Millennium Exchange - Oslo Børs cash equities and fixed income markets. OSLMIT 201 Guide to New Trading System

Transcription

1 Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT 201 Guide to New Trading System Issue April 2015

2 Important note This document has been produced by Oslo Børs to assist customers in the use of the Millennium platform on the Oslo Børs market places. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix. If you have any general queries relating to this document, please technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT 201 Guide to New Trading System 2

3 Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description April 2012 Initial document release May 2012 First revision, please refer to Appendix 1 for details September 2012 Second revision, please refer to Appendix 1 for details November 2012 New release of the document as the Millennium platform is launched and the migration project is finalized. Minor wording changes to remove references to project and updated document links March 2013 Updated to include the Burgundy markets April 2013 Fixed the Service/ApplID for the Burgundy FIX/FAST Snapshot gateways December 2014 Changed name for the low latency marked data channels and protocol April 2015 Removed references to the Burgundy market. Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Changes from the previous issue of the document are indicated by a left margin bar. Oslo Børs OSLMIT 201 Guide to New Trading System 3

4 Content Important note... 2 Disclaimer... 2 Change log... 3 Content Introduction Purpose Readership Document Series Functional Changes Common for the Equities and Fixed Income Markets Cancel on Disconnect/Log Off Market Structure Amendment of Firm Orders Uncross Trade Cancellations Iceberg Orders Good Till Time Orders Immediate or Cancel Orders Opening Auction Call Orders Account Equities Market Trade Reporting Order Book Priority Pegged Orders ETN/ETFs and Warrants Trading Schedule Fixed Income Market Trade Reporting Trade Reporting in session Pre-Trade Reporting Cancellation of Trades Committed Principal Orders Good till Cancelled Orders At the Close Orders Oslo Børs OSLMIT 201 Guide to New Trading System 4

5 2.3.7 Trade Type for Repo Trades Customer Interfaces Overview Reference Data Reference Data Download Instrument Directory Message Workflow Time Synchronization Message Throttling Matching Partitions and Market Data Groups Trading Gateways Enablement and User Configuration Structure Firm Node User FIX Connection Users / CompID Trader Groups for FIX Connections Native User IDs FIX Trading Gateway Native Trading Gateway Drop Copy (Orders) Post Trade (Trades) Market Data Gateways FIX/FAST Snapshot Incremental Trade Only News Indices MITCH Trade Only Full Days Recovery Oslo Børs OSLMIT 201 Guide to New Trading System 5

6 6. Site Failover Appendix 1 Issue Updates Issue 1.0 Released 12 April Issue 1.1 Released 14 May Issue 1.2 Released 25 September Issue 2.0 Released 12 November Issue 2.1 Released 26 March Issue 2.2 Released 19 April Issue 2.3 Released 10 November Issue 2.4 Released 28 April Oslo Børs OSLMIT 201 Guide to New Trading System 6

7 1. Introduction In November 2012, Oslo Børs migrated its equity and fixed income trading to the Millennium platform, a flexible, highly scalable trading platform with ultra-low latency from MillenniumIT, a part of the London Stock Exchange Group. Oslo Børs aims to strengthen its competitive position by migrating to this new technology, and is pleased to offer customers a trading system of the highest standard that offers all the functions one might expect from a state-of-the-art trading platform. 1.1 Purpose The purpose of this document is to give an overview of the services provided for the Oslo Børs equities and fixed income markets on the Millennium Exchange platform. 1.2 Readership This document describes how to connect to the Millennium Exchange platform at a more detailed level than the OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs Market Model Fixed Income documents, and aims to give the reader an understanding of the various interfaces provided. Messages from any of the interfaces are highlighted in bold text in this document. Fields within messages are indicated by use of italic letters. References to other documents in the series are indicated by use of underlined italic letters. 1.3 Document Series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs post the migration to the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs Business Parameters - Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST Gateway OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines Other OSLMIT 501 Guide to Testing Services Oslo Børs OSLMIT 201 Guide to New Trading System 7

8 OSLMIT 502 Guide to Application Certification OSLMIT 504 Guide to Dress Rehearsals (only relevant during migration projects) OSLMIT 505 Guide to Go-live (only relevant during migration projects) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 808 Reject Codes The latest version of this documentation series can be found on: Oslo Børs OSLMIT 201 Guide to New Trading System 8

9 2. Functional Changes This section outlines the main functional changes from TradElect to the Millennium Exchange platform. It is divided in a common section applicable to both the equities and fixed income markets, and two separate sections for each of the markets. 2.1 Common for the Equities and Fixed Income Markets Cancel on Disconnect/Log Off The cancel on disconnect / log off feature safeguards a member firm in the sense that orders in the market can be cancelled in the event of a disconnect or a log off. This feature will by default be turned off, but can be enabled by Oslo Børs if the member firm requests this feature. The member firm can also override this setting on the individual orders, if the order should not be cancelled on a Disconnect/Log Off. See OSLMIT 202 FIX Trading Gateway and OSLMIT 203 Native Trading Gateway for details on how to utilize this feature Market Structure Separate markets will be set up for equities and fixed income respectively. Although used as an identifier in the description of each market, segment is technically not a level in Millennium Exchange. For structural purposes, segment is kept as a parameter to group instruments that trade using a common set of trading parameters. Oslo Børs will for each instrument distribute the segment to which it belongs via the reference data service, please see OSLMIT 401 Reference Data. For instruments where both orders and manual trades are allowed, two separate order books will be defined, each belonging to the same instrument. One order book is used for orders and auto match trades while off book trades are registered using a separate order book. Thus for each instrument there are two sessions simultaneously, one for order entry and a separate for manual trade reports. Please see OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Amendment of Firm Orders On the native trading interface only orders entered under the same User Name can be amended, see OSLMIT 203 Native Trading Gateway for details. When using the FIX trading gateway it is possible to amend an order entered under another CompID, but the owner ID of the order will remain the CompID that initially entered the order. This means that when an unsolicited update of the order occurs, e.g. from a market supervision cancellation of the order, the message will be sent to the CompID that originally entered the order. Customers are advised to use the drop copy and post trade interfaces to ensure that all updates are received for all their clients, see OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) and OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) Uncross The time of the opening and closing uncross can be randomized within a configurable interval, see OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income for details Trade Cancellations Oslo Børs OSLMIT 201 Guide to New Trading System 9

10 On the Millennium Exchange platform it is only possible to cancel trades from the current trading day Iceberg Orders In Millennium Exchange it is possible to amend the visible portion of an iceberg order, but note that if the visible portion of an iceberg order is increased, the order will lose time priority. Furthermore if an iceberg order is hit by an order from the same participant, then the executed volume will be taken from the hidden part of the order. See OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Good Till Time Orders A Good Till Time (GTT) order with expiry during an auction call will not expire until after the uncrossing, hence it can be active in the market even after the time limit specified. See OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs Market Model Fixed Income. Time qualifier Good Till Date (GTD) and Good Till Time (GTT) cannot be combined Immediate or Cancel Orders The time qualifier Execute and Eliminate (ENE) in TradeElect is named Immediate or Cancel (IOC) in Millennium Exchange Opening Auction Call Orders The time qualifier At the Open (ATO) in TradElect is named Opening Auction Call (OPG) in Millennium Exchange Account When registering orders in TradElect, the trader must specify a client reference when dealing in Agency capacity. In Millennium Exchange this field is optional. Oslo Børs OSLMIT 201 Guide to New Trading System 10

11 2.2 Equities Market Trade Reporting Trade reporting in the equities market will - as today - be single sided, but note that in the documentation single sided trade reporting is also referred to as Two-Party Trade Report, to be consistent with the terminology of the FIX protocol. See OSLMIT 204 Post Trade Gateway for details Order Book Priority The order book priority rules are largely the same as in TradElect, but with minor changes in the priority between hidden orders, see OSLMIT Oslo Børs Market Model Equities for details Pegged Orders Pegged orders can only be pegged to the midpoint of the visible BBO, and no offset from the peg price can be specified. They also cannot participate in an auction, and will be expired when the closing auction call starts. See OSLMIT Oslo Børs Market Model Equities ETN/ETFs and Warrants Trading Schedule For ETN/ETFs and warrants the closing auction has been removed, and the opening auction has been moved slightly behind the opening auctions for the equity instruments. See OSLMIT Oslo Børs Market Model Equities. 2.3 Fixed Income Market Trade Reporting Trade reporting in the fixed income market will - as today - be dual sided, but note that in the documentation dual sided trade reporting is referred to as One-Party Report for Pass Through, to be consistent with the terminology of the FIX protocol. It will still be possible to reject an incoming trade report, pre-release a trade, and abort the registration process at any point. See OSLMIT 204 Post Trade Gateway for details Trade Reporting in session Pre-Trade Reporting In TradElect, all trade types may technically be used when reporting manual trades in the pre-trade session. In Millennium Exchange, a manual trade with trade type O or OK will be rejected if trade date is set to the current date. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Cancellation of Trades In TradElect, trades may not be cancelled in the post close session. In Millennium Exchange, Oslo Børs Market Surveillance may cancel trades during the post close session as well. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Committed Principal Orders Oslo Børs OSLMIT 201 Guide to New Trading System 11

12 In TradElect, the order type Committed Principal is used by the auctioneer when participating in the issuing and buyback auctions. This order type is not used in Millennium Exchange and limit orders should be used for this purpose. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Good till Cancelled Orders In TradElect, orders with time qualifier Good till Cancelled (GTC) had a maximum validity of 90 days. In Millennium Exchange, GTC orders will remain in the order book until executed or cancelled. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income At the Close Orders Time qualifier At the Close (ATC) available in TradElect will be discontinued for fixed income in Millennium Exchange. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Trade Type for Repo Trades In TradElect, repo trades that immediately are to be published are reported using trade type OR. In Millennium Exchange, the corresponding trade type will be RE. Please see OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income. Oslo Børs OSLMIT 201 Guide to New Trading System 12

13 3. Customer Interfaces In the interest of increased performance and flexibility a new approach to customer interfaces will be introduced. The interfaces and protocols are described below. 3.1 Overview The following trading interfaces and protocols will now be available to participants: Interface FIX Trading Native Trading Post Trade Drop Copy Description Order entry with immediate confirmation of automated trades. Equities market only. Order entry with immediate confirmation of automated trades. Enriched information of automated trades (including trade cancellations, both member and exchange initiated). Off Book trade reporting (Both One-Party for Pass Through/Dual sided and Two-Party /Single Sided). Own Trades Book Download. Copy To functionality on Execution Reports. Own Order Book Download. With the introduction of Millennium Exchange Oslo Børs will standardize the FIX Trading, Post Trade and the Drop Copy gateways on FIX 5.0 SP2. In addition a new fixed width native interface will be introduced for the trading interface only, and only for equities, warrants and ETF/ETNs. Participants will connect to each interface via a FIX or native gateway, depending on the functionality they require. Note that Oslo Børs provided a service called Drop Copy on TradElect, which gave clients a copy of trade reports. This is replaced by the Post Trade Gateway. The Millennium Exchange service, also called Drop Copy will provide a copy of the orders, including any updates, modifications, cancellations and executions for a participant. The content published in the various messages has been reviewed and streamlined where possible to provide a more efficient message stream with improved bandwidth utilisation. Interface MITCH MITCH Trade Only Description Equities market only, split in three gateway instances: Oslo Børs equities, warrants and ETF/ETNs. Low latency feed with all visible order book changes, anonymous on-book and off-book trades and uncrossing price and volume. Equities market only, split in three gateway instances: Oslo Børs equities, warrants and ETF/ETNs. Low latency feed with all trades with buyer and seller participant identified. Oslo Børs OSLMIT 201 Guide to New Trading System 13

14 Interface MITCH Prime / Single Message Packets Gateway FIX/FAST Snapshot FIX/FAST Incremental FIX/FAST Trade Only FIX/FAST News FIX/FAST Indices Full Days Recovery Description Equities market only, provided to low latency customers only. Low latency feed with all visible order book changes, anonymous on-book and off-book trades and uncrossing price and volume. This feed is differentiated from the three other MITCH full depth instances by sending each application message in a single multicast package, reducing the potential delay in the dissemination of the application message. Equities market only, split in three gateway instances: Oslo Børs equities, warrants and ETF/ETNs. Provides a snapshot of each order book at regular intervals, anonymous onbook and off-book trades. Fixed income market only. Provides full order book depth, but will not include disseminated trades. Fixed income market only. Provides on-book and off-book trades. Provides news announcements. Provides index updates. A copy of the messages from the MITCH and FIX/FAST Incremental gateways will be available for download after business hours. Oslo Børs OSLMIT 201 Guide to New Trading System 14

15 3.2 Reference Data Reference Data Download The reference data will be transmitted on a snapshot basis, i.e. every afternoon the full set of instruments available for trading the next trading day as well as tick size tables, trading parameters etc. will be available as cvs or xml files for download. The format and contents of the reference data files available for download are given in OSLMIT 401 Reference data Instrument Directory In addition to the reference data mentioned above, a small subset of the reference data will be distributed through the market data gateways, called SymbolDirectory on MITCH and Security Definition on FIX/FAST. If an instrument is received through MITCH or FIX/FAST that is not present in the reference data file downloaded, clients are advised to download the reference data file again. If an instrument is not present in MITCH or FIX/FAST that is present in the reference data file downloaded that instrument can be ignored. Some of the instrument attributes are present in both the reference data files and on MITCH and FIX/FAST. In the event of a discrepancy in any of those fields, the value from MITCH or FIX/FAST should be used. When e.g. static/dynamic circuit breaker tolerances are updated intraday, the change will only be disseminated through MITCH. 3.3 Message Workflow Participants must use a trading interface (FIX or native) to send order messages to Millennium Exchange via configured users. In response, Millennium Exchange will send Execution Reports over the interface used giving the status of the order. Should a trade occur then the order status will be immediately updated by an Execution Report sent from the trading interface over the participant connection that sent in the order. In addition to order status the Execution Report will summarise the details of the trade and provide the following information: Side Trade Quantity Trade Price Counterparty to the Trade Trade ID Transaction Time Aggressive / Passive Indicator In addition, an enriched Trade Capture Report will be sent via the Post Trade Gateway. This will include the trade details specified in the Execution Report as well as the following information: ISIN Matching Type (Continuous Trading or Auction) Oslo Børs OSLMIT 201 Guide to New Trading System 15

16 Clearing Type (if the trade cleared or not) Novated Indicator 1 This means that participants will receive two messages notifying them of the on-book trade, as well as the Execution Report copy that can be received through the drop copy gateway. They will be free to choose which message to act on before submitting the next message. Participants will be able to link the Execution Report and Trade Capture Report using either the ExecID or ClOrdID tags. Participants should note: In normal circumstances the Trade Capture Report will be delivered after the Execution Report. Execution Reports will be sent to the CompID that sent the order. Customers have the option to cancel at firm level so that a master CompID may cancel all orders entered for the firm by all other CompIDs. A new cancel on disconnect / logout facility has been provided as a means of managing orders if a session is lost. See Section for more details. A Post Trade / Drop Copy User can be configured to receive all Trade Capture Reports / Execution Reports for the firm, or selected CompID / UserID. Additionally for custodians, a Post Trade user can also be configured to receive all Trade Capture Reports for selected CompID / UserID under a different firm. Customers are recommended to have separate connections for each of the functions Off Book Trade Reporting, Real Time Trade Capture Reports and the Own Trade Book download service in the Post Trade Gateway. Customers are recommended to have separate connections for each of the functions real time Excecution Reports and Own Order Book download service in the Drop Copy Gateway. 3.4 Time Synchronization As per the FIX standard, all times on FIX trading messages must be specified in UTC on all interfaces. Customers are recommended to use the Sending Time in the FIX logon message sent by Millennium Exchange to synchronize system clocks. All timestamps on the native trading interface are in UTC. 3.5 Message Throttling In order to safeguard Millennium Exchange against abnormal participant behaviour each user/compid enabled for access to the native and FIX trading gateways will not be allowed to exceed a specified message throughput determined by Oslo Børs. Every message sent by a participant that means that the maximum message rate of a user/compid is exceeded (over a second period) will be rejected via a Business Message Reject for FIX and a Reject message for the native trading interface. A user/compid will be disconnected by the trading gateway if its message rate exceeds its maximum rate more than a configurable number of times during a configurable duration. In such a case, the server will transmit a 1 Indicates if a trade is internalised or not Oslo Børs OSLMIT 201 Guide to New Trading System 16

17 Logout message and immediately terminate the TCP/IP connection. See OSLMIT 604 Technical Parameters for detailed settings. 3.6 Matching Partitions and Market Data Groups The Millennium Exchange platform supports multiple levels of horizontal scaling, some of which will have an impact on the clients. The matching engine itself can be split into multiple partitions, where the listed instruments are divided among the available partitions. This will impact a client in that the partition that responds to the client is identified by the ApplID(1180) field on the FIX trading and drop copy gateways, and the ApplID field on the native trading gateway. On the market data feeds, each stream can be split on multiple performance channels. The performance channels will be identified by ApplID(1180) on the FIX/FAST based gateways and Market Data Group on the MITCH based gateways. Note that the field ApplID(1180) has a different meaning on the FIX trading gateway and on the FIX/FAST gateways. The Full Days Recovery files provided by the market data gateways will be organized in one file per market data group. For details on the available Matching Partition IDs and Performance Channels see OSLMIT 604 Technical Parameters. Oslo Børs OSLMIT 201 Guide to New Trading System 17

18 4. Trading Gateways The trading interface to the Oslo Børs Millennium Exchange trading system will be provided through 4 gateways, as summarized below: Trading Gateway (FIX) Trading Gateway (Native) Drop Copy (FIX) Post Trade (FIX) Fixed Income and Equities Order entry and mgmt Equities only Order entry and mgmt Firm orders Firm orders download Firm trades w/full details Firm trades download Own ExecReports Own ExecReports The following sections will describe enablement and user configuration, as well as each gateway. 4.1 Enablement and User Configuration A new approach will be taken to the configuration of participants on Millennium Exchange. The following sections describe the structure of how a user will be set-up as well as the Oslo Børs specific set-up Structure Generically, a 3-tier hierarchy will be used consisting of Firm, Node and User. Each user will have an associated Role. Oslo Børs OSLMIT 201 Guide to New Trading System 18

19 Firm (Member ID) Node FIX Trading Gateway (CompID) Trading Party (Trader Group) Entered via FIX Trading Gateway Native Trading Gateway (UserID / TraderGroup are interchangeable) FIX Post Trade Gateway (CompID) FIX Drop Copy Gateway (CompID) Each level in the hierarchy is described in the following sections Firm A Firm represents the highest level when depicting a participant and is intended to represent the membership under which business is routed to Oslo Børs. The firm is identified by a unique member ID. No technical or business enablement will be held against a firm and a single firm can have multiple nodes Node A Node represents a logical grouping of Users (see below), this is a new concept that forms part of the core Millennium Exchange product. A node by itself has no technical meaning but allows customers a degree of further classification/segmentation within their business, for example a firm with different clearing arrangements can segment its business accordingly. Oslo Børs will however normally keep the number of nodes per firm to a minimum. Once a node is created all users falling under that node inherit the same configuration. Also note that you are not allowed to amend an order entered by a user from the same firm but from another node User A User represents a generic business or technical enablement, such as a trading desk or a FIX gateway. The exact type of user is defined by the associated Role. The same user can only be configured under one node. The user can only have one of the roles outlined below FIX Connection Users / CompID Oslo Børs OSLMIT 201 Guide to New Trading System 19

20 These roles enable the user as a FIX User/CompID which represents a discrete FIX connection to a specified Millennium Exchange FIX gateway. Each of the FIX gateways will have a role associated with them to enable the following user types to be defined. Role FITR PTRO PTRS PTTO PTTS PTTR PTTRS DCRO DCRS DCOO DCOS DCAL Description FIX OMG (Order Management Gateway) Post Trade - Realtime Trade Feed - All trades for Own Firm Post Trade - Realtime Trade Feed - Only trades from selected users (CompID) or firm (MemberID) Post Trade - Trades Download - Query for trades by own firm Post Trade - Trades Download - Query for trades by selected users (CompID) or firm (MemberID) Post Trade - Submit Off-Book Trades, Realtime Trade Feed and Trades Download (All for Own Firm) Post Trade - Submit Off-Book Trades, Realtime Trade Feed and Trades Download (from selected users, trader groups or firms) Drop Copy - Realtime Execution Reports - All Execution Reports for Own Firm Drop Copy - Realtime Execution Reports - Only from selected Users or Firm (CompId/MemberID) Drop Copy - Open Order Download - Query open orders by own Firm Drop Copy - Open Order Download - Query open orders by selected Users or Firms (CompId/MemberID) Drop Copy - Both Realtime Execution Report and Open Order Download (both for Own Firm) For Post Trade, the default role is the PTTR role, and for Drop Copy, it is DCAL. Please remember to change the role in the enablement form if needed. Each FIX User/CompID can only be one of the above types. This is due to the fact that the message rate throttling feature in Millennium Exchange throttles incoming messages per user, and since the various gateways exhibit a very different load profile the parameters will have to set individually for each gateway. Oslo Børs OSLMIT 201 Guide to New Trading System 20

21 In addition Oslo Børs will include an indicator of the 'Cancel on Disconnect/Log out' settings in the FIX User/CompID itself for users with the FITR role, using the following codes (for other roles the indicator I will be used): User Param Type On Disconnect All Orders On Disconnect Exclude GTD/GTC On Log Out All Orders On Log Out Exclude GTD/GTC Default A X X B X X X X C X X X D X X X E X F X X G X H X X I X When a member wants to change the 'Cancel on Disconnect/Log Out' settings, the process will be that Oslo Børs will create a new CompID with the correct identifier, and at the members request will remove the old CompID when it is no longer used. The FIX User/CompID used when connecting to Oslo Børs will normally have the following format: [XXX(X)][YYYY][U][NN] Where: XXX(X) (X) YYYY U NN Member ID Underscore (_) for member IDs with three characters Role Cancel on Disconnect / Log Out indicator Counter So for member AAA, connecting to the FIX trading gateway with no automatic cancellation of orders on Disconnect/Log Out will be: AAA_FITRI01 Clients connecting to the Millennium Exchange are expected to be able to change password at the first logon. Oslo Børs recommends that passwords are changed at regular intervals, but will not enforce a password aging policy. Oslo Børs have put in place a policy governing the length and contents of the passwords, which are described in the various interface specifications, see section 1.3. Oslo Børs OSLMIT 201 Guide to New Trading System 21

22 Trader Groups for FIX Connections This Role enables the User as a Trading User that represents an identifiable trading entity such as trading desks, automated trading applications or individuals. Trader groups do not connect directly to Millennium Exchange. One or more FIX Users/CompIDs must be configured and then send the appropriate trading messages to the exchange on behalf of trader groups. Participants should note that all FIX Users/CompIDs under a particular node can send messages on behalf of all trader groups under the same node. Likewise a FIX User/CompID under one particular node cannot send messages on behalf of trader groups under other nodes. Participants can continue to identify orders using TraderID 2 but no permissions or configuration will be held against this identifier. TraderID will be returned in Execution Reports and Trade Capture Reports. Note that the first character of the TraderID is used to indicate the trade flow type, see OSLMIT Oslo Børs Market Model Equities. It should also be noted that orders on the book are effectively owned not by the trader group, but the CompID that was used to submit the order. When using the FIX trading gateway, orders entered through one CompID, can be amended by another CompID. Note that the owner of the order is unchanged in such a situation, meaning that subsequent unsolicited messages on that order will be sent to the CompID that was used when the order was originally entered Native User IDs Native connections are identified via the User Name specified in the Logon message. When entering an order through the native trading interface, the User Name will be used as the Trader Group for that order. It will not be possible to amend an order through the native trading interface that was entered by another user name. The native user IDs will have the following format: [XXX(X)]NAT[U][R][NN] Where: XXX(X) Member ID (X) Underscore (_) for member IDs with three characters U Cancel on Disconnect / Log Out indicator, see section R Instrument group role. - R = Regular trader (default) - C = CCP instrument restricted trader NN Counter 4.2 FIX Trading Gateway 2 Specified in the FIX message using tag 448 PartyID with tag 452 Party Role set to 12 Oslo Børs OSLMIT 201 Guide to New Trading System 22

23 The FIX Trading Gateway can be used for the Oslo Børs equities market, as an alternative to the native trading gateway, and must be used for the fixed income market. The users will be able to enter, modify and cancel orders, as well as mass cancellation of orders. On the members request, the CompID can be set up with the Cancellation on Disconnect/Log Out functionality, ensuring that any orders (potentially excluding GTD/GTC orders) are removed in the event of a disconnect or log out, see The recovery model has also changed, in that only a limited number of lost messages can be recovered through the replay functionality provided by the FIX trading gateway. If not all lost messages can be recovered by using the re-request functionality, clients are advised to use the drop copy gateway to download a snapshot of all open orders for that CompID and the Post Trade Gateway to recover any lost trades. See OSLMIT 202 FIX Trading Gateway (5.0 SP2) for further details. 4.3 Native Trading Gateway The Native Trading Gateway can be used for the Oslo Børs equities market only. The users will be able to enter, modify and cancel orders, as well as mass cancellation of orders. Only a limited number of lost messages can be recovered through the separate recovery channel provided by the native trading gateway. If not all lost messages can be recovered through the recovery channel, clients are advised to use the drop copy gateway to download a snapshot of all open orders for that native trading gateway user name / CompID and the Post Trade Gateway to recover any lost trades. See OSLMIT 203 Native Trading Gateway for further details. 4.4 Drop Copy (Orders) The Drop Copy Gateway will be available for both the equities and fixed income markets. The users will be able to subscribe to copies of the Execution Reports generated from both the FIX and native trading gateways for all orders entered on behalf of the firm the user belongs to. The drop copy gateway also provides the possibility for the users to request the status of all open orders belonging to the users firm, a feature called Own Order Book download. The Own Order Book download can be requested per segment, instrument or trader group. As for the FIX trading gateway, only a limited number of messages can be recovered through the replay functionality, in which case the Own Order Book download feature described above will have to be used. See OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) for further details. 4.5 Post Trade (Trades) The Post Trade Gateway will be available for both the equities and fixed income markets. The Post Trade Gateway will provide the functionality to report off-book trades; single sided ( Two-Party ) for the equities market and dual sided ( One-Party Report for Pass Through ) for the fixed income market. Oslo Børs OSLMIT 201 Guide to New Trading System 23

24 Users of the Post Trade Gateway will also receive the Trade Capture Reports, containing settlement and other private information, for all trades for the firm the user belongs to. The Trade Capture Reports can be requested, called Own Trade Book Download, and/or be received in real time, but slightly delayed compared to the Execution Reports from the trading gateways or the trade information received through the market data gateways. If you want to receive Trade Capture Reports only from selected sessions, that s possible as well, by using one of these roles: - PTRS - PTTS - PTTRS When you have selected one of the above user roles, you may specify which sessions you want to get copies from. You will have to specify: - A native CompID, this gives you all trades done by this user - A FIX CompID, this gives you all automatched trades for this user - A FIX TraderGroup, this gives you all manually reported trades for this user This means that if you want to receive all trades for a FIX session, you will have to specify both the FIX CompID and the TraderGroup. As for the FIX trading gateway, only a limited number of messages can be recovered through the replay functionality, in which case the own trade book download feature described above will have to be used. See OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) for further details. Oslo Børs OSLMIT 201 Guide to New Trading System 24

25 5. Market Data Gateways The market data from Oslo Børs will be provided through a number of FIX/FAST or MITCH based market data gateways, and can be summarized as follows: Fixed Income Incremental Service (FIX/FAST) Fixed Income Trades Only (FIX/FAST) Level 2I (MITCH) Equities Trades Only (MITCH) Level 2 Snapshot Service (FIX/FAST) Indices (FIX/FAST) News (FIX/FAST) Fixed income only Fixed income only Equities market Only Equities market Only Equities market Only Index status and values News Security Definition Security Status Full orderbook depth On and Off book trades Fixed income statistics Symbol Directory Symbol Status Full orderbook depth On and off book trades Opening and Closing prices Uncrossing price and volume On and off book trades Security Status Security Definition Security Status Best price and volume 20 depth snapshot by price On and Off book trades Opening and closing prioces Uncrossing price and volume Equities Market statistics The following sections will describe each gateway in more detail. 5.1 FIX/FAST As shown above Oslo Børs will provide market data through a number of FIX/FAST gateways, which are described in the following sections. The snapshot gateways used for equities information, and the incremental and trade only gateways used for the fixed income market each offer three channels: One UDP channel for real time updates The TCP based replay channel, where a limited number of the most recent messages on the real time channels can be re-requested A recovery channel allowing the users to get a current picture of the information provided by the gateway. The news and indices gateways both offer two channels, one UDP channel for real time updates and the TCP based replay channel, where a limited number of the most recent messages can be downloaded. All FIX/FAST gateways are on the primary production site set-up in fault tolerant pairs. On the active instance all information channels are available, while on the passive instance only the UDP based channel will be active. In the normal situation clients of the FIX/FAST gateways will receive two copies of the information on the real time channel, one from the active instance, called the A-stream, and one from the passive instance, called the B-stream. If a message is lost on the A-stream, clients are advised to check if the messages are received on the Oslo Børs OSLMIT 201 Guide to New Trading System 25

26 B-stream before re-requesting the replay or recovery channels, as the number of requests on the replay and recovery channels are limited. For FIX Users/CompIDs used to connect to the replay and recovery channels of the FIX/FAST gateways the following format will normally be used: [XXX(X)][NN][CCCCC] Where: XXX(X) NN CCCCC Member ID Counter FIX/FAST ApplID / Service Where the list of services are: Service OBE20 OBW20 OBP20 OBFIF OBFIT OBFIC Description Level 2 Equity Snapshot Service - MBP20 Level 2 Warrant Snapshot Service - MBP20 Level 2 ETF/ETN Snapshot Service - MBP20 Fixed Income Incremental Service (MBO Full) Fixed Income Trade only Gateway Full Depth Service Central Bank Only Oslo Børs will try to accommodate customers that request a different name format for the CompIDs. The details of the snapshot, incremental and trade only FIX/FAST gateways are all described in OSLMIT 302 FIX/FAST Gateway Snapshot The FIX/FAST Snapshot Gateway will be available for the Oslo Børs equities market, and provide on-book and off-book trades, aggregated best bid and offer, indicative uncrossing price and volume during auctions, value statistics and a depth limited snapshot (20 levels) by price. The FIX/FAST Snapshot Gateway provides an alternative to use the MITCH gateways. For a description of the MITCH gateways see section 5.2. During auction calls the indicative uncrossing price and volume will be disseminated. The uncrossing price will be published in real time each time either the price or volume changes. The snapshot gateway will provide the opening and closing prices for all traded equities, warrants and ETF/ETNs, which will be disseminated in real time and will be dependent on the configurable calculation method (e.g. uncrossing trade, last traded price). The calculation method will also be included when publishing the closing prices. Note that in some circumstances, the closing price for an instrument may be published more than once per day. Clients should use the latest closing price received as the closing price for the day. The snapshot provided will be snapshot by price - a per price snapshot aggregating the volume for a particular price into one entry and therefore publishing the top 20 price levels on the book and will include the price and displayed quantity of each price level along with the display position. Oslo Børs OSLMIT 201 Guide to New Trading System 26

27 The snapshot will include market orders. Within the snapshot by price these will be shown by a distinct price level above the first aggregated price point, i.e. position 1 in the snapshot. The snapshots will be published at regular intervals when the contents of the snapshot have changed, for the actual dissemination interval, see OSLMIT 604 Technical Parameters for details. Note that the dissemination timer will be set low enough for multiple updates to be sent out pr second for each instrument. Oslo Børs will set up three instances of the FIX/FAST snapshot gateway, for market data for Oslo Børs equities, warrants and ETF/ETN instruments. See OSLMIT 302 FIX/FAST Gateway for further details Incremental The incremental FIX/FAST gateway will be used in the Oslo Børs fixed income market, and provides details of every visible order and the security status. The information provided for each visible order will include the member firm entering the order, and by using a combination of the order timestamp and sequence number the detailed visible order book for each instrument can be constructed. Please note that no trades will be disseminated on this gateway, since they will be made available on the FIX/FAST Trade Only Gateway. During auction calls the indicative uncrossing price and volume will be disseminated. This is applicable for the OB Automatch and the OB Call segments Trade Only The FIX/FAST Trade Only Gateway will be used in the Oslo Børs fixed income market, and provide the public details of each trade. The information provided for each trade will not include the buyer /seller member firm. In addition the trade only gateway will provide a set of trading statistics, for both on- and off-book trades. The statistics will include: High (combined for on and off book trades) Converted high (combined for on and off book trades) Low (combined for on and off book trades) Converted low (combined for on and off book trades) Last (combined for on and off book trades) Converted Last (combined for on and off book trades) VWAP (combined for on and off book trades) Number of on book trades Number of off book trades Volume of on book trades Volume of off book trades Turnover of on book trades Turnover on off book trades News The FIX/FAST News Gateway will provide the news announcements provided in the Oslo Børs market. Oslo Børs OSLMIT 201 Guide to New Trading System 27

28 The FIX user/compid used to connect to the replay channel will have the following format: [XXX(X)][NEWS_][N] Where: XXX(X) N Member ID Counter See OSLMIT 306 News and Indices Gateway for further details Indices The FIX/FAST Index Gateway will provide the index values calculated by Oslo Børs. The information provided will be: Index identifier / name value VWAP Change since yesterday Volume The index values will be updated every time there is a noticeable change in the index value. Changing from how it is today, yesterday's close value of the indices will not be distributed every morning. The FIX User/CompID used to connect to the replay channel will have the following format: [XXX(X)][INDEX_][N] Where: XXX(X) N Member ID Counter See OSLMIT 306 News and Indices Gateway for further details. 5.2 MITCH MITCH will be used in the Oslo Børs equity market. The MITCH gateway has been designed for those customers who are focused on microsecond performance and streaming order updates. It will provide an ultralow latency feed with details of every visible order on the book and all trades (on-book and off-book). Every message will include a nanosecond timestamp originating from the matching engine, which will use CET/CEST, unlike the FIX/FAST gateways and the FIX and native trading gateways where timestamps will be disseminated in UTC. Price/time priority on the MITCH feed will be determined through the combination of the nanosecond timestamp and the sequence number. The details published on each order have been streamlined to include only the price, volume, side of the order. Each order will also include an order ID, unique across participants and days. This will allow clients to identify their orders within the market data feed. Oslo Børs OSLMIT 201 Guide to New Trading System 28

29 In addition to this the concept of an order modify message has been introduced to improve the efficiency of the service in comparison to Infolect, where all order modifications are treated as a delete and an add; The MITCH feed will provide details of an adjustment to the price or volume of an order as a modification, with confirmation of whether the modification meant the order lost price/time priority. Due to the use of the MITCH protocol the MITCH gateway will only publish a limited set of data which will include both on and off book trades, individual order details, order execution messages and indicative uncrossing prices and volumes. The MITCH gateway will also support the publication of opening and closing prices via the introduction of a new Statistics message. As well as the price the message will also state method of calculation, for example mid of the BBO. The MITCH gateway will deliver additional information on market activity currently not available on Infolect, including the use of the Trade ID field which will be consistent across all of the orders involved in a single execution. A separate Trade message will also be used to publish executions from non-visible orders. The MITCH gateway will not publish an aggregated best price or include the added value statistical data published in the FIX/FAST snapshot gateway. Similar to the FIX/FAST gateways, each MITCH gateway will offer three channels, one UDP channel for real time updates, the TCP based replay channel, where a limited number of the most recent messages on the real time channels can be re-requested, and a recovery channel allowing the users to get a current picture of the information provided by the gateway. All MITCH gateways are on the primary production site set-up in fault tolerant pairs. On the active instance all information channels are available, while on the passive instance only the UDP based channel will be active. In the normal situation clients of the MITCH gateways will receive two copies of the information on the real time channel, one from the active instance, called the A-stream, and one from the passive instance, called the B-stream. If a message is lost on the A-stream, clients are advised to check if the messages are received on the B-stream before re-requesting the message(s) on the replay or recovery channels, to recover as quickly as possible and to limit the number of requests on the replay and recovery channels. Oslo Børs will have three instances of the MITCH gateway, for market data for Oslo Børs equities, warrants and ETF/ETN instruments. The user names used to connect to the replay and recovery channels will have the following format: [XXX(X)][N][C] Where: XXX(X) N C Member ID Counter Market Data Group Where the market data group can have the following values: Market Data Group Description Oslo Børs OSLMIT 201 Guide to New Trading System 29