Technical User Group Friday 21 October 2011

Transcription

1 Technical User Group Friday 21 October

2 Agenda Introduction Borsa Italiana - Millennium Migration Update London Stock Exchange - Trading Services Millennium Enhancements London Stock Exchange - Information Services Millennium Enhancements Q & A Session 2

3 Millennium Migration Update Borsa Italiana Roberto Fumagalli Technical Account Manager CTS-Italy

4 Introduction During the presentation we did on July 12 we announced the migration of the MTA, ETF Plus, Domestic/Euro MOT, Sedex, MIV, AIM, MAC and TAH markets from Tradelect to the Millenium IT trading platform detailing the performance benefits of the new trading platform. Today we would like to provide an update on the activities undertaken, the ones in progress and the timeline for completing the migration of the markets by the end of the second quarter of In particular, we remind you that there will be two major releases that will be deployed in CDS in two different steps. 1) MIT CDS for the Trading After Hours market 2) MIT CDS for MTA, ETF Plus, Domestic/Euro MOT, Sedex, MIV, AIM and MAC markets 4

5 Undertaken and ongoing activities August: publication of the first draft of the Technical Specifications (trading and market data) for Borsa Italiana markets September: availability of the early CDS test environment for Italian ISVs and Italian market participants; the software and the market model were the ones currently available for the LSE markets October 17: Updated version of the Technical Specifications available on Borsa Italiana website Customer enablement forms available on Borsa Italiana website November 7: availability of MIT CDS for the TAH market November 7: availability of DDM Plus for MIT 5

6 New MIT CDS environment (1) Exchange Gateway (Trading) Services Customer Information Service Exchange IP Address TCP Port Fix Trading GW 01 - Channel Fix Trading GW 01 - Channel 1 Alternate Fix Trading GW 01 - Channel Fix Trading GW 01 Channel 2 - Alternate Fix Trading GW 02 - Channel Fix Trading GW 02 - Channel 1 Alternate Fix Trading GW 02 - Channel Fix Trading GW 02 Channel 2 - Alternate Native Trading Native Trading Native Trading 01 Recovery Native Trading 02 Recovery Post Trade Router 01 - Channel Post Trade Router 01 - Channel 1 Alternate Post Trade Router 01 - Channel Post Trade Router 01 -Channel 2 Alternate Drop Copy 01 - Channel Drop Copy 01 - Channel 1 Alternate Drop Copy 01 - Channel Drop Copy 01 - Channel 2 Alternate Drop Copy 02- Channel Drop Copy 02 - Channel 1 Alternate Drop Copy 02 - Channel Drop Copy 02 - Channel 2 Alternate Multicast Feed A Multicast Feed B Channel name Config type Multicast address (Active) Multicast Source IP Address Service Port (UDP) Multicast address (Active) Multicast Source IP Address Service Port (UDP) ITCH Gateway 1 ITCH ITCH Gateway 2 ITCH

7 New MIT CDS environment (2) The software available on CDS from November 7 will include all the instruments and the functionalities available on the TAH market The existing TAH market structure (e.g. instruments, rules etc.) will also be maintained CompID dedicated to TAH market will be configured, following the standard naming convention: Market (2 char) + CED Code (4 digits) + FT (for FIX users)/ NT (for native users) + 0 (for standard users)/ S (for specialist users) + progressive code (2 digits) i.e. TA1234NTS01, TA1234FT002 Customer configuration requests (users and connectivity) should be addressed to MIT-migration@borsaitaliana.it Conformance tests on MIT platform will be scheduled from the end of February

8 MDF/DDM Plus test environment The market data of the markets that will move to MIT will be distributed through: ITCH: Realtime Dissemination of full order book and trades (UDP multicast) Extremely fast, suggested for latency sensitive applications MDF-DDM Plus service : 5, 10, 20 level of prices snapshot, all the depth of the market real time (A5 level) ITCH will disseminate data for the first drop of CDS via one service channel The new version of MDF-DDM Plus connected to MIT will be available on the CDS environment starting from November 7 Conformance tests on MDF-DDM Plus will be mandatory. They will be scheduled from the end of February

9 Technical documentation available MIT201 - BIT - Guide to New Trading System - Issue 1.0 MIT202 - BIT - Trading Gateway (FIX 5.0) Specification - BIT - Issue 2.0 MIT203 - BIT - Native Trading Gateway Specification - BIT - Issue 2.0 MIT204 - BIT - Post Trade Gateway (FIX 5.0) Specification - BIT - Issue 2.0 MIT205 - BIT - Drop Copy Gateway (FIX 5.0) Specification - BIT - Issue 2.0 MIT301 - BIT - Guide to Market Data Services - Issue 1.0 MIT303 - BIT - Market Data Feed _ITCH_ Specification - BIT - Issue 2.0 MIT305 - BIT - FTP Services Reference Data Specification - BIT - Issue 2.0 MIT501 - BIT - Guide to Customer Testing on Millennium Exchange Issue

10 Access via Co-Location Service (1) Space in the same datacentre where the Millennium Exchange Primary Datacentre, the IDEM market and the MDF/DDM+ services are located Direct ultra low latency connection (1 or 10 Gb fibre, according to customer request) to all Borsa Italiana s trading and information systems: MTA, Domestic/Euro MOT, ETF Plus and SeDeX IDEM Market MDF/DDM+ Open connectivity model providing access through: Customer proprietary lines (wide range of available carriers) Borsa Italiana s provided network (BIt Network) Internet VPN 10

11 Access via Co-Location Service (2) 11

12 Access via Co-Location Service (3) Added value services Remote Hands Service (Installation of customer equipment) Hands & Eye Service (e.g. HW Reboot) HW Monitor Local Intervention Team Highest datacentre security, power and cooling standards For further information: 12

13 Trading Front-End - BTS New BTS Client with: New user-friendly Layout New Functionalities Available in CDS environment for all the Borsa Italiana markets The production upgrade will take place between 15th October - 30th November

14 Migration Plan From the second quarter of 2012 mandatory public test sessions will be performed in production environment Dress Rehearsals for TAH market Go-Live TAH market Dress Rehearsals for MTA, Domestic/Euro MOT, SEDEX, ETF plus, AIM Italia, MIV and MAC markets Go-Live MTA, Domestic/Euro MOT, SEDEX, ETF plus, AIM Italia, MAC markets The official live date of the new service will be communicated to market participants in due time, and confirmed according to the outcome of the public test sessions.

15 Migration Plan (2) 15

16 Contact Details Client Technology Services Italy Borsa Italiana Client Services Team Tel: 02/ /647/348 Client Technology Services Italy Borsa Italiana Service Desk Italy Toll free: From Mobile:

17 Trading Services Millennium Enhancements London Stock Exchange Brian Janganant Head of CTS-UK

18 Millennium Trading Enhancements Overview The product has now bedded in and it is appropriate to revisit core functionality and deliver a world class Trading and Information product Trading and Information enhancements are being introduced Backward compatible to reduce implementation time and costs

19 Millennium Trading Enhancements Summary of Trading Enhancements Introduction of a Third Matching Engine Partition Introduction of a Closing Price Crossing Session Introduction of Automated Restricted Instrument Groups for Sponsored Access Customers

20 Millennium Trading Enhancements Introduction of a Third Matching Engine Partition Capacity driven Driver/Description Timeline CDS: 31 October 2011 Production: TBC but expected to be this year. Potential Client Impact Reference data instrument file will have the AppId updated. NATIVE Execution reports Order Cancel Rejects Order Mass cancel reports Business rejects FIX Order Mass cancel (FIX Trading) Trade Capture report (FIX post trade) When performing a Native Recovery a missed message request will be required for each partition.

21 Millennium Trading Enhancements Introduction of a Closing Price Crossing Session Driver/Description CPX session facilitates trading of shares at the Closing Auction Price which is a benchmark price at which traders indicate to us they would prefer to trade. SETS and IOB will have their own sessions known as Closing Price Publication (CPP) session and closing Price Crossing Session (CPX). Closing Price Publication Session will commence after the Closing Auction. The Closing Price will be disseminated during this session. Closing Price Crossing Session will commence after the CPP session. Potential Client Impact Clients should ensure that their trading applications are updated to manage the trading in the newly introduced sessions. A new field TradingSessionSubID will be introduced to the TCRs sent by the Post Trade GW. It defines the trading phase during which the particular trade has taken place. Timeline: Q1 2012

22 Millennium Trading Enhancements Updating Restricted Instrument List Through Portal Gateway Driver/Description Instrument groups enable a sponsoring firm to restrict the instruments that their sponsoring users can trade. At present, restricted list updates can only be performed manually by Market Ops With the implementation of this CR a sponsoring firm will be given the ability to update their sponsored user s restricted Instrument Group(s) via an automated process using the portal. Potential Client Impact Sponsoring Firm will be able to control a sponsored user ability to trade in an instrument intra-day and without Market Operation s intervention. Clients should update their application in order to manage the new logic (access SFTP site and upload/download csv files) in order to automate the process if required. Timeline: Q1 2012

23 Information Services Millennium Enhancements London Stock Exchange Ed Rainer Group Product Manager

24 Millennium Information Services Enhancements Overview Performance of the market data solution is world leading; First major market data release since go-live in February 2011; Timing is appropriate to revisit core functionality and message formats; Enhancements designed and subsequently developed to limit client development but deliver some core enhancements and fundamental change aiming to make the product as intuitive as possible. No conformance will be mandated as part of this release; Trade High-Low cancellation change request is intended to be promoted to CDS on 26 October Those affected clients should have already been contacted about this. Production go-live details will be confirmed in due course.

25 Millennium Information Services Enhancements Enhancement 1 Protocol Impact FIX-FAST Incremental Refresh; Level 2-ITCH Off-Book Trade. Description Introduction of new Trade Types; Publication of Off Book Trades executed at alternative venues. Driver The Group will, in due course, be providing clients the opportunity to fulfil their regulatory obligations by reporting MIFID Off Book executions for instruments already listed on our international markets, when the execution venue is that other than the London Stock Exchange order books. Client Impact New Trade Types introduced to existing ENUM fields; New Execution Venues introduced and populated in existing Execution Venue field.

26 Millennium Information Services Enhancements Enhancement 2 Protocol Impact FIX-FAST Security Definition; Level 2-ITCH Symbol Directory. Description Suppression of Previous Days Closing Price for EQS and ITR securities. Driver These values should not have been disseminated by the Millennium Exchange solution they are for internal use only. Client Impact This information will no longer be provided by the Millennium Exchange solution.

27 Millennium Information Services Enhancements Enhancement 3 Protocol Impact Level 2-ITCH Order Delete and Trade Break. Description Inclusion of InstrumentID in both Order Delete and Trade Break messages. Driver A number of UK clients have requested this enhancement. Existing behaviour requires clients to purge all order books to identify the relevant order the inclusion of InstrumentID will expedite the process of order book updates and trade capture management. Client Impact Update feed handlers to manage the additional field.

28 Millennium Information Services Enhancements Enhancement 4 Protocol Impact Level 2-ITCH Off Book Trade Description Inclusion of Trade Date stamp in existing Trade Date field if execution was on current trading day. Driver Requested by a number of clients and in a further effort to make the product as intuitive as possible. Client Impact Clients should ensure that feed handlers are updated to manage this change; Clients should back out this logic if applied manually.

29 Millennium Information Services Enhancements Enhancement 5 Protocol Impact FIX-FAST Security Status, Level 2-ITCH Symbol Status Description Dissemination of new Trading Status to indicate change of order book interaction permissions at 1715hrs. Driver Requested by a number of clients, this enhancement will indicate the change of order book interaction at 1715hrs (post which time no order book interaction is permitted). Client Impact Introduction of new Trading Status to FIX-FAST (103) and Level 2-ITCH (x).

30 Millennium Information Services Enhancements Enhancement 6 Protocol Impact Reference Data YYYYMMDD_XLON_Instrument file Description Inclusion of Instrument to Market Data Channel mapping in the reference data package. This will be provided as three new columns (FIX-FAST Level 1, FIX-FAST Snapshot and Level 2-ITCH) in the existing reference data package. Driver Currently, the mapping of Instrument to Market Data Channel is a manual process for clients this is based on information provided in the Technical Specifications. Client Impact We will continue to provide the existing fields and the Technical Specification mapping for a limited time. However, all clients should ensure they conform to the new layout of the reference data package.

31 Next Steps Clients should expect Technical Specifications to be reissued in due course; Changes to specifications to support enhancements will be clearly indicated through the use of sidebars; We will follow standard London Stock Exchange Group release plan: internal QA, CDS and subsequently Production. London Stock Exchange Group - Group Tickerplant Group is working on a replacement for DDM-Plus. This Group Tickerplant will also be offered in London and will signal a major step change in the provision of Group market data services. Some key client feedback on our existing suite is being fed into the scoping of the new product; Group welcomes further feedback and would encourage any client wanting to be involved in customer consultations to contact their Technical Account Manager.

32 Q & A Session