Technical User Group - Borsa Italiana · both orders will instead be deleted. • Self Execution...

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Technical User GroupWednesday 23 January 2013

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Agenda

• Introduction

• London Stock Exchange – Client Technology Services – UK Changes

• London Stock Exchange – Millennium Exchange Enhancements

• London Stock Exchange - Real Time Information Services - Group

Ticker Plant Project Update

• Turquoise Derivatives, Oslo Bors Derivatives & IDEM - SOLA

Enhancements

• Oslo Bors – Burgundy Millennium Migration

• Q & A Session

Client Technology Services - UK ChangesBrian Janganant

Head of Client Technology Services UK

Client Technology Services – UK re-organisation

• What have we changed

– The previous venue based team structure has been consolidated into three

functional teams that will provide services across all London venues. You will

have the same contact for London Stock Exchange, Turquoise Equities and

Turquoise Derivatives and the FIX Gateway.

– We have reduced the number of phone numbers and email addresses that

clients need to remember. These changes will be effective from 1st

February 2013.

– We are standardising the customer on-boarding processes so that clients

have the same user experience regardless of the venue they are connecting

to.

• Why have we re-organised

– To improve the customer experience and strengthen the support we can

offer.

– To align ourselves with the business to better support future growth

strategies.

– Better position ourselves to support group wide products.

Incident Management / Support

for Live Service and CDS

Customer Setup for the Live

Service and for CDS, Certification

and Connectivity Testing

Functional Support, Technical

Queries, Project Updates,

Customer Readiness and on going

Technical Account Management

Technical Account

Management

Market Access

Client Support

London Stock Exchange

Turquoise

Equitie

s

Turquoise

Deriv

ativ

es

FIX Gateway

Client Technology Services - UKNew Team Structure

CTS-UK

Brian Janganant

+44 (0)20 7797 [email protected]

Mat Saunders


Don Mucha


Technical Account Management Team


Market Access Team


Client Support Team


Or you can contact your TAM directly

Client Technology Services - UKContact Details

Live Connectivity (LCON) Changes

• What is an LCON

– The LCON test verifies connectivity between a customer’s systems and the

Exchange’s systems, in readiness for live service operation.

– It’s a mandatory test whenever a new CompID / Native User ID is added or

when IP address changes have been made.

• Why are we making the changes?

– To simplify and speed up the on-boarding and customer migration processes.

– To align the connectivity process across all London based venues.

Live Connectivity (LCON) Changes

• The new process* when connecting to the London Stock Exchange venue

– Market Access will generate and send CompID / User ID details to the

customer as part of the enablement process (as is the case today).

– Customers will then be required to perform a successful telnet. For

assistance, please contact the Client Support team.

– Once a customer has performed a successful telnet, they should notify the

Market Access team via email. The Market Access team will then un-suspend

their CompIDs.

– Once a CompID has been un-suspended, customers that are unable to logon

should contact the Client Support team.

*Some connectivity scenarios may differ from the above (e.g. new client connectivity).

More detailed information including all scenarios will shortly be made available on our

Technical Library:

www.londonstockexchange.com/products-and-services/technical-library/home/technical.htm

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Millennium Exchange EnhancementsDavid Smith

Equity and Derivatives Markets

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Millennium Exchange Enhancements

An Overview

• The London Stock Exchange Group Millennium Exchange systems are being upgraded to

bring functional, performance and operational enhancements to London Stock Exchange,

Borsa Italiana and Turquoise.

• Functional enhancements include:

• iceberg order enhancements

• optional self-execution prevention

• visible or hidden indicator on passive order Execution Reports

• introduction of Closing Price Crossing Session on Borsa Italiana (subject to final

confirmation).

• Performance enhancements reducing the number of trading latency outliers.

• Operational enhancements include the convergence of code sets across London Stock

Exchange Group markets for greater operational efficiency and improved release

management.

• Customers should note that this release decommissions the majority of the FIX/FAST

market data services with the exception of RNS.

• The new release will be available in CDS for Borsa Italiana and London Stock Exchange

this quarter, with Production go-live in Q2 2013. Turquoise to be released in Q2 on CDS

and Q3 in Production.

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Customer Impact

Mandatory Protocol Changes

• Native Trading Gateway

• Message length of the Execution Report will increase to support Public Order ID.

• Type of Trade Field being added to Execution Report to indicate whether the

executed portion of a passive order is visible or hidden.

• FIX Gateway, Drop Copy Gateway, Post Trade Gateway

• New FIX tags being sent in Execution Report messages

• Tag 278 will contain Public Order ID

• Tag 20000 will contain Type of Trade

• Customers must ensure their software can support the new tags.

Optional Protocol Changes

• New Messages and tags added on both Native and FIX to support entering and

cancelling of Cross Orders (in preparation for later functional release).

Certification Policy

• Mandatory re-certification for all Native Trading Gateways.

• Any other software requiring a code change will also need to be re-certified in

accordance with the general London Stock Exchange Certification Policy.

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High Level Timeline

This Quarter

• London Stock Exchange and Borsa Italiana customer documentation to be issued.

• New release to be deployed to CDS environment.

• London Stock Exchange Customers will be given a minimum of 3 months between

CDS and Go-Live.

Q2 2013

• London Stock Exchange and Borsa Italiana go-live with new release.

• Borsa Italiana will go-live before London Stock Exchange.

• New release to be deployed to Turquoise CDS environment.

Q3 2013

• Turquoise go-live with new release.

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Introduction of Iceberg Order Enhancements

Driver/Description Potential Client Impact

Currently with respect to Iceberg orders:

1. The executions and the order book updates for

a single iceberg order are disseminated with

the same Order ID.

2. The executions and the order book updates

related to iceberg orders are disseminated

using the ITCH Order Executed with Price/Size

message.

3. The replenished quantity of iceberg orders is

fixed as the initial disclosed size.

To improve this functionality, the following

changes are to be introduced:

1. A new Public Order ID for each peak.

2. Use of standard Order Executed and Add Order

messages.

3. Optional randomisation of peak size is being

developed for London Stock Exchange and

Turquoise (exact timing of introduction to be

confirmed).

1. The introduction of the Public Order ID

is mandatory. Participants must use

this ID to relate their own orders to

market data, whilst the existing Order

ID will remain and provide a common

code for a single iceberg order.

2. Order Executed and Add Order

messages will now be used for iceberg

peak refreshes with each new peak

refresh treated as if it is a new limit

order.

3. When introduced, randomisation will

be restricted to vary only between a

pre-determined % range set at the

trading parameter level.

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Introduction of Optional Self-Execution

Prevention

Driver/Description Potential Client Impact

• Currently, participants who place a buy and

corresponding sell order in a single security at

interacting prices will trade with themselves

(Self Execution).

• On London Stock Exchange and Turquoise, firms

that wish to avoid self-execution will now be

able to register one or more of their own

Native UserIDs or FIX CompIDs as a single Self

Execution Prevention (SEP) group. Where 2

orders from the same SEP group would

otherwise execute against each other, one or

both orders will instead be deleted.

• Self Execution Prevention (SEP) will be

entirely optional.

• Users will be provided full details of

SEP rules and messaging before CDS go-

live.

Group Ticker Plant

Phase 2 Overview

Technical User Group - London

Ed Rainer

Group Product Manager

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Introduction

• Group Ticker Plant Phase 1 successfully went live on December 3 2012. This Phase

introduced the following:

for London Stock Exchange and Borsa Italiana (including IDEM) markets.

• Phase 2 of the Group Ticker Plant will introduce a full-depth incremental service for

both London Stock Exchange and Borsa Italiana markets. The Group will also introduce

Turquoise Equity, Turquoise Derivatives and MTS markets onto the Group Ticker Plant

platform.

• Phase 2 service lines will be introduced through a number of sub-phases; this is done in

an effort to minimise both Group and customer risk. London Stock Exchange services

will be introduced first, closely followed by Borsa Italiana (including IDEM) services,

Turquoise and finally MTS markets.

• Customers are reminded that only FIX-FAST and MDF/DDM-Plus are confirmed as being

decommissioned at this time. Level 2-ITCH and HSVF services are unaffected.

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Phase 1.1

• Ahead of Phase 2 the Group still has much work to do! We are currently completing

testing for our FTSE Low Latency service line and Customer Dashboard.

• Group Ticker Plant guides will be updated shortly to reflect the imminent launch of

these services.

• FTSE Low Latency will be available to all LSEG clients on our existing networks.

• The FTSE Low Latency Index series are the lowest latency, tick by tick UK index range.

• Whilst at go-live only the FTSE100 Low Latency index will be calculated, the Group has

plans to increase the scope of the Low Latency index series in due course.

• Customers should contact FTSE for further information on either policy or commercials

for this new product.

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Phase 2 - Protocol

• The majority of Group Ticker Plant message specifications and protocol characteristics

will remain unchanged between currently live product and Phase 2 – this includes both

real-time multicast and TCP/IP replay and recovery services. Additional values may be

added to some existing fields to support Turquoise and MTS markets.

• The Phase 2 Incremental service whilst disseminating full order book depth, will also

disseminate reference data, instrument status, statistical information and post-trade

information.

• Phase 2 incremental services will see additional standalone messages introduced to

support Group Ticker Plant data publication, namely:

• Add Order Incremental – sent to indicate additional orders being added to

the book;

• Delete Order – sent to instruct subscribers to remove an order from the

book;

• Modify Order – sent to instruct subscribers to update price/size of an order.

• Trade information will continue to be broadcast through Phase 1 message libraries. As

such, order book and trade management will be separately communicated (there will

be no concept of Order Executed with Price Size).

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Phase 2 - Statistics

• Phase 1 introduced a rich Group Ticker Plant statistics package, including: Trade

High/Low, 52-week Trade High/Low, Volume, VWAP, Number of Trades and Turnover.

• Official Opening and Closing Prices will be calculated by the Group Ticker Plant and

communicated to customers. Currently, these statistics are redisseminated by Group

Ticker Plant but not calculated. The derivation logic of these statistics will be similar

as today.

• Our Statistics package (Volume, VWAP, Number of Trades, Turnover) will be reduced to

4 implied decimal places from the existing implied 8 decimal places. This will ensure,

during periods of high trading volume, that our existing field lengths are not overrun.

• Indicative Auction Information will be fully supported for London Stock Exchange

markets – this includes Imbalance Quantity and Imbalance Direction which are not

currently provided.

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Phase 2 - Architecture

• The internal product architecture supporting Phase 1 and Phase 2 is different. Phase 1

Group Ticker Plant delivered significant functional uplifts versus that of our legacy

real-time market data solutions; however, Phase 1 was not anticipated to deliver

performance improvements. Phase 2 aims to deliver the performance improvements to

our customers.

• Phase 1: the Group Ticker Plant is subscribed to existing Level 2 ITCH gateways and

SOLA RTF feeds, enriching data prior to redistributing in the Group Ticker Plant multi-

asset class protocol.

• Phase 2: the Group Ticker Plant will connect directly into the Millennium Exchange

matching engines, leveraging the performance of hardware accelerated normalisation,

book build, enrichment and subsequent dissemination. This will circum-navigate

existing software processing modules, feed handlers and internal distribution engines.

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Phase 2 – Instruments

• Currently Group Ticker Plant provisions a GTP Instrument ID for each and every

instrument on the solution. No instrument consolidation or normalisation is performed.

Most instruments are currently unique, but through the introduction of Turquoise

markets in Phase 2, instruments may be traded across multiple venues and all

supported on the Group Ticker Plant.

• As per section 4.3.2 of GTP001 – Product Guide, ‘similar’ instruments will be allocated

the same GTP Instrument ID. Customers should manage the order book, trades,

statistics and other real-time information through a combination of both the GTP

Instrument ID and Source Venue.

• Instruments will be classed as ‘similar’, and therefore carry the same GTP Instrument

ID if the following 4 attributes are the same across source venues: ISIN, Currency,

Primary Market and Country of Register. These attributes have been identified

following significant internal discussion and industry review.

• The following Source Venues will exist on Group Ticker Plant: London Stock Exchange,

Borsa Italiana, Borsa Italiana – IDEM, Turquoise Equity– Lit Book, Turquoise Equity– Dark

Book, Turquoise Derivatives and MTS.

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Communications

• The Group Ticker Plant project has provisioned a number of key guides in an

attempt to facilitate client migrations from legacy services to new Group Ticker

Plant services.

• The Group Ticker Plant project will not use Service Announcements or BItClub as

the primary method of communicating with clients. Clients should ensure they are

registered on the project mailing list – available on the project microsite.

Identifier Guide Title Status

GTP001 Product Guide Now available

GTP002 Technical Guide Now available

GTP003 Statistics Guide Now available

GTP004 Parameters Guide Now available

GTP005 Testing Guide Now available

GTP006 External Sources Guide Now available

GTP007 Display Guide To be published

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Customer Testing

• The Group is expecting to confirm that Dress Rehearsals will, unlike Phase 1, feature as

part of customer readiness prior to the go-live of Phase 2 services. Customer Dress

Rehearsal dates will be communicated as soon as they are confirmed, providing

customers maximum opportunity to schedule resource.

• Customer Dress Rehearsals are anticipated to include a High-Volume period of testing;

volumes will be both artificially created by our QA teams and by participating

customers. This period will provide an opportunity to test internal Group systems but

also provide customers an opportunity to load test solutions.

• The CDS environment is anticipated to be updated to support Phase 2 in late April

2013.

• Those customers who successfully certified applications as part of Phase 1 or Phase 1.1

are not anticipated to have to recertify the same application codeset if used to

interact with Phase 2 service lines. Please refer to the Group’s re-certification policy

or contact your Technical Account Manager for further guidance.

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Timeline

• The Group Ticker Plant timelines are driven by a number of factors, namely

customer readiness, application testing (both customer and QA), environment

readiness and other Group critical-path projects.

• The indicative dates below are provided on a best endeavours basis and in an

effort to assist our customers schedule resource appropriately.

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Additional Information

Phase 1 Bandwidth Requirements

100Mb is considered suitable for all Group Ticker Plant service lines introduced through

Phase 1 – this does not include legacy market data services such as FIX-FAST, Level 2-ITCH,

HSVF or MDF/DDM-Plus.

Low Bandwidth Solution

The Group is conscious of the current economic climate and appreciates that some

customers may not wish to provision 100Mb circuits to support Phase 1 services. As such,

we are currently engaged with our development team on a GTP light-bandwidth solution

which will see bandwidth requirements for Italian data sets reduced. Further details will

be provided as soon as we are able.

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Further Information

• For further information clients should contact their usual Group Contact.

• Technical Enquiries can be forwarded to the Client Technology Group (UK):

Telephone: (+44) 207 797 3939

Email: [email protected]

• Media Enquiries can be forwarded to:

Telephone: (+44) 207 797 1222

Email: [email protected]

• Project microsite provides further information and mailing list registration:

www.londonstockexchangegroup.com/oneproductinfinitepossibilities

London Stock Exchange SOLA Project UpdateSteven Fox

Technical Account Manager

SOLA Functional Enhancements

• New SOLA functional enhancements for IDEM, Turquoise and Oslo Bors

derivatives markets.

• Key Enhancements

– Introduction of cross/committed orders (incl. block size) on strategies.

– Dissemination of the “At-The-Money” series for IDEM, Turquoise and Oslo

Bors derivative markets.

– Addition of new trading currencies for Turquoise and IDEM derivative

markets.

– Enhanced controls in setting of logical connections.

– Technical documents available on Turquoise Derivatives Website.

• Customers should note that this release of SOLA is not backwards

compatible.

• Functional enhancements have been available in CDS since 3 December 2012.

SOLA Protocol Modifications

SOLA Project Timelines & Certification

• SOLA Project is very much on track.

• Turquoise/Oslo Production Key Dates

• IDEM Production Dress Rehearsal Sat 9th Feb 2013 (Mandatory). Other dates

TBC.

• Your application must be certified by the 1st Dress Rehearsal (A Turquoise IT

Notice will be sent out in due course with details surrounding the day’s Dress

Rehearsal activities).

• Certification is only required once and will be valid for use across IDEM,

Turquoise and Oslo Bors derivatives markets.

Date Event

Sat 16 Feb 2013 Dress Rehearsal (Mandatory)

Sat 23 Feb 2013 Dress Rehearsal (Optional)

02 March 2013 Go-Live Weekend

04 March 2013 Production Live Date

IDEM, Turquoise and Oslo Bors Certification

Process

• Certification Process

– Customers not developing to any of the new functionality will need to complete

a Check List Form for each interface(SAIL/FIX).

– Customers developing to any part of the new SOLA functionality will need to

complete the full conformance test for the relevant interface.

– The checklist form and conformance test documentation are available on the

SOLA-IDEM section of the Borsa Italiana website, link below.

– www.borsaitaliana.it/borsaitaliana/gestione-

mercati/migrazioneidem/migrazioneidem.en.htm

– For customers with access to only the Oslo Bors Market please contact Oslo Bors

to complete either the checklist or full conformance test.

– Customers with access to IDEM & Turquoise should liaise with the Borsa Italiana

Service Desk.

Contact Details

• Client Technology Services - London

London Technical Account Management

Phone: +44 20 7797 3939

Email:

[email protected]

• Client Support Team - London

Incident Management (Live Service and

CDS)

Phone: +44 20 7797 1500

Email:

[email protected]

• Market Access - London

User Setups, Certification Testing,

Connectivity Testing

Email:

[email protected]

m

• Client Technology Services Italy – Borsa

Italiana

Client Services Team

Tel: 02/72426606/647/348

[email protected]

• Client Technology Services Italy – Borsa

Italiana

Service Desk Italy

Toll free: 0080026772000

From Mobile: +39 0245411399

[email protected]

• Olso Support

Phone: +47 22 34 18 18

Email:

[email protected]

Burgundy Millennium Migration

London Stock Exchange, Technical User Group, 23 January 2013

Oslo Børs Extended Nordic Reach

• A competitive and effective alternative in the Nordics

offering a complete Nordic portfolio of the most traded

Nordic instruments

• Common framework and infrastructure - access to

multiple markets in one process

• Streamlined membership process - based on the Oslo

Børs Member Trading Rules (MTR)

• Cost efficient set-up - competitive pricing for clients

• Co-location at the London Stock Exchange facilities

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One Trading Platform – 4 Nordic Markets

Oslo Equities

Oslo Børs listed shares,

equitycertificates, warrants, ETFs, ETNs

Oslo Axesslisted shares

Oslo Fixed Income

Oslo Børs automatch, call, issuingand buy back, telephone

Oslo ABM order entry, manual trade

and telephone

Stockholm Equities

NOMX listedShares, ETFs,

ETNs

SE First North listed instr.

Aktietorgetlisted instr.

Nordic Growth Market (NGM) listed instr.

Stockholm FixedIncome

Swedish Oslo Børs/Oslo ABM listedbonds

•Retail

•Wholesale

•Telephone

Copenhagen Equities

NOMX listedshares

DK First North listed

instr.

Helsinki Equities

NOMX listedshares

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Oslo Børs today: Burgundy to be included:

Burgundy Millennium Migration

• Same location, same platform, same trading

gateways

- Only new segments added

• The Burgundy market will be migrated to the same version

of Millennium Exchange as used in Oslo

- No new functional releases of Millennium planned during the

migration project

- Market data: New single message per packet service for ITCH will be

added

• Oslo Børs and Burgundy will share the same Market Model

documents

- The details of the actual configuration for Burgundy will be included

in separate documents

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Burgundy Millennium Migration, cont.

• Burgundy Millennium launch in Q2 2013

- Migration project started

• Existing connections to Oslo Børs, LSE or Turquoise may be

used for Burgundy

- Customers and network providers should support two multicast

feeds:

- 20Mbps per line for Oslo Børs data

- 30Mbps per line for Burgundy data

• Client may use same enablement (user set up) towards

both Oslo Børs and Burgundy

• Oslo Børs Millennium CDS environment with current test

and disturbance scripts will be continued

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Documentation and communication

• All technical documentation for the Burgundy

Millennium Migration will be based on existing

Oslo Børs Millennium documentation

- Oslo Børs – Trade – Delta – Millennium Exchange

– Technical Documentation

• All important information regarding the migration project,

incl. updates to technical documents, will be posted on the

Delta web

- Subscription service – enter your e-mail address at the website to

receive information

• Technical helpdesk:

- [email protected] / Tel. +47 22 34 18 18

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Q & A Session

Technical User Group - Borsa Italiana · both orders will instead be deleted. • Self Execution...

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