ETFplus Migration to Millennium platform

Transcription

1 ETFplus Migration to Millennium platform

2 Evolution of the Italian ETF market 2002 First ETF listed on Affari platform (managed by SIA) November 2007 Borsa Italiana becomes manager of Affari platform June 2009 Migration on Tradelect platform June 2012 Migration on Millennium platform First ETF listed on MTF segment of MTA market April 2007 Birth of ETFplus market with ETFs, structured ETFs and ETCs 2012 ETF 10th anniversary

3 Millennium trading platform 1. High capacity and low latency management of thousands transaction per second (TPS) with a latency lower than 1 millisecond; 2. High reliability - 2 matching engines and 4 market partitions (MTA / ETFplus / MOT & SEDEX / TAH); 3. More flexibility developed and managed by Millennium IT (subsidiary company of LSEG); 4. New service model matching engines located in Milan. Existing market model maintained with introduction of new functionalities following requests from market participants.

4 ETFplus migration to Millennium What has not changed: Market model and microstructure: Type of market: Order driven Ranking of orders: price and time priority Minimum tradable lots: 1 share Price variation limits Mandatory presence of the specialist What has changed: Introduction of closing auction New method of calculating the reference price Introduction of Cross Orders and Block Trades New time in force parameters

5 ETFplus - Closing auction Continuous Trading Closing Auction Functioning replicates the MTA closing auction; 2. Mandatory presence of the specialist; 3. No market orders allowed, only limit orders allowed; 4. Good for Auction (GFA) and At Close (ATC) parameters can be used 5. Price variation limits active; 6. Closing Auction lasts from 5:25:00 pm to 5:30:00 plus a variable interval of up to one minute, determined automatically on a random basis by the trading system

6 ETFplus - Closing auction From continuous trading to closing auction: orders management Order GFA and ATC Continuous Trading Orders entered during continuous trading Order entered during the closing auction Closing Auction Trading suspension during last 2 minutes of continuous trading Continuous Trading Closing Auction Suspension

7 ETFplus - Closing auction Closing auction phases: Pre-auction phase: participants may enter, modify and delete their orders, which contribute to the determination of the indicative auction price updated in real time; Validation phase: validation of the theoretical uncrossing closing price and determination of closing auction price; «Auction» phase (conclusion of contracts): contracts are concluded at the closing auction price trought the matching of compatible orders Pre-auction Validation and conclusion of contracts Page 7

8 ETFplus - Closing auction Auction extension If the difference between the indicative uncrossing price and the static price exceeds the maximum percentage variation, the volatility auction phase shall be started for 5 minutes plus a variable interval of up to one minute, determined automatically on a random basis by the trading system. Such auction phase may be activated only once. Pre-closing auction Validation and conclusion of contracts Pre-volatility auction Validation and conclusion of contracts min. 1 min. Good to Date (GTD) orders which are partly or wholly unfilled shall be automatically transferred to continuous trading phase of the following day Page 8

9 ETFplus Reference price 4 In the ETFplus market the reference price is equal to: 1) the closing-auction price; 2) where it is not possible to determine the closing-auction price, the reference price shall be equal to a significant number of best bids and offers displayed on the order book during the continuous trading phase, giving greater weight to the most recent; 3) where it is not possible to determine the reference price pursuant to 2), the reference price shall be equal to a significant number of best bids displayed on the order book during the continuous trading phase, giving greater weight to the most recent; 4) where it is not possible to determine the reference price pursuant to 3), the reference price shall be put equal to that of the previous session. Continuous trading Closing auction

10 New Orders Cross and BTF orders Cross/Block Trade Facility (Cross/BTF): these new orders allow intermediaries to enter an already agreed/identified trade. If the trade is agreed or identified within a single member firm, it will be considered as an Internal Cross/BTF whereas if the trade is agreed or identified by two different member firms, it will be referred to as a Committed Cross/BTF. Cross/BTF price has to be a multiple of the applicable tick size. Price Size Internal Interbank / Committed CROSS ORDERS between the best bid price and the best ask price, including such prices NO Principal vs Agent Agent vs Agent Principal vs Agent Agent vs Agent Principal vs Principal BLOCK TRADE FACILITY Bid - % / Ask +% (% according each market segments) 4*EMS Principal vs Agent Agent vs Agent Principal vs Agent Agent vs Agent Principal vs Principal

11 ETFplus Cross and BTF orders BUY SELL bid 1 - ask Cross Orders BTF Orders BUY SELL bid 1 - ask Bond ETF ±2% Equity ETFs and Structured ETFs without leverage±2.5% Structured ETFs and ETCs/ETNs without leverage±5% ETCs/ETNs with leverage ±7.5% The order quantity must be equal or more than 4*EMS

12 Cross Orders Cross Order can be entered as an Internal Cross or Committed Cross. If the type is Cross Order, the price of the order must be within the visible best bid price and the visible best ask price (including them) in the order book at the time of the Cross Order being submitted by the member firm. Cross Orders are fully visible orders. There is no concept of a hidden order quantity in Cross Orders. The last traded price is updated by a trade resulting from Cross Orders (means Stop or Stop Limit Orders can be elected based on that trade); hence the circuit breaker validations will be applied based on the Cross Order trade price for the next trade. But Cross Orders trades will not be considered for any closing price calculation (either as the final automatic trade or as part of the VWAP). Cross Orders are allowed only during the Continuous Trading session. The capacity of the two sides has to be principal vs. agency or agency vs. agency in Internal Cross Orders; Any capacity combination (principal vs. agency or agency vs. agency or principal vs. principal) can be used for Committed Cross Orders.

13 BTF Orders Block Trade Facility (BTF) Order can be entered as an Internal BTF or a Committed BTF. The price of the order must be within the spread defined by the visible best bid minus a configurable percentage and visible best offer plus a configurable percentage (including the extremes). BTF Orders are fully visible orders. There is no concept of a hidden order quantity in Cross Orders. The last traded price is not updated by a trade resulting from BTF Orders (means Stop or Stop Limit Orders will not be elected based on a BTF Order trade); hence the circuit breaker validations will not be applied based on a BTF trade price for the next trade. Also BTF trades will not be considered for any closing price calculation (either as the final automatic trade or as part of the VWAP). The capacity of the two sides has to be principal vs. agency or agency vs. agency in Internal BTF Orders. If that is principal vs. principal, the BTF Order will be rejected.

14 BTF and Cross orders treatment No counterparty risk thanks to the CCP; T+3 settlement in Monte Titoli; They are fully considered as on exchange trades, i.e. "printed trades"; Prices and volumes communicated to intermediaries through the normal data feed systems; Trade counterparties are anonymous as they are for all trades in the ETFplus market; BTF and Cross countervalues and number of trades are kept into account to calculate the whole volumes of the relevant instrument; BTF and Cross trading fees are the same as per the normal trades in the ETFplus market.

15 Orders: other changes 1. The validity parameter good till cancelled can t be used anymore; good till date orders with a maximum duration of 30 days can be entered (with the possibility to fix a lower duration). 2. For good till date orders it is not possible to indicate anymore the hour and the minute of maturity: these orders will be deleted at closing of the last validity day. 3. Subject to above, Good Till Time (GTT) orders expiry times can be specified to the nearest second.

16 ETFs Listing Italy Fax: The publication of this document does not represent solicitation, by Borsa Italiana S.p.A., of public saving and is not to be considered as a recommendation by Borsa Italiana as to the suitability of the investment, if any, herein described. This document has not to be considered complete and it is meant for information and discussion purposes only. Borsa Italiana accepts no liability, arising, without limitation to the generality of the foregoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on this documents. Trademarks Borsa Italiana and Borsa Italiana's logo, ETFplus, IDEM, MOT, MTA, STAR, SeDeX, MIB, IDEX, BIt Club, Academy, MiniFIB, DDM, EuroMOT, Market Connect, NIS, Borsa Virtuale, ExtraMOT, MIV BIt Systems Piazza Affari Gestione e Servizi, Palazzo Mezzanotte Congress and Training Centre and PAGS are owned by Borsa Italiana S.p.A. FTSE is a registered trademark of London Stock Exchange plc and The Financial Times Limited and is used by FTSE International Limited under licence. London Stock Exchange, the coat of arms device and AIM are a registered trade mark of London Stock Exchange plc. The above trademarks and any other trademark owned by the London Stock Exchange Group cannot be used without express written consent by the Company having the ownership of the same. Borsa Italiana S.p.A. and its subsidiaries are subject to direction and coordination of London Stock Exchange Group Holdings (Italy) Ltd Italian branch. The Group promotes and offers the post-trading services of Cassa di Compensazione e Garanzia S.p.A. and Monte Titoli S.p.A. in an equitable, transparent and non-discriminatory manner and on the basis of criteria and procedure aimed at assuring interoperability, security and equal treatment among market infrastructures, to all subjects who so request and are qualified in accordance with national and community legislation, applicable rules and decisions of the competent Authorities. February 2014 London Stock Exchange Group plc All rights reserved. No part of this book may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopying, recording, or any information storage or retrieve system without prior permission from the copyright owners.