Technical User Group. Thursday 9 December 2010

Transcription

1 Technical User Group Thursday 9 December 2010

2 Extranex 1Gb roll-out update Glen Harding

3 Agenda Delivery of services over Extranex 1Gb Migration of services onto 1Gb Performance of the 1Gb service Ordering 1Gb services 1Gb implementation update 3

4 Delivery of services over Extranex 1Gb Services to be divided across VLANs to provide appropriate F & R behaviour for all Exchange services Production VLAN - Public /26 Legacy (TradElect, Infolect, SOLA) & Millennium Exchange Production Unicast Legacy Production Multicast - All traversing circuit to PDC, failing over to SDC Test VLAN - Public /27 Legacy & Millennium Exchange Test Unicast Legacy & Millennium Exchange Test Multicast - All traversing circuit to SDC Multicast VLAN - Public /30 Millennium Exchange Production & HVS Multicast Primary and Secondary Feeds -Primary feeds traversing circuit to PDC, Secondary Feeds traversing circuit to SDC, no failover -Customer can use either Verizon allocated public addressing or their own. 4

5 Delivery of LSEG services over Extranex 1Gb Si Si Si Si Si Si 5 Legacy Multicast A Feed/HVS B Feed/HVS Si Si Si Si CDS A&B CTS/TEST GigEth 3/5 10.x.2.x GigEth 3/5 10.x.3.x B Feed/HVS CDS A&B CTS/TEST PTT Verizon Legacy Multicast A Feed/HVS SMF 802.1q GigEth 0/27 SMF 802.1q GigEth 0/27 GigEth 0/25 10.x.2.x+1 GigEth 0/25 10.x.3.x+1 Legacy Multicast A Feed/HVS B Feed/HVS CDS A&B CTS/TEST

6 Migration Approach Flexibility Customers will be able to choose which IP addresses they want to use for different services Customers will work with Technical Account Managers to agree strategy for moving services across Migration of services will be phased: Recommended migration approach: 1. Migrate Millennium Turquoise Services (Test and Production) to 1Gb. 2. Migrate Millennium LSE Services (Test and EAS) to 1Gb. 3. Migrate Legacy Services (TradElect/Infolect/SOLA etc) to 1Gb. 6

7 Performance of the 1Gb service High bandwidth, scalable and low latency Latency improvement will be substantial compared to 100Mb Hardware (CPE and network core) specific for delivery of the optical 1Gb service with lower throughput latency Transmission equipment for the 1Gb services offers improved latency compared to the current 100Mb service Reduction in serialization delay between 100Mb to 1Gb Unprotected service removes latency from GFP mapping on SDH networks Test platform results show one-way latency through transmission and fibre of 230 microseconds across a 48km fibre loop at typical 20% load. IP layer will add another 40 microseconds. Based on these test results a typical customer within 10km fibre distance might expect to see ~90 microseconds latency one way 7

8 Ordering 1Gb Standard process 1. Provide LSE with data centre details and carrier requirements to allow verification of pricing 2. Ensure rack space allocated for 1Gb routers 3. LSE complete the order form, confirm details, sign and return to LSE 4. Verizon and COLT will contact you to arrange for site-surveys 5. Access may be required if secondary engineering is required 6. Access will be required by COLT and Verizon to present circuits, and for Verizon to install 1Gb routers 7. Following completion of longlining Verizon may need to return to complete patching Contacts Technology Business Development team on +44(0) Documentation 1Gb Service & Technical Description 1Gb Migration Guide To be published shortly. 8

9 1Gb implementation update Project Update 5 customer sites have been handed over Migration Enablement and Testing activities are underway 7 further handovers are expected for December 2010 Total of 45 customer sites currently on order Average handover time is 50 working days, dependent on customers allowing site access and long-lining. 9

10 10 Paternoster Square London EC4M 7LS T +44 (0) Any questions?

12 Millennium Update Migration to Millennium Exchange Cardiff Smith

13 Introduction Release notes/fixes Self Certification Update HVS testing Lessons Learnt Next Steps

14 Releases Version 5.0 in July to 5.6 live in CDS now covering issues such as Ite m Title Interface Field/Message Description 1.0 Level 1 Service not aggregating order volumes correctly 2.0 Expiring the Aggressing Market or Stop Order after a Circuit Breaker 3.0 MiFID delayed trade publication 4.0 MiFID delayed trade publication FIX-FAST Incremental Refresh Our Level 1 service is currently not aggregating total BBO volume correctly. Customers may notice, when compared to other protocols, that total volume is incorrect when partly formed by a named order/quote. Native / FIX Trading Gateway FIX FIX Execution Report (35=8) message Trade Capture Report (35=AE) Trade Capture Report (35=AE) When a Market Order or Stop Order with a persistent TIF (DAY, GTC, GTD, and GTT) aggresses the order book during the Continuous Trading session and if a circuit breaker is breached during that aggression, the remainder (if any) of the order will be expired prior to moving to the auction call session (which can an AESP or EDSP or Closing Auction Call session). Currently, where a delayed trade is due to be published at the end of the following trading day the trade is incorrectly published at the end of the current end of day. This was rectified so that the trade is published at the correct time. Currently, where a delayed trade is due to be published at the end of the current trading day the trade is incorrectly published at 16:15. This was rectified so that the trade is published at the correct time

15 Release notes/fixes Release The following functional differences will be addressed in a CDS release tomorrow Item Title Interface Field/Message Description 1.0 Incorrect Reject Code for a Pegged Order Reject 2.0 Native messages can be sent out of sequence following Order and/or Trade Cancellation Native Execution Report Reject Code is given instead of when a Pegged Order is rejected during Closing Auction Call Native - Under certain scenarios native messages can be sent out of sequence following order and/or trade cancellations 15

16 Release Notes/Fixes Technical Specification Updates Item Title Interface Field/Message Description 1.0 Concurrent Limit Reached FIX-FAST ITCH Business Message Reject Replay Response Clients can queue a maximum of 10 requests on the replay and recovery market data services. Clients who queue 10 requests and attempt to queue an eleventh request will see their request rejected with value c (concurrent limit reached). 2.0 Trade Type Value Error (MIT303 Appendix B) ITCH Off-book Trade Types Value 1008 (Trade Type = OK) should be Ordinary Trade with delayed publication 3.0 TZTransact Time Field FIX-FAST Incremental Refresh Transaction Time (provided in local time stamp) will include indication of offset against UTC. When no offset is present, z is used; this is as per standard FIX Protocol. 4.0 Lower case characters for alternate site ITCH Replay/Recove ry When a failover of the ITCH feed is detected all replay requests should be done using a lower case characters for the channel Id 4.0 MsgSequenc e FIXGateway s Logout If the Comp ID is locked/suspended/inactivated, the outbound message sequence number will not be incremented for the Logout message; the message sequence number 1 will be sent with the Logout message. 16

17 Self Certification How are we going? Good! 147 passed 14 Outstanding 6 failed HVS How are we going? Bad! 26 bookings Service runs daily 6 8pm Certification@londonstockexchange.com 17

18 Lessons Learnt Dress Rehearsal Volume of market data not a true representation of all markets. HVS will run during the DR to simulate additional Disaster Recovery FIX Fast clients need to reset their sequence numbers upon a restart of connection at the Backup Site. Hold off from Trading until Trading session file received. OTBD Firms should do this at log in at Backup Site. Customer Profiles Two thirds of all customer logons not tested yet. Performance Customers experienced concurrent limit reached for connections to Replay and recovery. 18

19 Next Steps Performance Additional gateways for both Market data and Trading General We continue to aim for early 2011 go-live There will be at least 1 dress rehearsal before go-live No failover test will be performed before go-live 4 weeks notice between the announcement and the Go-live date. 19

20 Questions..? 20

22 Exchange Hosting Service Also featuring IDEM market migration to SOLA and BTS Update Authors: Simona Cervi, Flavio Ravotto

23 IDEM Migration to SOLA (1) Pre-Go-Live Activities: Conformance Tests: 45 for the SOLA SAIL and FIX interfaces 30 for the MDF/DDM+ Service 10 for BCS APIs Bandwidth upgrade of more that 40 Customers connections Network configurations for all Customers connections 4 Dress Rehearsals and various Mock Trading Sessions Full customers participation to Pre-Go-Live testing Go-live: November 8 th,

24 IDEM Migration to SOLA - Performances Highly scalable trading platform SOLA can process 200,000 price updates per second and 100,000 orders per second Matching Engine Internal Latency: During Pre-Go-Live performance/stress testing 99% of transactions were executed in less than 2 ms After the Go-Live, the Average Internal Matching Engine Latency experienced is less than 800µs With the new platform it is now possible to add new Market Makers to the IDEM market and to attract new Trading Participants (Algo Traders, etc.) 24

25 BTS - The Cash and Derivatives Front-End 50 IDEM Customers chose BTS as IDEM primary or back-up Front-End, for a number of 120 basic/advanced purchased licenses BTS provides: All market functionalities (all type of orders, Copy To/Drop Copy, etc.) Additional functionalities (e.g. Care Order, quoting, algorithmic trading, automatic orders and cross orders, etc.) BTS is available for all the London Stock Exchange Group markets based on the following platforms: TradElect SOLA Millennium IT 25

26 Exchange Hosting Service Space in the same datacentre where the IDEM market is located and where Italian markets will move together with the Millennium IT migration (2011) Direct ultra low latency connection to all Milan based services: IDEM Market MDF/DDM+ BTS/BCS Remote access to Italian markets based in London (MTA, MOT, SEDEX, MAC, AIM Italy, ETF+) Redundant power supply Exceptional Intervention Service (e.g. HW Reboot) The service already has 16 customers and other 10 are in pipeline 26

27 Exchange Hosting Service - Customer s connectivity Customer proprietary lines Dedicated meet-me room available with copper crossconnections to co-location room Copper or Fiber (Monomode or Multimode) cross-connections available from different meet-me rooms BIt Network Internet VPN 27

28 Exchange Hosting Service - Overview 28

29 Exchange Hosting Service Next Step 29

30 Exchange Hosting Service Millennium IT 30

31 Exchange Hosting Service Enhancements Fiber connection within customer racks and co-location firewalls/routers Remote Hands Service (Installation of customer equipment) Hands & Eye Service: HW Monitor Local Intervention Team Access to LSE markets (e.g. For Disaster Recovery of LSE Hosting service) 4 Co-Location Room 31

32 Exchange Hosting Service - Pricing Hosting: 40 K /year for each 3 KW rack 55 K /year for each 5 KW rack Set up: (one off) per rack LSE Hosting Service customers have a 20% reduction on the first rack for the first year Connectivity: BIt Network * : according to standard pricelist VPN * : /year plus (one off) for set up Customer Proprietary lines: Copper Cross-Connection in dedicated Meet-Me room is included in the Other (copper from other Meet-Me rooms, fiber, etc.): /year plus (one off) for set up * Customers that already use a BIt Betwork or a VPN for other services are not invoiced of any additional fee for the access to co-location 32

33 Contacts For any information you can contact: Clients Services Technical Account Managers in Milan and London 33

35 London Stock Exchange Hosting Co-location Services Ultimate Low Latency Connectivity Because speed matters Andrew Bailey Exchange Hosting and Proximity Services Manager London Technical User Group - Dec

36 Agenda Exchange Hosting Background Data Centre location Trading venues available Open connectivity Model Client support services Added value services Recent Initiatives 10Gb Network implementation approach and timeline Vendors and service providers inclusion Additional Exchange Hosting space and future capacity growth 36

37 Exchange Hosting Central London Location Exchange Hosting is an ultra low latency market connectivity option for clients Exchange Hosting is geographically located to provide the best average latency to a number of other trading venues within the London area. 50km Fibre Distance 480 us Latency (RTT) 49km Fibre Distance 475 us Latency (RTT) Latencies are indicative only lower latency routes may be available 37

38 Exchange Hosting Currently Available Markets LSEG Venues Associated Venues All Markets All Markets MTA, MOT and SEDEX Markets (link available to IDEM in Milan) 38

39 Exchange Hosting Open Connectivity Model Access to a range of low latency Telco providers Exchange Hosting operates an open network policy allowing firms to choose a provider which best meets their needs. We are working with other low latency Telco providers to install local POP within our facility 39

40 Exchange Hosting Remote Hands Service Exchange provide two levels of Remote Hands Services for clients Emergency Remote hands (tasks normally completed within 20 mins of call) Re-boots and visual inspection of client equipment Assist with emergency access for client service engineers Planned Remote Hands Installation and set-up of all client equipment Completion of internal cabling to clients specification Installation design consultation Additional cabling, patching or installation or removal of equipment Regular cable testing, audits or tidy-up activities 40

41 Exchange Hosting Added Value Services Market data and order routing services Through our agreement with QuantHouse, Exchange Hosted firms can order route directly to multiple execution venues and receive market data feeds from European, North American and Asian markets in raw or normalised form. Raw/Native or QH Normalised Market Data formats available from European, North American and Asian markets Order Routing facility to external venues using the QuantLink network Choice of dedicated or shared feed handler servers Free Trials of the Market Data Service offered to all clients Time Synchronisation Facility Exchange Hosting Service has two methods of providing high precision time signal to clients IRIG-B delivered via resilient coax cables NTP delivered via RJ45 connection Precision to +/- 2 microseconds Fully resilient service replicating service provided via two independent services 41

42 Recent Initiatives 10Gb Exchange Hosting Network Latencies likely to be approx 30us RTT currently 160us RTT today on 1Gb network Hosting customers have choice to connect via 1Gb or new 10Gb network Implementation approach 10Gb network Go Live Turquoise Monday 13 th December 2010 EDX London, Oslo Derivatives and IDEM (via link) Mid Jan 2011 London to be launched with the Millennium Exchange Go Live Early 2011 Borsa Italiana MTA, MOT and SEDEX (TradElect/Infolect Platform) Early 2011 Oslo Bors Cash Equity (TradElect/Infolect Platform) Early Gb network with access to all venues will remain in place for customers 42

43 Recent Initiatives Vendors and Service Providers Exchange Hosting is available to Member Firms Trading on Proprietary or Agency Basis Non-member Firms who add trading flow to market Announcement in October to open product to Vendors and Service Providers Move follows extensive customer consultation Provides significant opportunity for both trading and non-trading market participants Ability for Vendors and Service Providers to service Exchange Hosting clients with market data, order routing and other support services Ability for Vendors to receive Market Data at source and vend via their own low latency networks Network Service Providers (NSP s) can utilise Exchange Hosting connection as a single leg of their resilient comms provision to our market for clients Additional cabinet capacity to be made available to meet anticipated demand 43

44 Recent Initiatives Additional Space Capacity Demand for space continues from new and existing clients Vendor and Service Provider policy change set to increase demand for cabinets further Extensive prospect list for early 2011 Level 1 Expansion additional 40 cabinets available end Jan 2011 Options for further space within our central London Data Centre currently being investigated 44

45 Any Questions for any further information you can contact me Andrew Bailey Hosting and Proximity Services T: +44 (0)

47 Turquoise Derivatives London Stock Exchange, Technical User Group Thursday, 9th December 2010 Steve Puri Technical Account Management

48 Turquoise Derivatives Overview Turquoise intends to offer a pan-european MTF equity derivatives market. Trading in key indices and pan-european underlyings matching Turquoise cash footprint: Index futures & options: FTSE 100 at launch with other European indices scheduled to follow pending licences. Single-stock futures & options across all European markets. MTF maker/taker fee structure first in Europe; no market-making obligations. Clearing & Settlement via CC&G and LCH.Clearnet. 2

49 Turquoise Derivatives Technology SOLA technology platform by TMX Group EDX London, Oslo and Borsa Italiana IDEM. If conformed to Borsa Italiana IDEM, expectation is for a seamless Turquoise implementation for trading & clearing. Protocol Interfaces FIX 4.2 order entry. SAIL order entry & quoting (market-making). HSVF market data via TCP. BCS Java API / BTS GUI for post-trade & clearing. LSE Extranex Connectivity 100MB or 1GB SAP connections. 1GB or 10GB Co-location. Matching Engines based in central London. 3

50 Turquoise Derivatives Planned Roadmap 4

51 Turquoise Derivatives Questions? Steve Puri Technical Account Management + 44 (0) steve.puri@tradeturquoise.com Rochelle De Friend Product Development + 44 (0) rochelle.defriend@tradeturquoise.com 5