Technical User Group - Borsa Italiana · execute private RFQs only by sending a separate Execution...

Technical User Group Milano

25 June 2018

25 June 2018 London Stock Exchange Group

Agenda


• New MIT Release

• MIT Hardware Refresh & MITCH Decommission

• GTP Update

• Sponsored Access

• Introduction of a second Clearing House (EuroCCP) for MTA,

BIt GEM and ETFs

• ATF segment of ETFplus becomes an MTF

• Q&A


New MIT Release (MIT 9.3)

Flavio Ravotto

Manager, Technical Account Management and Professional Services

Client Technology Services Italy

MIT Release 9.3 – Overview (1)


• Technical Specification will be published in July

• CDS will be available in September 2018

– Legacy CDS (with the currently live MIT version) will be available for tests on the current

production release

• Customer Dress Rehearsals will be organized prior the go-live

• Go-Live in November 2018 (TBC , subject to customers’ readiness)

MIT Release 9.3 – Overview (2)


• The new functionalities that will be delivered together with the release are

– Trade Amendments

– Auto RFQ

• Conformance Test approach:

– mandatory for all proprietary applications/ISVs that implemented submit of RFQ via both FIX

and Native protocols (Conformance Test for RFQ response not mandatory)

– Self Certification for the management of Trade Amendments

Trade Amendments – Overview (1)


• It will be possible for the Trading Venue to decrease the quantity and/or amend the price of a trade (On-book trades, RFQ trades, Cross and BTF)

– For all Retained Trades (that are Trades executed in previous trading days) until S-1

• the Trade Amendment will be disseminated by

– Execution Reports (ER) – only in case of trades amended the same day they have been initially executed

– Trade Capture Reports (TCR)

– Market Data with new Price and/or new Quantity

• Statistics will be re-calculated based on the amended attributes. For retained trades statistics will not be updated.

– GTP will recalculate statistics accordingly

Trade Amendments – Overview (2)


• on MITCH the following messages will be disseminated:

– Trade Message with CANC flag, previous quantity and the previous price

– Trade Message with AMND flag, new quantity and/or the new price

• on GTP the following messages will be disseminated:

– Trade Message with Transaction Time and Date of the original trade, original Price and

Quantity and CANC flag

– Trade Message with Transaction Time and Date of the time of amendment, new Price

and/or new Quantity and AMND flag

Auto RFQ – Overview (1)


• Currently, the Requestor of a Request for Quote (RFQ) can submit and

execute private RFQs only by sending a separate Execution Instruction with a

dedicated message (Manual RFQ)

• With the new release, the Requestor will have the possibility to instruct the

system to automatically execute (under a set of conditions defined by the

Trader) a RFQ (without sending the Quote Response message)

Auto RFQ – Execution Criteria


• Auto RFQ flag: indicates whether the quote is Manual or Automatic

• Limit Price: Limit Price of the RFQ

– can be sent in both Quote Request and Quote Response messages and can be modified using Quote Response message

– for Manual RFQ, if a Quote Response is sent to execute the quote and the Limit Price is not compatible with the best price among Market Makers’ quotes, the Quote Response message will be rejected (RFQ remains active)

• Disclose Side: indicates whether to pass the Side field on to Market Makers

• Clearing Information: Account Type and Order Capacity

• Minimum Number of Quotes: minimum number of Market Maker Quotes to be available for the RFQ to be executed automatically

• Execution Delay: minimum number of seconds since the RFQ is submitted before the automatic execution can be triggered


MIT Hardware Refresh

Flavio Ravotto



MIT Hardware Refresh (1)


• During 2019, the Hardware on which the MIT platform runs will be replaced

• It will impact both Borsa Italiana and EuroTLX

• No changes to Native and FIX Trading Protocol are planned to happen together

with the Hardware Refresh

• Under Review: move to another datacenter (TBC)

MIT Hardware Refresh (2)


• Together with the go-live of the Hardware Refresh, the MITCH service will be decommissioned

– Market Data for markets running on the MIT platform will be disseminated by the GTP and GTP Lite services only

• Customer Dress Rehearsals will be organized prior the go-live

• Technical and Architectural details are close to be finalized and will be provided in due course

• One of the key objectives of the project is to provide customers with a significant improvement of performances and to support new services

Platform Failover (1)


• Currently, the MIT platform runs in Active-Active mode (warm back-up)

– the Secondary (Disaster Recovery) Instance of the Matching Engine is always active and is

aligned in real-time by the Primary one

– In case of Failover/Disaster Recovery the Secondary Instance does not need to be re-

started (warm back-up)

• After the HW refresh, the MIT platform will run in Active-Passive mode

(cold back-up)

– the Secondary Instance of the Matching Engine is not active and needs to be re-started in

case of Failover/Disaster Recovery

Platform Failover (2)


• System will be back available within 30 minutes since the failover invocation

– Markets will be restarted after all the internal checks will be completed

• Rationale:

– Active-Passive mode is the standard functioning for all other LSEG Trading Venues

(including IDEM)

– The alignment of the Secondary Instance in real-time affects performances which can be

improved having a cold back-up failover


GTP Update

Flavio Ravotto



Introduction of FPGA


• During 2019 (together with the MIT HW refresh, TBC), FPGA (Gen3) technology will be

introduced for GTP FDI Multicast Channels (for both Borsa Italiana and EuroTLX)

• No protocol changes are planned to happen together with the FPGA introduction

• Customer Dress Rehearsals might be organized prior the go-live

• Performances will significantly improve

• Further Technical/Architectural details will be provided in due course

• Bandwidth requirement for FDI Multicast Channels >= 1 Gbps (TBC)

Modularization of GTP


• During 2019 a structural change in the GTP architecture will be introduced, in particular vertical silos per market will be introduced in order to better manage different asset classes

• It will be possible that future protocol changes (modification to messages layouts or introduction of new messages) will not go live simultaneously for all the markets (but go-lives may be split in different dates)

• It will also be possible that:

– New messages will be introduced or

– New fields will be added at the end of existing messages

in above cases it will be expected that client applications will be able to manage changes without any software intervention

Feed C


• Together with the MIT HW refresh, as the Matching Engine will not run in

Active-Active mode anymore, the Feed C will no longer be available

• In case of Failover, only the B feed will be available from the Secondary

Datacentre

– This functioning is the same currently in place for IDEM market


Sponsored Access

Flavio Ravotto



Overview (1)


• Some definitions:

– Sponsored User: a non-Member Firm that trades on our markets through a Member Firm (aka Broker)

– Sponsoring Firm: a Member Firm through which a Sponsored User trades

– Exchange Level Controls: controls applied to Sponsored User trading activity set by the Sponsoring Firm

• Sponsored Access allows Sponsored Users to trade (via Native Protocol) under Sponsoring Firm’s Trading Code(s) without passing through the Sponsoring Firm’s Order Management

Systems

• Available on Borsa Italiana MIT markets in 2019 (regulatory approval to be assessed)

Overview (2)


• The Sponsoring Firm is responsible for carrying out due diligence on the Sponsored User to ensure they are fit and proper and is ultimately responsible for all trading activity carried out by the Sponsored User.

• All orders submitted by the Sponsored Users are subject to the same rules and supervision as Member Firms’ orders and to Exchange Level Controls

• Sponsoring Firms will be provided with

– with FIX Drop Copy in order to monitor the Sponsored User

– tools to remotely modify Exchange Level Controls

– the ability to trigger a Kill Switch for a Sponsored User

Borsa Italiana

Overview (3)


Member Firm’s Client

Member Firm/Sponsoring Firm

OMS Deal Capture

Order & Trades

Drop Copy Matching Engine

Sponsored User

Order & Trades

Exchange Level Controls

Sponsored Access

Exchange Level Controls


Exchange Level Control Validation Level

Max Order Value Sponsored User

Max Gross Consideration* Sponsored User

Max Message Rate Comp ID

Restricted Instrument List Sponsored User

Cancel On Disconnect Sponsored User

Kill Functionality Sponsored User

*Ʃ Value of trades executed during the day + Ʃ Value of open orders

NB: the Exchange Level Controls listed above are yet to be confirmed (further details will follow)


Introduction of a second Clearing House

(EuroCCP) for MTA, BIt GEM and ETFs

Flavio Ravotto



Overview (1)


• Today, all trades executed on Borsa Italiana’s cleared trading venues are cleared by CC&G

• Under the terms of Art.36 of MiFIR, a new CCP (EuroCCP) required Borsa Italiana to be

granted access to the data of the transactions (on certain financial instruments) executed on

the MTA, BIt GEM and ETF+ markets of Borsa Italiana, in order to offer clearing services for

these transactions

• Following this request, Borsa Italiana and EuroCCP have cooperated to define the operational

model and technically implement this new service

• This service requires regulatory authorizations and a change of Borsa Italiana’s Rulebook

(ongoing), target go-live date late Q3/beginning of Q4 2018

Overview (2)


• EuroCCP will initially offer clearing services on the following markets, segments and financial instruments:

– Shares, Depositary Receipts and subscription/pre-emptive rights traded on MTA

– Shares and Depositary Receipts traded on the BIt Eq MTF – segment BIt Global Equity Market (BIt GEM)

– ETFs traded on the ETF+ market

Other instruments traded on MTA and BIt GEM (for example, convertible bonds and warrants), TAH, ETCs and ETNs traded on ETF+ and any instrument traded on other Borsa Italian’s markets (MOT, SeDeX, IDEM etc.) will not be available for clearing via EuroCCP

• Nothing will change for the settlement process of these transactions and their related flow of cash payments

Technical Set-Up (1)


• There will not be interoperability between CC&G and EuroCCP

• Clients that want to appoint EuroCCP as their Preferred CCP will be requested to

use new dedicated Trading Comp IDs

– Clients not interested in appointing a Preferred CCP different from CC&G will not be impacted

• When requesting new Trading Comp IDs, Clients will be required to specify the

preferred CCP

– Only one preferred CCP can be associated to a Trading Comp ID

– The same Member Firm may have at the same time some Comp IDs associated to CC&G and

other associated to EuroCCP



• When both the Comp ID that sent the “buy” side and the Comp ID that sent the

“sell” side of a Trade are associated to EuroCCP as preferred CCP, the Trade

will be cleared by EuroCCP

– In any other case (if at least one of the two involved Comp IDs is associated to CC&G as

preferred CCP) the Trade will be cleared by CC&G

– By sending an order via a Comp ID that has EuroCCP as its preferred CCP, it is not

guaranteed that the Trades will be effectively cleared by EuroCCP

– Membership to CC&G will therefore remain mandatory in case of participation to any of

Borsa Italiana’s cleared markets



MIT Market Buyer Comp ID

Preferred CCP EuroCCP

Seller Comp ID


EuroCCP

MIT Market Seller Comp ID

Preferred CCP CC&G

CC&G

Buyer Comp ID




• The effective CCP of an executed transaction (CC&G or EuroCCP) will be provided

in:

– Trade Capture Reports (TCR) messages sent by the Post Trade Gateway (in real-time)

– Reconciliation Reports (T+1)

• Execution Reports (ER) will contain the Comp ID’s preferred CCP and not the effective CCP

– If a Comp ID has EuroCCP as preferred CCP , all ER sent to the Comp ID will contain EuroCCP as

CCP even for trades cleared by CC&G

– Together with MIT 9.3, this behavior will change and ER will contain the trades’ effective CCP


ATF segment of ETFplus becomes an MTF

Flavio Ravotto



ATFund (1)


• By the end of 2018 (target date October 2018), the ATF segment (Open Funds) of ETF+

market will become a Multilateral Trading Facility (MTF) named ATFund

• Market Microstructure (auctions times, trading rules, presence of the appointed operator) will

not change

• Trade Management (NAV disseminated at T+1 via TCR etc.) will not change

• Settlement cycle (settlement at T+3) will not change

• a new MIC Code (ATFX) will be introduced

ATFund (2)


• CDS will be updated with the new ATFund market in early July

• Starting from September 2018 (TBC) ETF+ Members will be requested to apply for ATFund MTF (via Member Portal)

• In order to trade on ATFund MTF, a new set of dedicated Comp IDs (with prefix AT*) will be required, at the go-live of the new MTF:

– Trading activity will have to be moved from the existing ETF+ Comp IDs (ET*) to the new ones (AT*)

– Also Appointed Intermediaries will have to move activity from the existing ETF+ Comp IDs (ET*P*) to the new ones (AT*P*)


Contacts



• Technical Account Management and Professional Services

+39 02 72 42 6 512

[email protected]

• Market Access (configurations, enablements, conformance tests, etc.)

+39 02 72 42 6 668

[email protected]

• Service-Desk (customer support desk)

Toll Free: 0080026772000 - From mobile: +39 02 45411399

[email protected]

mailto:[email protected]




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Technical User Group - Borsa Italiana · execute private RFQs only by sending a separate Execution...

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