EURONEXT CCG AND UTP CASH MIFID-2 ORDER … · EURONEXT CCG AND UTP CASH MIFID-2 ORDER ENTRY...

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Document title

EURONEXT CCG AND UTP CASH MIFID-2 ORDER ENTRY CONFORMANCE

TEST GUIDELINES

Document type or subject

Conformance test guidelines

Revision number Date

Revision Number: 1.2 29 September 2017

This document is for information purposes only. The information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness and expressly disclaims liability for any errors or omissions. This document is not intended to be, and shall not constitute in any way a binding or legal agreement, or impose any legal obligation on Euronext. This document and any contents thereof, as well as any prior or subsequent information exchanged with Euronext in relation to the subject matter of this presentation, are confidential and are for the sole attention of the intended recipient. Except as described below, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of it may be redistributed or reproduced without the prior written permission of Euronext. Portions of this presentation may contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission to use these third party materials should be inferred from this presentation. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at https://www.euronext.com/terms-use. © 2017 Euronext N.V. - All rights reserved.

https://www.euronext.com/terms-use

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© 2017, Euronext. 2 of 16 Revision Number: 1.2

1. PREFACE

PURPOSE 1.1

The purpose of this document is to provide customers with a detailed description and the guidelines to

follow for testing of CCG and UTP Cash with the new MiFID-II fields.

TARGET AUDIENCE 1.2

This document is particularly relevant to clients that will need to perform mandatory conformance test on

CCG and UTP Cash as for:

All member developers and technology providers (ISV’s, ASP’s and Market Data Vendors).

Clients using an in-house solution (or use a mixed in-house and provider solution) for order entry will need to validate their in-house developed solution.

It is not mandatory for clients using technology providers to perform the conformance test as this should

be managed by their providers. Clients can do the testing at their own discretion.

ASSOCIATED DOCUMENTS 1.3

This document should be read in conjunction with the following documents.

TITLE DESCRIPTION

Conformance test script UTP-Cash- MIFID-II Conformance Test

Script

UTP-Cash Binary Protocol CCG Client Specifications – Binary V6

Interface

UTP-Cash FIX Protocol CCG Client Specifications – FIX 4.2 Interface

All the IT documentation of Euronext can be found on a dedicated page of the Euronext website:

www.euronext.com/en/it-documentation/

https://www.euronext.com/en/it-documentation/order-entry


https://www.euronext.com/sites/www.euronext.com/files/euronext_cash_regulated_markets_-_ccg_client_specifications_-_binary_v6_....pdf

https://www.euronext.com/sites/www.euronext.com/files/euronext_cash_regulated_markets_-_ccg_client_specifications_-_binary_v6_....pdf

https://www.euronext.com/sites/www.euronext.com/files/euronext_cash_regulated_markets_-_ccg_client_specifications_-_fix_4.2_in..._1.pdf

https://www.euronext.com/sites/www.euronext.com/files/euronext_cash_regulated_markets_-_ccg_client_specifications_-_fix_4.2_in..._1.pdf

http://www.euronext.com/en/it-documentation/

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SUPPORT 1.4

Please find below the Customer Technical Support Group Helpdesk contact details, which has been established to ensure customer readiness by:

– sending information to customers related to MIFID-II

– answering customers’ questions related to MIFID-II

– assisting customers in their testing and validation on the P-EUA environment

– providing follow-up on customer conformance testing

– assessing customers’ state of readiness with regards to technical changes

– The Customer Technical Support Group (CTSG) will provide support to members in testing in the EUA environments and can be contacted at [email protected].

– Telephone: +33 (0)1 8514 8588

EXECUTIVE SUMMARY: 1.5

Customers are required to verify the conformance of their software solution for CCG and UTP Cash order

entry so as to make sure that they are MiFID II compliant. As communicated in the Info Flash of 6

September 2017, the conformance testing period starts on 27 September.

mailto:[email protected]

https://www.euronext.com/sites/www.euronext.com/files/if170906ca_implementing_mifid_ii_requirements_on_euronext_cash_markets.pdf

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CONTENTS

1. PREFACE ..................................................................................................................................... 2

PURPOSE ................................................................................................................................................ 2 1.1

TARGET AUDIENCE ................................................................................................................................. 2 1.2

ASSOCIATED DOCUMENTS ..................................................................................................................... 2 1.3

Support ................................................................................................................................................... 3 1.4

EXECUTIVE SUMMARY: .......................................................................................................................... 3 1.5

2. OUT OF SCOPE ............................................................................................................................ 5

3. IN SCOPE .................................................................................................................................... 6

4. PROCESS FOR TESTING ................................................................................................................ 7

PROCEDURE: .......................................................................................................................................... 7 4.1

After the test .......................................................................................................................................... 8 4.2

5. DETAILS OF THE SPECIFICATIONS AVAILABLE: .............................................................................. 9

6. INSTRUMENTS ANIMATED ........................................................................................................ 10

7. ENVIRONMENT FOR CONFORMANCE TESTING ........................................................................... 11

8. WEB FORMS ............................................................................................................................. 12

Details on How to Fill in the form : ...................................................................................................... 12 8.1

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2. OUT OF SCOPE

Post-trade systems: No conformance test needs to be performed and no clearing members will be

involved in this test.

Derivative Markets

End Of Day File check

Market Data

Flat File for short code submission

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3. IN SCOPE

Order Entry Field Check including TradingSessionId and TradeTimeSecondsGranularity.

Order Entry Field check for entering short codes via FreeText and ClientId.

Iceberg Rejection check

Schedule for Conformance Test for CCG-UTP order Entry

Dates Euronext Actions Clients Actions

20 Sept 2017

Availability of the MIFID-II changes in UTP Cash in P-EUA

27 Sept 2017

Conformance Tests can be performed in P-EUA

environment

27 Sept - 27Oct

Euronext validates the results sent via web form and issues certificate to clients

Conformance Tests can be performed in P-EUA

environment

27- October End of Conformance validation

13-November

Go-Live in production Environment.

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4. PROCESS FOR TESTING

In order to facilitate customer experience for conformance testing, customers can perform the test themselves . Customers do not need to book a conformance testing slot with a CTSG Analyst. Customers are asked to provide the results of the test in a single dedicated web form. The conformance test takes less than 30 minutes to complete. The aim of the test is to make sure that software is compatible with the new fields which are MiFID II compliant. Customers can take the test any time of the day until 17:00 CEST. After the test is completed we request customers to fill in the web form with the below details :

1. Member code/SLE ID 2. Instrument Used 3. Exact time for the performance of the test. Note that the timings should be entered in local time 4. Supported Message type

Customers are required to place the orders described in the conformance test script on any of the

instruments selected at any time. Euronext will then verify the accuracy of the order placed in the logs and

will provide feedback to the customer with follow-up questions or a confirmation that the test was

successful.

CTSG Analysts remain available during the opening hours of the p-EUA environment to answer customers’ questions on the conformance tests: [email protected] / Phone: +33 (0)1 8514 8588

PROCEDURE: 4.1

The scripts for testing is documented here. Mandatory tests will have to performed by all members as

described below:

- Members who are using Algorithm for Trading - Members who would like to Input Shortcodes at order Entry using FreeText/FreeText_2 or ClientId. - Members who support Iceberg orders. - Members who have migrated to Binary V6 version for Time seconds Granularity.

Customers can use Binary V6 or FIX 4.2 interface in order to receive TimesecondsGranularuty in the Order

Entry execution report.

Timestamping granularity - Euronext Cash Markets services and protocols will be updated to provide

microsecond granularity. Changes have been designed to provide clients with flexibility to choose which

service and protocol to use to extract timestamping granularity:

o CCG Binary (V6) & FIX protocol execution messages

o Drop Copy Binary & FIX protocol messages

o EOD Application Trade file

The changes will be available for all Euronext markets, including the LP quote driven model.

https://connect2.euronext.com/form/utp-cash-mifid-ii-conformance



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Clients who do not wish to receive this time stamp at OE level can remain in the current version of Binary(in

case Binary is being used currently). They can then use EOD files to get this field. Refer to Section 5 for

details. For customers using FIX protocol would automatically receive the TimesecondsGranularity in the

Execution Message.

- Note that as of 27 September the iceberg orders will be in target MIFID-II mode which means that all the iceberg orders that are traded in non-Euro and threshold <10,000 (Quantity*Price) would be rejected.

AFTER THE TEST 4.2

Once customers have completed their conformance test, they are required to complete the web form showing their test results in order to confirm whether the tests have been completed at their side. If the form is filled in correctly, Euronext will send the customer a conformance certificate and authorize the customer access to the production environment. The certificate will be delivered to customers once they successfully conformed on mandatory features. If the form is filled in incorrectly, Euronext will inform the customer where the test failed and invite the customer to run the conformance test for that section.


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5. DETAILS OF THE SPECIFICATIONS AVAILABLE:

UTP- Binary Updates Functionality Algo

Involved

Instructions

Version V2 RM/Cash No Users can remain on V2 version + EOD File for

Timeseconds Granularity

Version V2 RM/Cash Yes Users can remain on V2 version + EOD File for

Timeseconds Granularity + Use of

TradingSessionId for Algo declaration

Version V4 RM/Cash + TCS No Users can remain on V4 version + EOD File for


Version V4 RM/Cash + TCS Yes Users can remain on V4 version + EOD File for



Version V5 RM/Cash + TCS+

French Funds

No Users can remain on V5 version + EOD File for



French Funds

Yes Users can remain on V5 version + EOD File for




French Funds

Yes/No Users can use V6 version, we have

Timeseconds Granularity in the

execution/orderfill message+ Use of


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6. INSTRUMENTS ANIMATED

Below instruments have been animated in such a way that they help customers to fill their orders. They

would be animated to fill in the order book with sufficient lot size. In case customer is not able to find

enough liquidity for order fill they could contact CTSG for help at [email protected].

Market type ISIN Trading Group

Equities FR0012790756

FR0012160653

FR0012160661

FR0012353530

FR0013176070

E2

mailto:[email protected]

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7. ENVIRONMENT FOR CONFORMANCE TESTING

The environment which customers can test from 27 September 2017 on the Euronext Physical User Acceptance Test platform (p-EUA). - Monday, Tuesday, Thursday and Friday between 09:00 and 17:00 CEST - Wednesday between 14:00 CEST and 17:00 CEST

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8. WEB FORMS

Here are the links to the form that needs to be filled after the testing is done .

WebForm for UTP-D MIFID-II Conformance test

DETAILS ON HOW TO FILL IN THE FORM : 8.1

1. YOUR INFORMATION: Please fill in the telephone number in Section 1. Also choose the company

type (member/provider). In case a member is chosen please fill in the member code. Else please select the list of companies you would want to conform for.

2. SCOPE: In Section 2 , please fill in the Member codes , SLE/Login used for test, Instrument/ISIN,Protocol and Date and Time of the Test. Form has to be filled in on the same day when the test is done. - Note that multiple member codes can be entered in case of ISVs/Provider. - Please make sure that the same instrument is used for the entire test.



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3. RESPONSE MESSAGE CHECK: In case you are on Binary Version 6 or FIX 4.2, you should receive TimeSecondsGranularity in OrderFill/Execution Message.

This can be tested by doing an Order Partial Fill and Order Fill . In case you are on a different version please mark it as N/A. And input the version that you use in the comments field. See below screenshot.

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4. ALGO CHECK : The next section on Algo Check needs to be filled in when there is an Algorithm involved. If there is no Algo involved, please mark that N/A.

5.IceBerg Order check needs to be performed only if customers support them. Else this has to be marked as NA in the webform.

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5. Application Messages for Short code Check : If customers decide to send in the short codes via Order entry using the FreeText or FreeText_2 or ClientId field this has to be checked. And the shortcode entered has to be specified in the comments section.

If customer decides to send in the short codes via SLC Flat file this can be marked as N/A.

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