London Stock Exchange Group. Migration of trading systems March 2009 Information meeting at Oslo Børs

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1 Strategic partnership Oslo Børs and London Stock Exchange Group Migration of trading systems March 2009 Information meeting at Oslo Børs

2 Strategic partnership with the London Stock Exchange Group What? Covering Listed equities Fixed income Derivatives Why? To benefit customers of both exchanges by creating new investment and trading opportunities Respects and supports organisational independence How? First step: Oslo Børs migrate to LSEGs trading systems Lays groundwork for wider collaboration on extending existing products and services to each others customers 2

3 Key areas of collaboration Same trading system, TradElect, and harmonised trading model - Facilitate efficient access between London, Milan and Oslo markets for cash equities - Laying groundwork for exploring potential for cross membership Common derivatives trading platform SOLA for Oslo Børs and EDX - Shared order books and joint product development - SOLA is developed by the TMX Group - Used by Montreal Exchange and Boston Option Exchange Co-operation in market surveillance and regulation - Work closely on market surveillance, included related technological co-operation - Regulatory policies, operational regulatory processes and sharing of market information for regulatory purpose Co-operation on market and product development 3

4 New trading platforms TradElect is the cash trading platform developed by London Stock Exchange (LSE) - Used by LSE, Borsa Italiana (BIt) and Johannesburg Stock Exchange for equities - BIt migrates its fixed income market to TradElect in Will be Oslo Børs new trading platform for equities and fixed income Infolect will become the new platform for market data feed - Used by LSE and BIt - Well integrated with TradElect SOLA is the derivatives trading platform developed by the TMX Group - Will be Oslo Børs and EDX new trading platform for derivatives - Used by Montreal Exchange - Used by Boston Option Exchange 4

5 Migration to TradElect & Infolect 15 February 2010 Q1/2009 Q2/2009 Q3/2009 Q4/2009 Q1/2010 Define Market Model & Functionality Design & Development Backbone network installation Integrating TradElect to Oslo Børs ISVs and Customers Testing Dress Rehearsals 12 December 16 & 30 January Dialogue with Customers and ISVs (Independent Service Vendors) Time schedule is subject to client readiness 5

6 Time schedule TradElect and Infolect Year Month Activity 2009 April - May Consultation on market models for equities and fixed income May Conformance manuals & other technical documentation updated with OB-specific adjustments 29 May Backbone network implemented June Early access to CDS (test environment without our markets and adjustments) June Market models finalised 7 September CDS for our markets and with our adjustments Sept - Oct Consultations on trading rules for equities and fixed income October Conformance environment ready 12 December Latest possible date for Conformance (compulsory) Dress rehearsal (compulsory) 2010 January Trading rules finalised 16 January Dress rehearsal (compulsory) 30 January Dress rehearsal (subject to need) 15 February GO-LIVE Time schedule is subject to client readiness 6

7 Future dissemination of market data Q3/2009 Q4/2009 Q1/2010 Q2/ Derivatives traded on Click Derivatives traded on SOLA Market data will be disseminated via OCDF until further notice Cash equities and fixed income traded on Saxess Cash equities and fixed income traded on TradElect Market data is disseminated via OCDF Market data is disseminated via Infolect 7

8 Derivatives Future trading system SOLA Jesper von Zweigberck

9 Roadmap to launch Bilateral Nordic Link between EDX and Oslo Børs to commence in November 2009 on SOLA Trading and new trading and clearing interfaces In summary, the new Link will operate in a similar way it does today with enhancements: - Enhanced clearing link between Oslo Clearing and LCH.Clearnet. Oslo Clearing will use SECUR (no change) - EDX and OB products will continue joint orderbook trading through SOLA - Improved market model following customer consultation Current multilateral Nordic Link between EDX, Oslo Børs and NASDAQ OMX to end on 18 December 2009 Oslo Børs will keep close dialogues with ISVs to enable them to offer services related to new system interfaces 9

10 SOLA Trading Operated by TMX Group - Largest exchange in Canada - TMX created through the merger between Toronto and Montreal exchanges in Developed by Montreal Exchange in 2000 SOLA uses: - Trades Canadian equity and fixed income derivatives - Used by Boston Options Exchange to trade US equity options - Licensed by LSEG for use by EDX London and Oslo Børs 10

11 Market model & functionality Future trading system TradElect Knut Jakhelln

12 Market model and functionality Cash equities 12 - Oslo Børs will to the extent possible harmonize with LSE s market model - Existing products on Oslo Børs and Oslo Axess will be supported - Preferrencing in order execution - Post trade transparency in certain segments under discussion - Lot size 1 will become standard - Front office solutions will have to be adapted for members who do not have TradElect today Fixed income - Existing products on Oslo Børs and Oslo ABM will be supported - Changes from today s Oslo Børs market model will be needed - The Saxess Trade terminal will have to be replaced - Members using other front end solutions will have to adapt those Derivatives - Existing products on Oslo Børs and EDX will be supported

13 Participant structure Member ID Linked to market (exchange) (Some members may have a new/changed ID and/or mnemonic) Trader Group All authorisations and enablements to undertake activity are set at this level. Separate groups for AOR, Algo trading, Manual trading Trader ID This field is optional Role Set at Segment level; e.g. report trade, insert order etc. Applies to Trader Group 13

14 TE Market structure - general Market Defines geographical elements of the trading environment - business calendar; time zone (e.g. Oslo Børs) Segment Set of securities with common features, and high level spec of a trading model (e.g. OBMA) Sector Set of securities with a common behaviour; e.g. exchange or MTF; price monitoring (e.g. OBM1) Instrument The tradable instrument, identified by: Instrument Code / Country of Reg / Market Segment Code / Currency 14

15 Market Structure Cash Equities Market Oslo Børs (OB) Segment OBX Main list (OBMA) Primary Cap Cert (OBPC) Warrants (OBWR) Fund Units (OBFU) Oslo Axess (OAX) Sector OBX1 OB Match OBM1 OB Stnd & New: OBSN Primary Cap Cert OBPC Warrants (OBW1) Fund Units: OBFU Oslo Axess: OAX1 Instrument STL, YAR, REC ACTA, AKFP, ASC AFK, AGR, AIK AURG, HELG ERICW09E85HA OBXEDNBNOR ABT, ADRL 15

16 The Trading Day - Overview Cash Equities Manual Trades Trade Reporting Orders Opening Auction Uncross Continuous Trading Closing Auction Uncross Order Maint. 08:15 09:00 17:20 17:25 18:15 16

17 Orders Oslo Børs specifics (1) Tick sizes Dynamic tick size for OBX / Equities others / Units in Funds Static tick size for Ultra liquid (currently STL) Transparency Market-by-Order, no member ID, all periods May use CP (=named) order Iceberg Orders Minimum peak size approx 50 KNOK consideration 17

18 Orders Oslo Børs specifics (2) Order Priority 1. Price 2. Counterparty (Preferencing) 3. Visibility (i.e. Hidden orders have lower prio) 4. Time Order Modification Size increase: Loses priority Size decrease: No impact Price: New priority Date & time validity; participant ref; client ref: No impact 18

19 Hidden orders Consideration must be more than large in size (ref MiFID) Hidden Limit Hidden Pegged Orders Continuous trading only Pegged to: Best Bid or Best Offer or Mid-Price [Full func in FIX only] Minimum Execution Size (MES) Included in auction, but: MES condition will not apply [FIX Only] 19

20 Hidden buy order C pegged to best bid + 5 Number of buy orders at best price Volume at best price Best bid Best offer Volume at best offer price Number of sell orders at best price BUY SELL Time Volume MES Price/Peg Price/Peg MES Volume Time Order C Order A 10: Best Bid Peg :24 +5=320 10: Order B Green shading indicates the order is hidden 20

21 New order D with new best bid BUY SELL Time Volume MES Price/Peg Price/Peg MES Volume Time Order C 10: Best Bid Peg +5= :24 Order B Order D 10: Order A 10: BUY SELL Time Volume MES Price/Peg Price/Peg MES Volume Time Order D Order A 10: :24 10: Order B 21

22 Other order types (1) Validity Execute and eliminate (ENE) Fill or Kill (FOK) Good-till-cancelled (max 90 days) (GTC) Good-till-time (GTT) At the Close (ATC) / At the Open (ATO) Good for Auction (GFA) / Good for Day (GFD) Dealing capacity Agency or Principal Client Reference Not required by Oslo Børs, but: Mandatory when Agency dealing capacity Must be unique across ref specification 22

23 Other order types (2) Lot size 1 Order Types (Market Mechanism) Limit Orders Market Orders Included in auctions; otherwise non-persistent in order book Named Orders = Limit Order with ID 23

24 Order Execution Continuous Trading Orders are executed in accordance with their priority Price determination: Passive price determination; or Maximum Executable Volume inside resulting BBO Note: Execution price may be between ticks If price outside thresholds: Automatic Execution Suspension Period (AESP) will be triggered (i.e. an auction is started) FOK orders outside tolerances: No AESP Order deleted Hidden order partially matched: Still hidden 24

25 Order Execution - Auctions Auction Call period Price: Transparency Market-by-Order Indicative price is disseminated Maximum executable volume Including Market, Hidden and Hidden/MES orders; Zero or more auction extension periods Up to two price monitoring extensions (PME) if price movement threshold is breached; and/or One market order extension (MOE) if there are market orders which will not execute Uncross At a random time within 30 sec interval Random sequence of instruments (Open/Close) 25

26 Order Execution - Auctions Instrument 1 PME Instrument 2 Auction Call Period PME MOE PME MOE PME2 Instrument 3 Instrument 4 MOE Instrument 5 MOE PME Instrument 6 Latest closing time 0-30 sec random Uncross Price Mon Ext. Market Order Ext 26

27 Auction timetable (tbc) Auction Type Call Period Max no of Extensions Duration of each extension Price Mon Market Order Opening call 45 min min AESP call 3 min min Resumption after Trading Halt 3 min min Closing call 5 min min 27

28 Manual Trades Trade reporting / publishing Available all day - incl after closing call Single-sided reporting: One member reports Deferred publication ( MiFID style ) supported Consideration based Manual pre-release is available No service for non-listed New trade types Trade transparency: OBX: Price, Volume, Trade Type If counterparties are to be disclosed after close: Outside TradElect/InfoLect Others: Price, Volume, Trade Type, Counterparties 28

29 Trade Types (tbc) Trade Type Description Venue ID Order book / Manual Publishes AT Automatic trade XOSL OB Immediate UT Uncrossing trade XOSL OB Immediate CT Same day order book contra XOSL OB Immediate PC order book contra not same day XOSL Manual Immediate O Ordinary Trade XOSL Manual Immediate OK Ordinary Trade - delayed publication requested XOSL Manual Delayed if meets size requirements NT Negotiated Trade XOSL Manual Immediate NK Negotiated Trade - delayed publication requested XOSL Manual Delayed if meets size requirements LC Cancellation of trade more than 3 days old XOSL Manual Immediate NM Not to Mark XOSL Manual No OT OTC Trade XOFF Manual Immediate TK OTC trade - delayed publication requested XOFF Manual Delayed if meets size requirements IF Inter fund cross -delayed publication requested XOFF Manual Delayed if meets size requirements OC Cancellation of OTC trade more than 3 days old XOFF Manual Immediate SI SI trade SI Manual Immediate SK SI trade - delayed publication requested SI Manual Delayed if meets size requirements SC Cancellation of SI trade more than 3 days old SI Manual Immediate 29

30 Market model & functionality Fixed Income Bodil Cathrine Østby

31 Possible Market Structure fixed income Market Oslo Fixed Income (OFI) Segment OBFI Automatch (OBAM) OBFI Ord. Call (OBOC) OBFI Telephone (OBTP) OBFI Issuing Auctions (OBIA) OBFI Buy-back Auctions (OBBA) OAFI ABM (OABM) OAFI Telephone (OABT) Sector OB Automatch (OBAU) OB Ord. Call (OBC1) OB Telephone (OBTP) OB Issuing Auctions (OBIG) OB Buy-back Auctions OA ABM (OAB1) OA Telephone (OAT1) Corporate Covered NST NST Corporate Instrument NST bonds bonds (ad hoc) (ad hoc) bonds bonds Covered Existing repo-submarkets and bulletin board submarket will be proposed to be discontinued ABM Professional and ABM Retail will be proposed to be consolidated into one common segment All repos should be reported in the main segment for the particular ISIN No odd lot match but odd lot reporting available 31

32 Order types 1) Order Types - Named Limit - Named Iceberg (new order type) - Automatch segment only - Hidden orders - Automatch segment only Validity - Good-till-cancelled (max 90 days) (GTC) - Good for Day (GFD) - Good-till-time - Execute and eliminate (ENE) - Automatch segment only - Fill or Kill (FOK) - Automatch segment only - Good for auction - Issuing auctions and buy back segments only 1) Subject to discussion 32

33 The trading day Event Segment(s) (*=all) 1) Time Start trade reporting/publishing service * 08:15 Start order entry/maintenance * 08:15 Opening auction OBAM; OBOC 09:00 Closing auction OBOC 16:00 End of continuous trading and order maintenance * 16:00 Stop trade reporting/publishing service 2) * 16:00 or 16:30 1) Issuing auctions and buy back segments are open on demand 2) Subject to discussion 33

34 Trade reporting Full dual sided -Both parties enter trade reports Trade types 1) : -Automatic trades -Uncrossing trade -Standard -Non-standard settlement -Repo -Other -Outside of opening hours -Odd lot Trade types that might be discontinued 1) : -Exchange granted trade -Portfolio trade -Volume Weighted Average Price Trade Repos: -All repos will be reported as one single trade where both settlement dates are specified -Same day orderbook contra -Orderbook contra not same day 1) To be discussed 34

35 Transparency Orders: - Market by order with memberid throughout the day Trades: - Price, volume and trade type for all trades - Deferred publication available for manual trades 35

36 Technical overview Ernst von Düring

37 TradElect The latest generation technical platform Launched on 2 April 2007 Supports trading on the LSE, JSE and BIt markets Proven reliable system Some characteristics Rich on functionality order types, trade types, different market models Low latency 3 ms High capasity trades per second (orders) Uninterupted operation dual site active-active configuration Scalable easy to add hardware Flexible highly configurable Standardized interface FIX 37

38 Information Flows Secure Interactive Interface Orders, quotes, trades TCP Native interface + FIX Interactive Request Interface Own orders and trades, re-requests TCP Native interface + FIX Broadcast Market Data Service channels & performance channels UDP multicast Native interface 38

39 FIX 5.0 and native interface 39

40 Infolect protocol UDP - Simple transmission model - No added reliability, flow-control or error recovery functions - Less network overhead than TCP UDP multicast - Efficient strategy to deliver the message over each link only once Implementation (application level) - Sequence numbering - Heartbeats - Re-requests over the Interactive Request Interface 40

41 Communication networks Norwegian customers - Customers based in Norway will be connected through upgraded services in existing networks UK and continental customers - LSE s current network ExtraNex will be used as connection Customers in other Nordic countries - Customers currently using OMNet will be offered a new network - The new network will be connected via Stockholm 41

42 Communication networks 42

43 Communication and access New network requirements Support UDP multicast (FWs and routers) Routing to TradElect/InfoLect IP adresses Assigned private IP adresses New port numbers (Firewalls) Encryption Used to generate key for Message authentication Application access Trader group(s) and Role(s) Enablement procedure 43

44 Customer testing TradElect & Infolect Ernst von Düring

45 Activities Analysis and preparations Functionality, Configuration, Interfaces, Infrastructure, Process Development New interfaces and technology Changed data structure and functionality Internal testing Unit testing, system testing, integration testing, acceptance testing Conformance testing Accreditation (ISVs) Deployment & dress rehearsals Weekends Launch 45

46 Dress rehearsals Purpose Ensure value chain ready for migration Mandatory 2 (3) weekends Production environment Dates December 12th 2009 January 16th 2010 January 30th 2010 (if needed) Procedure Compressed trading day Prerequisite Passed conformance 46

47 Conformance testing Purpose Ensure that a stable system is in operation between the customers and the exchange Mandatory Trading Information High volume Dates Separate test environment Start October 2009 Finnished before Dress Rehearsals 47

48 Conformance testing (2) Procedure Scripted and assisted by test analyst New service/tool for FIX conformance Prebooked sessions ISV accreditation Simplifies member conformance Focus on infrastructure (connectivity, high volume) Documentation CTS Three Series 48

49 CDS Customer Development Services Purpose Dates Support customer development and testing Upgraded and updated for Oslo Børs Plan for access when network is ready Live service Procedure Simulation of live services Model Based Testing (special cases and scenarios) Documentation CTS Two Series 49

50 Other Orderbook Simulator Tool available for licensing Support development and testing without access to a live environment Testing at home (24/7) Support Integratet service lines will be established 50

51 Analysis and preparations Specifications Baseline: Current LSEG documentation To be updated with Oslo Børs specific information Amendments during the migration project Customer system configuration Adaptations Applications to be replaced Applications to be ended New business opportunities Network preparations Required for access to test and development services, and for production Information feedback We will request information needed for enablement etc. 51

52 Communication and Process Lisbeth Lindberg

53 Cooperation with members and other stakeholders Consultations groups - We have established reference groups with NSDA - We have contacted NSA and LIBA Buy side is invited to participate in consultations Topics for consultations - Market models equities and fixed income to be concluded medio June - Trading rules to be concluded medio January Technical changes - We have established a reference group together with NSDA - ISV cooperation

54 Technical documentation Manuals and documentation will be issued Business support operations Technical support Testing and migration guide CDS (test system) Dress rehearsal guide Migration guide 54

55 Communication during migration process All important material will be posted on Technical helpdesk will open ultimo April 2009 Technical user groups meetings will be organised - Members, vendors and ISVs will be invited - Information in advance of important events One-on-ones are important in our dialogue with customers 55

56 56

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