Backup Gateways at HKEx to cater for Network Gateway failure subject to a fee 14

15 Infrastructural Features - Comparison of CGs and NGs Latency in order & quote processing CG Lower NG Higher Market Data Subscription by OAPI* No Yes Need for EPs / CPs to maintain their own gateway hardware / software Market Maker Order / Quote Submission No Yes Yes No Trading Workstation Connection No Yes DCASS Server Connection Yes Yes * EPs should plan for ultimate subscription of market data either directly through the OMD Platform or indirectly through other Information Vendors 15

16 Infrastructural Features HKATS Trading Workstation Trading Workstations available only during transition period (tentatively ends in 2017) Must connect via Network Gateways at Participant premise Market data is available for a limited number of series (exact number will be advised by HKEx in due course and updated from time to time) EPs are advised to commence planning for switching to OAPI from Trading Workstation 16

17 Infrastructural Features Hardware & Software Requirements Existing hardware for CLICK Workstations can be redeployed for Trading Workstations New hardware / software requirements for various devices (e.g. Network Gateways, Trading Workstations, DCASS Servers and Terminals) due to anticipated increase in market volume Please refer to Appendix A for preliminary requirements 17

18 Infrastructural Features - Preliminary Bandwidth Requirements In order to support the capacity growth in the derivatives market with HKATS and DCASS Upgrade, the minimum bandwidth requirements are listed below : Usage Gateway Connections HKATS Connections only DCASS Connections only CG (Central Gateway) 3 Mbps 3 Mbps 1 NG (Network Gateway) 10 Mbps 3 Mbps 1 * Bandwidth requirement for NG supporting both HKATS and DCASS connections is 20Mbps, which is the next available tier beyond 10Mbps 1 3 Mbps is optimal for supporting one DCASS Server plus up to three non-report download related OAPI applications 18

19 Infrastructural Features Contingent Arrangement Backup host servers installed at HKEx secondary data centre Trading will be suspended when the need to failover the matching engine to secondary data centre arises Central order book will be emptied upon matching engine failover to secondary data centre Order cancelled during the failover can be re-entered to HKATS upon resumption of trading Backup Trading Workstations will not be available at the HKEx SOS Centre 19

20 Agenda 4 Functional Enhancements 20

21 Functional Enhancements - Tailor-Made Combination (TMC) EPs can create their own combination series (i.e the TMC series) according to the pre-defined strategies in real-time with futures and/or options series TMC series will be displayed to all EPs for trading. Once the TMC is created, the EPs can trade it as it is a standard series, e.g. enter, execute, change and cancel order EP must submit a TMC order when creating the TMC series Non-standard Combination and Bulletin Board (BB) are no longer available (TMC is used as a replacement for Bulletin Board (BB) in Genium) 21

22 Functional Enhancements - Tailor-Made Combination (cont ) TMC series and order will be displayed in Price Information window and Price Quotation window with the outright series Same strategies or reverse strategies will be identified and the orders will be converted to the existing TMC series EPs can send Quote Request on TMC series Once the TMC order is executed, trades will be reported in respective legs (same as today s Standard Combination trade) with deal source TMC All TMC series and TMC outstanding orders will be removed after day end Especially useful for options rollover 22

23 Functional Enhancements - Tailor-Made Combination (cont ) Maximum number of legs is 4 Leg ratio equal to or less than 4 Legs are on same underlying with same contract size No bait generation OAPIs will be certified to have an order sent together with every TMC series created 23

24 Functional Enhancements - Tailor-Made Combination (cont ) 24

25 Functional Enhancements - Comparison Between TMC in Genium and BB in CLICK TMC BB 1. TMC orders are listed in Central Order Book 2. Auto matching according to price/time priority BB orders are listed in separate BB Order book No auto matching 3. With Quote Request Without Quote Request 4. Opposite strategy will be converted to bid/ ask order 5. Can select Open/ Close position Opposite strategy will display as another order along BB Order book Open position by default 25

26 Functional Enhancements - Comparison Between TMC in Genium and BB in CLICK TMC BB 6. No bait order No bait order 7. Max. ratio between legs: 4 Max. ratio between legs: 4 8. Max. 4 legs Max. 8 legs 9. Deal price is assigned by system Deal price is assigned by EP 10. Deal source: TMC Deal source: BB 11. Only allow Pre-defined strategy Accept any combinations of legs 26

27 Functional Enhancements Enhanced Order Size Limit Current Genium Enhancement Block Trades for standard series Block Trades for standard series All Order Types (for standard series and Combo series) All Order Types for standard series All Order Types for combo series 27

28 Functional Enhancements - Benefit of having separate order size limit for combo trading Current system only have one Order Size Limit EPs need a higher order size limit for combo trading Current Setting New Setting in Genium Block Trade 5,000 5,000 Order for Combo Series 2,000 2,000 Order for Standard Series

29 Functional Enhancements - OAPI Changes Moderate changes to Participant OAPI program codes expected Participants should ensure they have necessary technical support and reserve sufficient resources to develop or modify their OAPI programs OAPI programs need to be certified before market rehearsal OAPI technical briefing will be arranged in due course Please refer to Appendix B for a summary of changes 29

30 Agenda 5 Implementation Considerations 30

31 Implementation Considerations Review the bandwidth requirement for SDNet/2 (Now) Review and upgrade hardware and software for various devices Indicate the number of connections required through CG and NG (Q4 2012) Attend OAPI technical briefing (Q4 2012) NG hardware and software procurement (Q1 2013) 31

32 Implementation Considerations OAPI program development (First Half 2013) OAPI program certification test (Mid 2013) Upgrade the bandwidth for SDNet/2 (Second half 2013) Installation of new HKATS Trading Workstation and DCASS Server/ Terminal (Client) (Second half 2013) Participate in Production Readiness Tests (PR) and Market Rehearsal (MR) (Second half 2013) 32

33 Agenda 6 Tentative Implementation Schedule 33

34 Tentative Implementation Schedule The tentative implementation schedule for HKATS and DCASS Upgrade is summarized as follows: 34

35 Enquiries HKEx Technical support HKATS Hotline: DCASS Hotline: Web Corner: 35

36 Agenda 7 Appendix A 36

37 Appendix A - Hardware and Software Requirements Network Gateway Current requirement New requirement for Genium Processor Intel Pentium III 1.13GHz 2 six-core Xeon 2.8GHz RAM 2GB 12 GB Storage 18GB 2 73G mirrored local disk Network adapter 10/100 BaseT with auto-negotiation 10/100 BaseT with auto-negotiation OS Microsoft Windows 2003 SP2 RedHat Enterprise Linux 6 Layered software Symantec Antivirus Proper antivirus software IBM Director Agent HP RTR Client BMC Performance Manager N/A N/A N/A 37

38 Appendix A - Hardware and Software Requirements Trading Workstation Current requirement New requirement for Genium Processor Intel Core i GHz or above Intel Core i GHz or above RAM 4GB 4GB Storage 10GB 10GB Network adapter 100Mbps full-duplex 100Mbps full-duplex Monitor 21 with resolution 21 with resolution OS Microsoft Windows 7 (64-bit) Microsoft Windows 7 (64-bit) Layered software Anti-virus software Anti-virus software Microsoft.Net Framework 3.5 Microsoft.Net Framework 4 38

39 Appendix A - Hardware and Software Requirements DCASS Server Processor Current requirement Intel Dual-core Processor 2.4GHz New requirement for Genium Intel Dual-core i5 Processor 2.4GHz or above RAM 4GB 4GB Storage 80GB 80GB OS Microsoft Windows Server 2003 SP2 Or Microsoft Windows 2008 SP2 Microsoft Windows Server 2008 R2 (64 bit Operating System) Database N/A Microsoft SQL Express 2008 Layered software Proper antivirus software and regular update are recommended N/A Proper antivirus software and regular update are recommended Microsoft.NET Framework 2.0 SP2 or above 39

40 Appendix A - Hardware and Software Requirements DCASS Terminal (Client) Processor Current requirement Intel Dual-core Processor 2.4GHz New requirement for Genium Intel Dual-core i3 Processor 2.4GHz or above RAM 4GB 4GB Storage 10GB local disk spaces 10GB local disk spaces Network adapter OS Layered software 10/100/1000 BaseT with auto-negotiation Microsoft Windows 7 Professional SP1 (64-bit Operating System) Proper antivirus software and regular update are recommended 10/100/1000 BaseT with autonegotiation Microsoft Windows 7 Professional SP1 (64 bit Operating System) Proper antivirus software and regular update are recommended 40

41 Agenda 8 Appendix B 41

42 Appendix B - Brief Summary of OAPI Changes OAPI Changes applicable to Trading Existing message Replaced by message DQ4 Underlying Query DQ120 Delta Underlying Query BU4 Underlying Update Broadcast BU120 Delta Underlying Update VIB MO6 Price Quotation Transaction MO96 Mass Quote Transaction IQ23 Total Volumes and Prices (Matched order based) VIQ IQ18 Total Volume and Prices VIQ BD31 Edited Price Information (Matched order based) VIB BD2 Edited Price Information VIB BD1 Deals in the Market Broadcast BD70 Trade Ticker VIB 42

43 Appendix B - Brief Summary of OAPI Changes OAPI Changes applicable to Clearing Only Existing message Replaced by message BD4 Dedicated Trade Information BROADCAST BD6 Dedicated Trade information VIB CQ1 Trade QUERY CQ10 Query missing trade QUERY CQ2 CQ58 Trade History QUERY Trade Back Office QUERY CQ11 Query missing trade, historical QUERY 43

44 Appendix B - Brief Summary of OAPI Changes OAPI Changes applicable to Clearing Only Existing message Replaced by message CQ61 Holding Give Up Request Query Holding Give Up Request Query CQ76 BD29 Give up Query Directed give Up BROADCAST DQ9 Series Backoffice QUERY DQ125 Delta Instrument Series for Back Office QUERY DQ20 Instrument Class Backoffice QUERY DQ123 Delta Instrument Class for Back Office QUERY BU9 Series Backoffice Update BROADCAST BU125 Delta Instrument Series Update for Back Office VIB 44

45 Appendix B - Brief Summary of OAPI Changes NEW OAPI applicable to DCASS Only New message Description BD39 CQ39 BD40 CQ40 BU123 Dedicated Trade Change Information Query Missing Trade State Change Dedicated Aux Position Info Update Query Aux Position Info Updated Delta Instrument Class Update, BO For state change in trades For state change in trades Used for updated aux position info Used for updated aux position info For delta underlying update 45

46 Appendix B - Brief Summary of OAPI Changes NEW OAPI applicable to DCASS Only New OAPI Message BD39 For state change in trades Description Dedicated Trade Change Information CQ39 BD40 CQ40 BU123 Query Missing Trade State Change For updated aux position info Dedicated Aux Position Info Update Query Aux Position Info Updated For delta underlying update Delta Instrument Class Update, BO 46