The Oslo Børs cash equities and fixed income markets migration to Millennium Exchange OSLMIT 501 Guide to Testing Services Issue 1.1 07 June 2012
Important note This document has been produced by Oslo Børs to assist customers of the Oslo Børs markets throughout the migration to Millennium Exchange. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix If you have any general queries relating to this document, please email: technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website at the following link: http://www.oslobors.no/ob_eng/oslo-boers/trade/delta Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT 501 Guide to Testing Services 2
Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description 1.0 25 April 2012 Initial document release 1.1 07 June 2012 Added the actual days/times when the various tests will be exeuted Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Oslo Børs OSLMIT 501 Guide to Testing Services 3
Content Important note... 2 Disclaimer... 2 Change log... 3 Content... 4 1. Introduction... 5 1.1 Purpose... 5 1.2 Readership... 5 1.3 Document Series... 5 2. Service Overview... 7 3. Test Services... 8 3.1 Exchange Generated Activity... Feil! Bokmerke er ikke definert. 3.2 Trading Gateway Failover and Recovery Testing... 8 3.3 Market Data Failover and Recovery Testing... 9 3.3.1 Sequence Number Gaps... 9 3.3.2 Primary Gateway Failure... 9 3.4 Service Interruption on the Native Trading Gateway Recovery Channel... 10 3.5 Service Interruption during Own Order Book Download on the Drop Copy Gateway... 10 4. Service Times... 11 4.1 CDS Service Times... 11 4.2 Extended Trading Hours... 11 4.3 Maintenance Days... 11 5. Connectivity and Participant Configuration... 12 6. High Volume Service (HVS)... 13 Appendix 1 Issue updates... 14 Issue 1.0 Released 25 April 2012... 14 Issue 1.1 Released 07 June 2012... 14 Appendix 2 References... 15 Oslo Børs OSLMIT 501 Guide to Testing Services 4
1. Introduction Oslo Børs is in the process of migrating its equity and fixed income trading from the TradElect/Infolect platform to Millennium Exchange, a flexible, highly scalable trading platform with ultra-low latency from MillenniumIT, a part of the London Stock Exchange Group. Oslo Børs aims to strengthen its competitive position by migrating to this new technology, and is pleased to offer customers a trading system of the highest standard that offers all the functions one might expect from a state-of-the-art trading platform. The migration to a new trading platform for the Oslo Børs equities and fixed income markets will require both market participants and their technical suppliers to make a number of changes to their systems. As a part of the migration process, Oslo Børs will publish a series of documents covering different aspects of the technical changes related to the migration to Millennium Exchange. 1.1 Purpose The purpose of this document is to describe the testing services provided by Oslo Børs for the Millennium Exchange platform. 1.2 Readership This document should be read in conjunction with the other technical documentation, and describes the testing scenarios and services provided in the Millennium CDS environment for Oslo Børs. Messages from any of the interfaces are highlighted in bold text in this document. Fields within messages are indicated by use of italic letters. References to other documents in the series are indicated by use of underlined italic letters. 1.3 Document Series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs post the migration to the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs Market Model Fixed Income Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST OSLMIT 303 ITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data Oslo Børs OSLMIT 501 Guide to Testing Services 5
Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 801 Reject Codes The latest version of this documentation series can be found on: http://www.oslobors.no/ob_eng/oslo-boers/trade/delta/millennium-exchange/technicaldocumentation Oslo Børs OSLMIT 501 Guide to Testing Services 6
2. Service Overview The Customer Development Service (CDS) is a fully functioning simulation of Oslo Børs' Production environment against which our customers can develop, test, and run their Trading and Information applications. Securities on the CDS environment are based on the securities listed at Oslo Børs and are updated periodically which means that the CDS and production environments might not be fully synchronized at all times. The number of instruments listed on the two environments will roughly be the same. The reference data for the securities available in the CDS environment will to the extent possible be a copy from the reference data from the production environment, which means that e.g. the ISIN code for an instrument in CDS can be identical to the ISIN for the same instrument in the production environment. For the Equities market, the opening hours of the CDS environment will be one hour after that of the production environment, and Oslo Børs will add a few test instruments that will be 4 hours after that of the production environment. For the Fixed Income market, the CDS environment will open at the same time as the production environment, but will close two hours later. Oslo Børs will facilitate end-to-end testing, where also Oslo Clearing will participate to provide the CCP functionality. A list of securities where end-to-end testing is possible will be provided at a later stage. In the CDS environment the list of member firms will differ from the prod environment, as additional test member firms will be set up, as well as ISVs/Vendors can be added as market participants. Initially there will be a disturbance free period in the CDS environment, but from 11 June 2012 onwards the test services described in the following chapters will be introduced. Oslo Børs OSLMIT 501 Guide to Testing Services 7
3. Test Services Mandatory certification is required for all applications that wish to connect to the production environment. Details of the 'self certification' process are described in OSLMIT 502 Guide to Application Certification. 3.1 Exchange Generated Activity Oslo Børs will generate activity in the CDS environment on a daily basis to ensure that participants connecting to the CDS environment will experience some activity every day. The orders generated will be the same from one day to the next, but due to the randomized uncrossing times, the resulting set of trades can vary slightly. The activity is generated for a fixed set of test instruments, provided below, and the instruments will be included in the reference data files. The instruments has been set up on a dedicated segment, in a way that a participant cannot enter orders / report trades on these instruments. Id Short Name ISIN Type 3000200 OBGEN1 NO_EQU_AU_02 Equity 3000201 OBGEN2 NO_WRT_AU_02 Warrant 3000202 OBGEN3 NO_ETF_AU_02 ETN 3000203 OBGEN4 NO_NST_FI_02 Goverment Bond 3.2 Trading Gateway Failover and Recovery Testing In order to support customers with their disaster recovery testing, every Friday, between 15:00 and 15:45, the following components will be failed in turn, in sequence: Primary FIX Trading Gateways Primary FIX Post Trade Gateways Primary FIX Drop Copy Gateways Native Trading Gateways Customers connected to a Primary Gateway that has failed must detect the disconnection and re-connect to their designated secondary gateway. Technical information regarding failover and recovery is provided in the interface specification, see section 1.3. Customers will remain connected to the Secondary Gateway for the remainder of the day. Oslo Børs OSLMIT 501 Guide to Testing Services 8
3.3 Market Data Failover and Recovery Testing In order to help ensure customers can develop to the Replay and Recovery services, the Exchange will deliberately create: a gap in the sequence numbers of the market data messages and a failure of the A feed gateway 3.3.1 Sequence Number Gaps Every Monday to Thursday at 12:00, there will be a sequence number gap on the following channels: ID Name Protocol A ITCH Equities Full Depth ITCH OBFIF Fixed Income Incremental Service (MBO Full) FIX/FAST OBP20 Level 2 ETF/ETN Snapshot Service - MBP20 FIX/FAST NEWS News gateway FIX/FAST INDEX Indices Gateway FIX/FAST Clients are expected to behave as follows: Event Primary (A) feed sequence number gap simulated Restore Primary (A) feed Primary and Secondary sequence number gap simulated Restore Primary and Secondary feeds Correct customer behaviour Pick up the multicast messages from the Secondary (B) feed, and do not send a request to the Replay or Recovery services. Pick up the multicast messages from the primary (A) feed, and do not send a request to the Replay or Recovery services. No action until sequence number gap is detected. Detect the sequence number gap (on the next message received) and connect to the primary Replay service and request the missed messages. 3.3.2 Primary Gateway Failure Every Friday at 12:00, a failure of the primary gateway will be simulated on the following channels: ID Name Protocol A ITCH Equities Full Depth ITCH OBFIF Fixed Income Incremental Service (MBO Full) FIX/FAST OBP20 Level 2 ETF/ETN Snapshot Service - MBP20 FIX/FAST NEWS News Gateway FIX/FAST INDEX Indices Gateway FIX/FAST Clients are expected to behave as follows: Oslo Børs OSLMIT 501 Guide to Testing Services 9
Event Stop the primary services including Replay and Recovery forcing the Secondary to resume as master with sequence numbers reset to 1 and order book views cleared within the market data system Post service recovery a sequence number gap will be simulated on the New-Primary Restore New-Primary MDG path Correct customer behaviour Take the new feed and handle reset sequence numbers and reset order book views within the market data system. Connectivity to the secondary Replay and Recovery services should be tested. No action until sequence number gap is detected Detect the sequence number gap (on the next message received) and connect to the New-Primary Replay service and request the missed messages. 3.4 Service Interruption on the Native Trading Gateway Recovery Channel In order for customers to test receipt of the System Status message, a service interruption will be simulated for one minute, every hour from 08:00-16:00 every trading day. In case of a service interruption on the Native Trading Gateway recovery channel a new System Status message will be sent to all clients that are logged in, to indicate the unavailability and subsequent availability of the partition. Clients submitting a new Missed Message Request during that time will receive a Missed Message Request Ack with a Response Type of Service Unavailable(3) from the Native Trading Gateway. 3.5 Service Interruption during Own Order Book Download on the Drop Copy Gateway In order to support customer testing of the unsolicited Execution Report, a service interruption will be simulated for one minute, every hour on the hour from 08:00-16:00 every trading day. Customers will receive an unsolicited Execution Report if the Drop Copy Gateway was servicing their Order Mass Status Request during the interruption. Oslo Børs OSLMIT 501 Guide to Testing Services 10
4. Service Times 4.1 CDS Service Times For the Equities market, the service hours for the Millennium Exchange CDS environment for Oslo Børs will be one hour after the Production environment, as described in OSLMIT Oslo Børs Market Model Equities. Note that the start of the Opening Auction Period remains at 08:15 as for the production environment, but the auction will happen from 10:00. For the Fixed Income market, the Millennium Exchange CDS environment for Oslo Børs Børs will open at the same time and close two hours after the production environment, as described in OSLMIT Oslo Børs Market Model Fixed Income. The CDS environment will follow the trading calendar of the production environment for both the Equities and Fixed Income markets. 4.2 Extended Trading Hours In the Equities market, Oslo Børs will add a set of test instruments which will be 4 hours after the Production environment. A list of the instruments in question will be provided at a later date. Note that the start of the Opening Auction Period remains at 08:15 as for the production environment, but the auction will happen from 13:00. 4.3 Maintenance Days On occasions Oslo Børs will have to close the CDS environment to perform upgrades or maintenance activities. Oslo Børs will - to the extent possible - minimize the impact for the customers from these activities. Customers will be informed of maintenance days and early closures specific to the CDS environment via the Oslo Børs Delta site: http://www.oslobors.no/ob_eng/oslo- Boers/Trade/Delta Furthermore, customers should also note that on occasions where the CDS environment has to be shut down and restarted, message sequence numbers may be reset for both trading interfaces and market data interfaces. The Logon Reply message may contain the message sequence number of '1'. Oslo Børs OSLMIT 501 Guide to Testing Services 11
5. Connectivity and Participant Configuration Customers should submit an enablement form to Oslo Børs to establish connectivity to the CDS environment. The enablement form includes the IP addresses visible to Oslo Børs when the customer establish a connection to the CDS environment, as well as details on how their participant should be configured. The IP addresses / ports to be used when connecting to the CDS environment are given in OSLMIT 606 CDS Environment Connectivity. Oslo Børs OSLMIT 501 Guide to Testing Services 12
6. High Volume Service (HVS) High Volume Service (HVS) is designed to provide customers with a large influx of data over a short period of time. The purpose of this service is to help customers tweak their infrastructure in order to process the data in the most efficient way. HVS will run for two hours Tuesdays and Thursdays from 19:00 to 21:00 and requires a separate enablement and disablement from Oslo Børs per customer. Please note that, depending on the customers internal infrastructure and the service provided by the network provider, the HVS test can have an impact on the customers current production environment. HVS will run four times in the two hour period and broadcast for 30 minutes each run. The profile rises gradually over six increments up to 13Mb down both the A and B circuits simulating the production configuration and providing a total of 26Mb. After each 30minute run the service will start again. Oslo Børs OSLMIT 501 Guide to Testing Services 13
Appendix 1 Issue updates This appendix describes the details of the changes made in each issue of this document. Issue 1.0 Released 25 April 2012 Initial release of the document. Issue 1.1 Released 07 June 2012 Section Description 1.3 Document Series Added OSLMIT 801 Reject Codes 2 Service Overview The CDS opening hours has changed 3.1 Exchange Generated Activity 3.2 Trading Gateway Failover and Recovery Testing Added Section Added the actual time of the events 3.3.1 Sequence Number Gaps 3.3.2 Primary Gateway Failure 3.4 Service Interruption on the Native Trading Gateway Recovery Channel Added the actual time of the events Added the actual time of the events Added the actual time of the events 3.5 Service Interruption during Own Order Book Download on the Drop Copy Gateway Added the actual time of the events 4.1 CDS Service Hours 4.2 Extended Trading hours 6 High Volume Service (HVS) Updated the CDS opening hours for both the Equities and Fixed Income markets. Clarified that this is only Equities market instruments Added the actual time of the events Oslo Børs OSLMIT 501 Guide to Testing Services 14
Appendix 2 References For the corresponding Millennium Exchange documentation for Borsa Italiana and London Stock Exchange, please see: http://www.borsaitaliana.it/borsaitaliana/intermediari/gestionemercati/migrazionemillenniumit-mit/millenniumitmigration.en.htm http://www.londonstockexchange.com/products-and-services/millenniumexchange/technicalinformation/technicalinformation.htm Oslo Børs OSLMIT 501 Guide to Testing Services 15