Technical User Group. Thursday 25 September 2014

Transcription

1 Technical User Group Thursday 25 September 2014

2 Agenda Introduction London Stock Exchange Group Business Updates London Stock Exchange Group Project Updates Turquoise Equities Turquoise Block Discovery London Stock Exchange Group SOLA Upgrade Q & A Session Page 2

3 Review of 2014 Brian Janganant Head of Client Technology Services - UK London Stock Exchange Group Page 3

4 Release 8.5 Went live on 15 September 2014 Key functional enhancements include: Introduction of new GFS time in force Rejection of off book trade reports with trade type LC or PC where trade date is the same as submission date. Page 4

5 Revised SETSqx Auctions (1) Went live on Monday 15 September Scheduled un-crossing times revised to 09:00, 11:00, 14:00, 16:35 Orders now only visible during 10 minute auction call period (reduced to 5 minutes at close) ahead of scheduled un-crossing time Closing price crossing session introduced to allow approximately 5 minutes of continuous trading at the closing auction price following a successful closing auction Orders can be entered / modified /cancelled from 08:50 London time until the end of closing price crossing session Outside the auction call / closing price crossing session, accepted orders are parked prior to injection into relevant auction call / session Page 5

6 Revised SETSqx Auctions (2) To trade in auctions Time in Forces OPG, ATC, GFA and the new GFS (good for all remaining auctions that day) must be used To post a resting order in closing price crossing session the new CPX TiF must be used, to execute against resting orders in this session CPX, IOC or FOK priced at the closing price must be used The following TiFs will now always be rejected from SETSqx: DAY, GTD, GTT All remaining un-executed SETSqx orders expired at the end of the trading day For more information on improvements to SETSqx auctions please see factsheet at: Page 6

7 Business Updates James Baugh Head of Pan European Sales and Marketing Capital Markets London Stock Exchange Group

8 LSE Group Equities Pan European presence Source: BATS Chi-X Page 8

9 01-Oct Oct Nov Nov Dec Jan Jan Feb Mar Apr Apr May May Jun Jul Jul Aug Sep Sep Oct Nov Nov Dec Jan Jan Feb Mar Mar Apr May May Jun Jul Jul Aug Oct Oct Oct Nov Nov Dec Jan Jan Feb Feb Mar Mar Apr Apr May May Jun Jul Jul Aug Aug Sep Oct Oct Nov Nov Dec Dec Jan Jan Feb Mar Mar Apr Apr May May Jun Jun Jul Jul Aug Aug-14 UK Equities Market Recent sustained increase in share of UK Over 200 firms trade directly on London Stock Exchange Recent sustained increase in share of market over 60% of lit order book trading of UK listed equity takes place on London Stock Exchange. lowest order to trade ratio of venues trading UK equities and tightest depth weighted spreads, average Trade Size approx. 8,000 (FTSE 100) Product innovation self match prevention, passive only order types, randomised iceberg peak refresh proposed introduction of intraday auction Market innovation cross market netting project completed Jun 2014 Introduction of T+2 settlement cycle in the UK further interoperability 80% Share of FTSE 100 value traded (venues with > 5% share of total only) aggregate value traded, equiv (right axis) LSE Chi-X Turquoise BATS 12,000m 70% Percentage of time when venue at best BBO alone ( 25k depth), FTSE 100 securities LSEBestBid% (25k) ChiXBestBid% (25k) TRQXBestBid% (25k) BATSBestBid% (25k) 70% 10,500m 60% 60% 9,000m 50% 50% 40% 7,500m 6,000m 40% 30% 4,500m 30% 20% 3,000m 20% 10% 1,500m 10% 0% 0m 0% source: Page 9

10 Turquoise Growth ADV July 2014 more than double Vs Jan 2013 Growth Turquoise Total ADV Up 107% in July 2014 vs January 2013 Share of Trading European order books: French 11%, German 9%, Dutch 13%, Spanish >5%: blue chips mid and small caps, July Demand for alternative block crossing opportunities, Jan-Jul 2014 value traded in Turquoise Uncross is 5.5x Jan-Jul 2013, with over 5% of value traded in execution sizes above Large-In-Scale (LIS). Source: Thomson Reuters Equity Market Share Reporter (EMSR), Single counted, sample of competitors, compares Total Average Daily Value Traded = Sum of (lit + hidden + dark + auction) divided by number of trading days per month. Innovations Product: Evolution of Turquoise Midpoint Dark Book: Turquoise Block Discovery go-live 20 Oct 2014 addressing the challenge of new trading environment, double caps in dark Geography: new geographies under consideration include Turkey, Poland. Universe: ETFs admitted for trading and clearing choice of 3 fully interoperable CCPs. Page 10

11 Project Updates Don Mucha Manager, Technical Account Management and Market Access Client Technology Services UK London Stock Exchange Group

12 Project Updates T+2 Settlement Changes FTSE Data Centre Migration Annual Certification Reminder Group Ticker Plant Page 12

13 T+2 Settlement Changes (1) Intended Settlement Cycle for order book execution will change to T+2 from 6 October 2014 The London Stock Exchange and Turquoise CDS environments have been upgraded to support full end to end testing of the T+2 settlement cycle Testing opportunities are available until 26 September 2014 Trades entered in the CDS environments between 08:00 and 14:00 will be sent to the CCP s for processing Members are encouraged to contact their CCP and EUI to confirm testing requirements Page 13

14 T+2 Settlement Changes (2) Revised T+2 Standard T+3 Standard T+1 SETS Intl Board Gilts ETFs (EOB Settlement) SETSqx SEAQ Intl Order Book Order Book for Retail Bonds (Corporates, Intl Corporates & Other Bonds Turquoise (Excluding Germany already on T+2 & Spain due to waiver) Services outside of the EU Order book for Retail Bonds (Gilts) Rights Issues Page 14

15 T+2 Settlement Changes (3) Technical Changes There are no customer facing changes to any London Stock Exchange, Turquoise or London Stock Exchange Derivatives protocols London Stock Exchange Reference Data File changes: Post Trade Parameters file Post Trade Parameter ID changed (currently available in production) Settlement Cycle field updated from 3 to 2 Instrument file Post Trade Parameter ID changed (currently available in production) For Information on T+2 changes for other group Markets including Borsa Italian and MTS; please contact the relevant venue Page 15

16 FTSE Data Centre Migration (1) FTSE Global Distribution Service (GDS) and FTSE Data Distribution Service (DDS) are being migrated from the existing FTSE data centres to the London Stock Exchange Primary (PDC) and Secondary (SDC) data centres All clients receiving the FTSE GDS real time feed or the DDS end of day files will need to migrate over to the new data centre IP addresses on 27 September 2014 Vendors using the FTSE GDS real time feed should provide sign off confirming readiness to their Technical Account Manager Page 16

17 FTSE Data Centre Migration (2) Go-Live Weekend Plan Real Time GDS Will become unavailable from 23:00 GMT on Friday 26 September Available for connectivity in London Stock Exchange PDC from 01:00 GMT on Saturday 27 September. Vendors should confirm connectivity on the day to by 14:00 GMT. Final Go / No-Go confirmation will be communicated by a FTSE GDS Service Announcement on Saturday 27 th September by 17:00 GMT. Page 17

18 FTSE Data Centre Migration (3) Go-Live Weekend Plan End of Day DDS Will become unavailable from 03:00 GMT on Saturday 27 September Available for connectivity in London Stock Exchange PDC from 15:00 GMT on Saturday 27 September Final Go / No-Go confirmation will be communicated by a FTSE DDS Service Announcement on Saturday 27 September Page 18

19 Annual Certification Reminder (1) Overview Annual Certification Test Programme was introduced in July 2013 The programme is designed to ensure that all clients perform at least two certification tests per software application in any 12 month period, with a minimum of 6 months between each test Software certification remains valid for twelve months from the date of the second certification date Clients will either need to perform a Full Certification Test or a Self Certification Checklist The Annual Certification Test Programme applies to each market (London Stock Exchange, Turquoise, London Stock Exchange Derivatives, Borsa Italiana and IDEM markets) Page 19

20 Annual Certification Reminder (2) Re-certification Policy Customers are required to re-certify their applications under the following conditions: The customer modifies the software in any way that directly impacts LSEG interfaces. This includes but is not limited to updates to Gateways, Order Management, Execution Management and Quote Management Software. The venue upgrades its production environment to a later version of software where there is client facing functional changes The software certification period has expired The customer is requested to re-certify their application by the relevant venue All applications must have been re-certified before 1 October 2014 For additional information, please contact your Technical Manager or the Technical Account Management team, londontam@lseg.com / +44 (0) Page 20

21 Group Ticker Plant The Group recognises the industry appetite for the launch of incremental data services and remains absolutely committed to launching the Group Ticker Plant Phase 2.0 services as soon as possible Phase 2.0 will introduce full-depth incremental market data services, powered by FPGA technology, for London Stock Exchange, Borsa Italiana (including IDEM) and Turquoise Cash Equity markets Launch of CDS had been anticipated in Q3 this year; this indicative date has now been rescheduled and we will provide further updates on timelines as they become available The Group Ticker Plant already supports real-time Level 1, Level 2 MBO snapshots and Level 2 MBP snapshots services for London Stock Exchange, Borsa Italiana (including IDEM) and EuroTLX markets. These services are delivered in both multicast and unicast (GTP Lite) formats with a rich statistics and reference data package included as standard. FTSE indices are also supported. Page 21

22 Turquoise Block Discovery Philippe Teillet Technical Account Manager Client Technology Services UK London Stock Exchange Group

23 Turquoise Overview Integrated Lit Order Book Two discrete order books for complimentary liquidity Supports continuous trading and executes orders on a Price, Display type, Time priority basis Combines simple limit and iceberg orders with Large In Scale hidden orders, and is fully compliant with pretrade and post-trade transparency obligations Continuous Trading Midpoint Dark Order Book Matches orders pegged to the midpoint Primary Market Best Bid and Offer of the respective European Exchange Size priority and user-defined Minimum Execution Size (MES) are key features Size priority in the matching logic is different to traditional time priority of other public order books. Turquoise Uncross Randomised midpoint uncrossing for larger and less time sensitive passive orders Turquoise Block Discovery Facilitates trading in larger block orders by matching Block Indications Allows only passive orders from buyers and sellers Maximises opportunity allowing interaction with existing liquidity in Turquoise Uncross Reputational scoring and surveillance Page 23

24 Turquoise Uncross Continuous Midpoint Matching & Turquoise Uncross each feature: Size priority & user defined Minimum Execution Size (MES) Random-timed Turquoise Uncross at PBBO Midpoint every 5-10 seconds in most liquid stocks, every 5-45 seconds in least liquid stocks, with the number of uncross events ranging from 1,000 to 4,000 during the trading day Turquoise Uncross allows only passive orders, random timing nature provides level playing field - no preference to time sensitive persistent flow where an aggressor can choose exact time of execution Page 24

25 Turquoise Block Discovery Turquoise Block Discovery is a new service, which further enhances the Turquoise Midpoint Dark Book by facilitating the trading of larger block orders by matching Block Indications. On identifying potential matches, the service will require participants to send firm qualifying block orders to Turquoise Uncross, maximising available liquidity for customers of both services. Existing users of Turquoise Uncross can also elect to explicitly opt-in a firm resting order for Turquoise Block Discovery thereby increasing the opportunity to match in size subject to MES and improve available liquidity for both services Reputational scoring and surveillance will monitor the conversion of Block Indications into firm orders to optimise the use of the service Default Turquoise Block Discovery Minimum Block Size of 25% LIS, Size priority in the matching logic and user defined minimum execution size in the Turquoise Midpoint Dark pool also encourages larger sized orders and further improves execution quality Participants of Turquoise Block Discovery need to be a member of Turquoise MTF, where all trades are matched, and they need to sign a separate Turquoise Broker Agreement Page 25

26 How Turquoise Block Discovery Works Using Block Indications Turquoise Block Discovery provides mechanism for brokers to interact with existing liquidity in Turquoise Uncross - benefits from randomised timing, protected from interaction with time sensitive flow 1. Member A sends Block Indication (BI) to Turquoise Block Discovery min size threshold 2. Member B sends BI to Turquoise Block Discovery min size threshold 3. Independently Turquoise Uncross disseminates Call Market Indicator based on the randomised timing mechanism, informing market that an Uncross will happen shortly no indicator of liquidity or guarantee of match. Turquoise Block Discovery will use this information to check for a potential match between BIs 4. If potential match exists, Order Submission Request (OSR) will be sent to Member A & Member B asking to firm up and send order to Turquoise Uncross 5. Member A has 450ms to return with firm order before the random uncrossing window commences 6. Member B has 450ms seconds to return with firm order before the random uncrossing window commences 7. Next Turquoise Uncross will happen randomly between 0.5 and 2 seconds following dissemination of Call Market Indicator, any executions will be published immediately by Turquoise 8. Reputational Score will be updated to ensure integrity of the trade and the users Page 26

27 How Turquoise Block Discovery Works Utilising Existing Liquidity in Turquoise Uncross Opportunity for existing users of Turquoise Uncross to interact with Turquoise Block Discovery, thereby improving fill rates for larger sized orders 1. Member A Opts in and flags passive Turquoise Uncross order with Block Discovery Notification (BDN), which is sent to Turquoise Block Discovery (User defined MES available as per usual interaction) 2. Member B: sends Block Indication (BI) to Turquoise Block Discovery Min size threshold 3. Independently Turquoise Uncross disseminates Call Market Indicator based on the randomised timing mechanism informing market that an Uncross will happen shortly no indicator of liquidity or guarantee of match Turquoise Block Discovery will use this information to check for a potential match between BIs and BDNs (Member A & Member B) 4. If potential match exists, Order Submission Request (OSR) is sent to member B asking to firm up and send order to Turquoise Uncross 5. Member B will have 450ms to return with firm order before the random uncrossing window commences 6. Next Turquoise Uncross will happen randomly between 0.5 and 2 seconds (following dissemination of Call Market Indicator and Any executions will be published immediately by Turquoise 7. Reputational Score will be updated to ensure integrity of the trade and the users Page 27

28 Technical Implementation (1) Market Data (ITCH): The Call Market is advertised via a Symbol Status message with a Trading Status set to 0. Enabled on CDS since live deployment of Release 8 From Turquoise Block Discovery go-live, Call Market will be enabled in production. All customers enabled for Turquoise production market data must ensure they will be ready to process or ignore this message. Page 28

29 Technical Implementation (2) Trading Interface (FIX 5.0): New Order Message OrderSubType new tag (9020) ClOrdLinkID new tag (583) Execution Report Message ExecType existing tag (150), new value Reputational Score - new tag (27012) Trade Liquidity Indicator existing tag (9730) new enums ClOrdLinkID new tag (583) Page 29

30 Technical Implementation (3) Trading Interface (Native): New Order Message OrderSubType existing field, new enums ClOrdLinkID current reserved field Execution Report Message ExecType existing field, new enum Reputational Score current reserved field Trade Liquidity Indicator new enums Page 30

31 Enablement & Certification Turquoise Block Discovery is already available on CDS Customers need to contact their Technical Account Manager to be enabled for the service Full certification is required before go-live Go-live is scheduled for 20 October 2014, subject to customer readiness For a copy of the Turquoise Block Discovery Trading Services Description, and latest versions of Turquoise Trading Services Description, Technical Specifications and Certification documents; please contact your Technical Account Manager directly or the Technical Account Management team on +44 (0) or londontam@lseg.com Page 31

32 SOLA Upgrade Paul Kennedy Technical Account Manager Client Technology Services UK London Stock Exchange Group Page 32

33 SOLA Functional Enhancements for London Stock Exchange Derivatives Markets New Key Enhancements (pending regulatory approval): 4 legs strategies Bundled Orders Self Execution Prevention Third-party cross order entry Flex Series Creation for Trade Reporting Stop Button functionality Group Information via HSVF Page 33

34 4 Legs Strategies Currently SOLA allows for combinations up to 2 legs New functionality will allow members to trade strategies up to 4 legs Market model for the 4 leg strategy is expected to remain the same as existing 2 leg strategies Page 34

35 Bundled Orders (1) Allows traders to group several committed orders on Instrument Series (up to four) within the same transaction, offering certainty of simultaneous execution of all the individual trade report included in the Bundled Order, or no execution Bundled Order will have the following characteristics: Will not interact with the standard order book Available for trade reporting only Available for Standard Series Available for Flexible Series Up to 4 different series Page 35

36 Bundled Orders (2) Bundled Order will require traders to independently specify one price for each Instrument Series in the Bundled Order Bundled Order is executed only if all the legs can be executed Published/Unpublished flag (e.g. the trade will/will not be disseminated by Downstreams) Page 36

37 Self Execution Prevention (SEP) (1) Will allow trading firms to avoid order execution when an order crosses an order sent by a specified trader of the same trading firm SEP Instructions: Cancel Incoming Order (CIO): Leaves the resting order while expiring the incoming order Cancel Resting Order (CRO): Expires the resting order while allowing the incoming order to aggress (and rest in the book if it is not matched) Cancel Both Orders (CBO): Expires both the resting order and the aggressing order Reduce and Cancel (RC): Cancels both orders if they are of the same size. For those not of the same size, the smallest order will be cancelled and the larger order will be reduced by the size of the smaller order before executing/resting. Page 37

38 Self Execution Prevention (SEP) (2) Each trader can belong to a single SEP group only The behaviour of the SEP will be determined by the incoming order Implied trading involving strategies versus standard order and vice versa will be excluded from the SEP evaluation SEP will be evaluated before circuit breaker Page 38

39 Third Party Cross Order Entry Alternative functionality to the current manual LSEDM Market Op s process to handle committed trades Allows market participants to implement the Straight Through Process (STP) solution in their own application via SOLA SAIL protocol A new Proposal Request transaction (PR) will be implemented Inter Dealer Broker (IDB) will be able to request the execution of a committed order for two counterparties who are both SOLA trading members Page 39

40 Flex Series Creation for Trade Reporting Enables members to create Flexible Series in SOLA Will be Hidden Series and not disseminated through the reference data feed and no-order book will be made available Only trade reports are enabled on these products New Instrument Creation message will be available to all market participants Page 40

41 Stop Button Functionality Ability for clearing firms to take immediate action to limit further exposure, by cancelling the active orders/quote and/or suspend trading of their NCMs This functionality will be available in both versions of BCS Page 41

42 Group Information via HSVF Enhanced information regarding the group configured in the SOLA platform. Messages Effected: Message Type GC Group Status Schedule Notice Message Type GR Group Status Message Type GS Group Status (Strategies) Page 42

43 Timeline Functional enhancements are expected to be available in CDS in Q Production Go-Live is expected at end of Q FIX, SAIL and HSVF technical specifications will be available prior to CDS go-live Mandatory certification required Page 43

44 Q & A Session TUG presentation link: