Technical User Group. Paris. 11 March Page 1

Transcription

1 Technical User Group Paris 11 March 2015 Page 1

2 Agenda Introduction Borsa Italiana - New Clearing Front-End Borsa Italiana - SOLA 7 London Stock Exchange Borsa Istanbul Derivatives Turquoise Equities Turquoise 8.6 London Stock Exchange Cross Orders and BTF Q & A Page 2

3 New Clearing Front-End Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 3

4 Functional Enhancements (1) Real time updates will be provided for Trades, Positions, Exercise, Assignments, Intraday Margin Calls and other CC&G clearing functionalities via APIs and the GUI. The current Clearing Front-End manages Derivatives only while the new Front- End will be extended to the other asset classes such as Equities, ETF, Government and Corporate Bonds and Repos with additional tools: Real time updates for trades and positions Query and reporting functionalities Page 4

5 Functional Enhancements (2) A number of sophisticated real time risk controls and alerts will be implemented on trades and positions such as trades limits, positions limits A new real time risk management engine will calculate continuously intraday margins on the overall assets classes generating alerts Risk graphics tools will also be implemented on the GUI for monitoring intraday margins and positions limits A set of Portfolio management functionalities will be provided. For each portfolio, what-if scenarios can be simulated in various asset classes Page 5

6 Functional Enhancements Stop Button General Clearing Members will able to Cancel the active orders/quote of their NCMs and/or Suspend from trading their NCMs This functionality is available through BCS API and GUI Not activated in phase one but at a later stage Page 6

7 Technical Enhancement The GUI will be completely renewed Backward compatibility is guaranteed for API only, so customers will be able to keep using the currently live API layouts even after the go-live of the new Clearing Front-End Customers that decide to use the new APIs for accessing the new functionalities will have to perform the conformance test before the golive The initial system will support a frequency rate higher than the current one The architecture will be scalable and easily extendable according to the volumes growth. Page 7

8 Project Timeline Technical documentation released in July 2014 CDS available since January 2015 Go-Live: Dress Rehearsal in production environment on 9 or 16 May 2015 (tentative) Tentative Go-live Date 25 May 2015 Page 8

9 SOLA 7 Flavio Ravotto Professional Services and Technical Account Manager Client Technology Services Italy Borsa Italiana Page 9

10 SOLA 7 (1) New release of the SOLA platform for the Borsa Italiana IDEM and the London Stock Exchange Derivatives Markets New functionalities: 4 legs Strategies Bundled Orders Self Execution Prevention Third Party Trade Workflow Dissemination of Group Information via HSVF FLEX derivatives End of Recovery on HSVF Page 10

11 SOLA 7 (2) No Backward Compatibility is ensured, all Software Applications connecting to SOLA will have to: implement protocol changes perform conformance testing Together with SOLA 7, the Hardware infrastructure of IDEM market will be upgraded in order to: refresh and strengthening of the infrastructure improve system s capacity reduce system s latency Page 11

12 4 Legs Strategies On the current live version of SOLA, Member Firms can create their own Strategies (FlexCo) with 2 legs On SOLA 7 it will be possible for Member Firms to create their own Strategies (FlexCo) with up to 4 legs This will allow traders to create more complex Strategies like: Butterflies Straddles Strangles Etc. Page 12

13 Bundled Orders Bundled Orders allow traders to group up to 4 committed cross orders on different Instrument Series (one per cross order) within the same transaction to different counterparties (one per cross order), offering certainty of simultaneous execution of all the individual trade reports included in the BO, or no execution at all Bundled Orders will require traders to specify price, size, counterparty and Instrument Series for each order A Bundled Order is executed only if all the legs can be executed, that is if all counterparties have accepted Page 13

14 Bundled Orders Example (1) Counterparty A initiates: 1. Instrument 1 vs. Counter Party B 2. Instrument 2 vs. Counter Party C 3. Instrument 2 vs. Counter Party D BO Request 3 Trades Notify Counterparty B Accept Trade Notify SOLA Trades to HSVF Counterparty C Accept Trade Notify Counterparty D Accept Trade Page 14

15 Bundled Orders Example (2) Counterparty A initiates: 1. Instrument 1 vs. Counter Party B 2. Instrument 2 vs. Counter Party C 3. Instrument 2 vs. Counter Party D BO Request Reject Notify Counterparty B Accept Reject Notify SOLA Counterparty C Accept Reject Notify Counterparty D Reject Page 15

16 Self Execution Prevention (1) Define set of Trader ID Groups (composed of one or more Trader IDs) whose orders cannot cross each other (independently from order capacity) Possible actions: 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 16

17 Self Execution Prevention (2) Each Trader ID can belong to a single SEP group only Existing Criteria for Price Deviation Dynamic Control will not be impacted SEP will be evaluated before Circuit breaker The behavior of the SEP will be determined by the Trader ID of the incoming order. Page 17

18 Self Execution Prevention (3) Exceptions: In the case one of the two orders is a quote, the order expires independently from the action associated to the aggressive order or quote The Reduce and Cancel (RC) criteria will be applied only if both Trader IDs involved are associated with the Reduce and Cancel (RC) criteria, otherwise orders of both Trader IDs are cancelled SEP will not apply to execute minimum quantity orders, including icebergs, Fill Or Kill (FOK) and Fill And Kill (FAK) orders SEP will not apply to internal cross orders (with the same counterparty on both sides) Page 18

19 Third Party Trade (1) An Inter Dealer Broker (IDB) will have the possibility to request the execution of a committed order between two market counterparties (Member Firms) IDB initiates a Third Party Trades between Counterparty A and Counterparty B on Instrument 1 Request Notice Notify Counterparty A Accept SOLA Trades to HSVF Trade Notify Counterparty B Accept Trade Page 19

20 Third Party Trade (2) An Inter Dealer Broker (IDB) will have the possibility to request the execution of a committed order between two market counterparties (Member Firms) IDB initiates a Third Party Trades between Counterparty A and Counterparty B on Instrument 1 Request Reject Counterparty A Notify Accept SOLA Counterparty B Notify Reject Page 20

21 Group Information via HSVF Dissemination via HSVF of information regarding the group configured in the SOLA platform Group description Underlying Symbol (will be empty for Strategies) Delivery Type Default Contract Size Impacted HSVF Messages: GR (Group Status) GS (Group Status Strategy) GC (Group Status Schedule Notice) Page 21

22 Flex Derivatives Member Firms will be allowed to create Flexible Series (create custom Call/Put, Expiries, Strike Prices) These instruments will be hidden, this means that they will not be disseminated through the reference data feed and no order-book will be made available Only Trade Reports transaction are enabled on these products Page 22

23 End Of Recovery A New End of Alignment Message will be added to HSVF protocol to allow customer to recognize the end of recovery after an HSVF reconnection a message will be disseminated as soon as the recovery is completed customer will be able to activate the Recovery via RS gap control (connection message) Page 23

24 IDEM Infrastructural Changes Together with SOLA 7, the Hardware infrastructure of IDEM market will be upgraded in order to: refresh and strengthening of the infrastructure improve system s capacity reduce system s latency Page 24

25 Project Timeline Technical documentation published in December 2014 IDEM CDS available in May 2015 Conformance Tests will start in June 2015 IDEM Go-Live: end of Q3/beginning of Q Page 25

26 Contacts Client Technology Services Italy Technical Account Management Telephone: /333/348 Clients-Services@borsaitaliana.it Service Desk Toll Free: From mobile: Service-Desk@borsaitaliana.it Page 26

27 SOLA 7 LSEDM Update Don Mucha Manager, Technical Account Management and Market Access Client Technology Services UK London Stock Exchange Group Page 27

28 LSEDM SOLA 7 Timelines Activity Date Customer Dress Rehearsal 1 (Mandatory) 7 March 2015 Customer Dress Rehearsal 2 21 March Production Go-Live 30 March The dress rehearsal will also include an alternative site failover test. While the ASR test is not mandatory, customers are encouraged to attend. 2 Production go-live is subject to internal testing and customer readiness. Customers who require Self Execution Prevention (SEP) enabled for the dress rehearsal or production go-live should contact their Technical Account Manager. Final readiness sign-off should be provided to the Technical Account Manager prior to production go-live. Page 28

29 BIST30 Index Derivatives on LSEDM Don Mucha Manager, Technical Account Management and Market Access Client Technology Services UK London Stock Exchange Group Page 29

30 Executive Summary LSEG signed a derivatives partnership agreement with Borsa Istanbul (BIST) under the terms of which London Stock Exchange Derivatives Market (LSEDM) will be able to offer trading in futures and options on the BIST 30 Index of leading Turkish stocks, cleared via LCH.Clearnet. Main objectives: 1. Partner with Borsa Istanbul to foster the development of Turkish capital markets and give international exposure to Turkish derivatives products via LSEDM as international London-based gateway Provide access to Turkish derivatives without a need for physical presence in the local market (currently required to operate in Turkey) Utilize London Stock Exchange Group s infrastructure, from trading (DMA, Market Maker protection, etc.) to clearing services, through its internationally recognised Clearing House, LCH.Clearnet 2. Complement the Emerging Market products offering on the LSEDM, currently focused on Russian names Page 30

31 Growth potential of Turkish financial sector and equity market is significant Strong growth of Turkish derivatives market since launch but still significant upside as its size still compares with smaller EMs (Taiwan, Poland), with low penetration of ETD Traded volume 2,500 2,000 1,500 1, BIST-30 Index options 16,000 14,000 12,000 10,000 8,000 6,000 4,000 2,000 - Open Interest Derivatives daily average turnover in EMs (US $bl - from last triennial Central Bank survey by BIS) Dec-05 May-06 Oct-06 Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Open Interest Volume Traded volume - Millions BIST-30 Index Future Opeh Interest - Thousands Open Interest Volume Source: BIS, Bloomberg, Borsa Istanbul Page 31

32 Contract Overview (1/2) [Subject to Regulatory approval] Parameter BIST-30 Futures/Options on LSEDM BIST-30 Futures/Options on Borsa Istanbul Same? FTSE 100 Index Futures/Options on LSEDM Underlying BIST-30 Price Index divided by 1000 FTSE 100 Index Trading Hours London Time for Orderbook 07: London Time for Orderbook With a break between London Time London Time Currency Turkish Lira (TRY) British Pound (GBP) Tick Size Futures: Options: 0.01 Futures: 0.5; Options: 0.5 Contract lifecycle February, April, June, August, October and December (Contracts with three different expiration months nearest to the current month shall be traded concurrently. If December is not one of those three months, an extra contract with an expiration month of December shall be launched.) 4 nearest Quarterly expiries of the March, June, September, December expiry cycle Expiration Day Last Trading Day of the Expiration Month. In case the domestic market (Borsa Istanbul) is closed or open half day due to an official holiday, Expiration Day shall be the preceding Trading Day 3 rd Friday of Expiry Month Expiration Settlement Price (EDSP) The final settlement price of BIST 30 futures contracts shall be calculated by weighting of the time weighted average of the last 30 minutes of continuous auction in the equity market (in the second session) and closing price of the index with 80% and 20%, respectively. The calculated weighted average is divided by 1000, rounded to the nearest price tick, and called as the final settlement price 1 [exact wording to be confirmed] Value of the FTSE 100 Expiry Index as calculated by FTSE at on the Expiration Day following the LSE s intraday auction (rounded to the nearest 0.5 Index points). DISCLAIMER: LSE has entered into a license agreement with BIST to be permitted to use the BIST 30 Index that BIST owns rights in, in connection with the listing, trading and marketing of derivatives products linked to the BIST 30 Index. BIST makes no warranty, express or implied as to the accuracy, completeness, merchantability, fitness for a particular purpose or the results to be obtained by any person or any entity from the use of the BIST 30 Index, any intraday proxy related thereto or any data, included therein, and cannot be held responsible for any loss or damage arising from any faults failures delays omissions of BIST30 Index in connection with the trading of any contracts, or for any other use.

33 Contract Overview (2/2) Trading Calendar Borsa Istanbul and LSEDM do not share exact same trading calendar. When Borsa Istanbul is closed, LSEDM Turkish segment is closed (example: May 1 st, Ramadan Feasts etc, National Turkish Holiday). When Borsa Istanbul is open, LSEDM is open, with some exceptions: Easter (Good Friday and Easter Monday), Spring Bank Holiday (unless it is the last day of month and so, expiry day), Christmas Day, Boxing Day, on which day LSEDM is closed. On December 24 th and December 31 st, the Turkish segment of the LSEDM will be open for a full trading day (no Half Day, to be in line with local market). Copy of Trading Calendar will be made available on the LSE s website when confirmed. Flex contracts will be available on LSEDM (not available on Borsa Istanbul); members will be able to flex expiry date (futures and options) and strike price (options only). Page 33

34 Turquoise Release 8.6 Don Mucha Manager, Technical Account Management and Market Access Client Technology Services UK London Stock Exchange Group Page 34

35 Turquoise Release 8.6 New functionality being introduced in Release 8.6 includes: Common Symbol Field Length Increase TradeMatchID Encoding Change New Dark Book Execution Instructions Enhanced Execution Instruction and TIF Behaviour (including new Qualifying Block Order for Turquoise Block Discovery ) Optional Dark Book Member Matching (pending regulatory nonobjection) Sponsored Access Enhancements Page 35

36 Common Symbol Field Length Increase In order to support the on-boarding of new markets on to Turquoise the Common Symbol field length will change from 6 to 8 characters. This change will affect the FIX and Native interfaces as well as the MITCH multicast feed. Where necessary, customers should ensure their Turquoise interfaces and downstream applications can handle the field length increase. Page 36

37 TradeMatchID Encoding In order to support case insensitivity in some downstream systems the Turquoise TradeMatchID encoding will change from base 62 to base 36. This will impact customers who are currently decoding TradeMatchID sent on the MITCH multicast feed. This will also impact customers who reconcile between TradeMatchID sent on the FIX interfaces against TradeMatchID sent on the MITCH multicast feed and Native interfaces. Customers are reminded that Turquoise use a G offset when encoding to base 36. Page 37

38 New Dark Book Execution Instruction The new execution instruction Turquoise Uncross TM then Continuous allows orders to be parked until the next Turquoise Uncross TM. After the Turquoise Uncross TM, any remaining quantity will be eligible to trade during continuous matching and participate in subsequent Turquoise Uncross events until expiry. A new enum (6) is added to Exec Instruction field of New Order and Order Cancel/Replace Request messages in Native Gateway. A new enum (w) is added to ExecInst (18) field of the New Order, Execution Report and Order Cancel/Replace Request messages in FIX Gateway. A new enum (w) is added to ExecInst (18) field of the Execution Report in Drop Copy (Execution Report) Gateway. Page 38

39 Enhanced Execution Instruction and TIF Behaviour TIF/ Execution Instruction Current Behaviour New Behaviour GFA - Turquoise Uncross Only Submitted between a Call Market and Turquoise Uncross. GFA Turquoise Uncross Only Submitted between Turquoise Uncross and the next Call Market. GTT/GTD Turquoise Uncross Only Submitted between a Call Market and Turquoise Uncross. GTT/GTD Turquoise Uncross Only Submitted between Turquoise Uncross and the next Call Market. Takes part in the Turquoise Uncross after the next Call Market, any remainder expired after the uncrossing. Takes part in the Turquoise Uncross after the next Turquoise Uncross, any remainder expired after the uncrossing. Takes part in the Turquoise Uncross after the next call Market and subsequent Turquoise Uncross events until expiry time is reached. Takes part in the next Turquoise Uncross, and subsequent Turquoise Uncross events until expiry time is reached. Take part in the next Turquoise Uncross any remainder expired after the uncrossing. Order immediately expires. Takes part in the next Turquoise Uncross, any remainder will persist, participating in subsequent Turquoise Uncross until expiry time is reached. Page 39

40 Optional Member Priority Matching Member Priority Matching within the Turquoise Midpoint Dark Book and Turquoise Block Discovery, subject to regulatory non objection. Member Priority Matching is optional functionality whereby members may choose to be configured to enable their Turquoise Midpoint Dark Book and Turquoise Block Discovery orders to first check for matching possibilities against their own orders in size then time priority before then continuing with any unexecuted size to check for matching possibilities against orders of other members in size then time priority, when selected to aggress the counter-side of the book. No development work is needed. The functionality is enabled at firm level by Turquoise Market Operations. Customers are also reminded of existing post trade Internalisation functionality which compliments member priority matching. Feedback on the market consultation Member Priority Matching in the Turquoise Midpoint Dark Book and Turquoise Block Discovery to be provided on or before 6 March 2015 to sales@tradeturquoise.com. Page 40

41 Sponsored Access Enhancements Changes will be made to the behaviour of the Maximum Gross Consideration Exchange Level Control for the Turquoise Sponsored Access functionality. Currently a 0 (zero) value disables the Maximum Gross Consideration validation meaning customers need to specify at a minimum a value of 1 to trigger the Maximum Gross Consideration validation. In Turquoise Release 8.6, the Maximum Gross Consideration validation is now enabled for a value of 0 (zero) thereby rejecting all incoming orders for the Sponsored User. Customers will be able to receive alerts when a Sponsored User nears a maximum gross consideration breach. Customers should contact their Technical Account Manager to enable this functionality. Page 41

42 Certification & Timeline Turquoise Release 8.6 has been available on CDS since 29 January Clients are reminded that all Turquoise applications (FIX, Native, Post Trade, Drop Copy) will need to be recertified prior to the first customer dress rehearsal. All MITCH Replay/Recovery applications will need to be recertified. MITCH multicast applications must be tested and signed off by customers. Activity Date Customer Dress Rehearsal 1 (Mandatory) 14 March 2015 Customer Dress Rehearsal 2 28 March 2015 Production Go-Live 13 April 2015* * Production Go-Live is subject to customer readiness and internal testing. Page 42

43 Introduction of Cross Orders and Block Trade Facility (BTF) for ETFs and ETPs Philippe Teillet Technical Account Manager Client Technology Services UK London Stock Exchange Group Page 43

44 Cross Orders & BTFs - Overview The London Stock Exchange will introduce Cross Order and Block Trade Facility (BTF) functionality for Exchange Traded Funds (ETFs) and Exchange Traded Products (ETPs) traded on SETS and the ETF Euroclear Bank trading services. The new order types will allow members to bring off-book trades (OTC) on-book for the purpose of real time order book price validation, automated trade reporting, and clearing. BTFs are differentiated from Cross Orders in terms of trade size. For BTFs, there is a set minimum quantity based on Exchange Market Size (EMS). Trade price validation: o Cross Order: trade price must be within the best bid/offer spread. o BTF: trade price must be within the best/bid offer spread plus/minus an additional percentage. Page 44

45 Cross Order & BTF Types Internal (Intra-bank) Both orders are entered by a single member in one message. Once a Cross/BTF order is accepted, the 2 sides will immediately be matched and the trade will be sent for clearing and settlement. The trade will be advertised via market data in the MITCH Trade message and GTP Trade Cross message. Committed (Inter-bank) Two different orders are entered by two different London Stock Exchange members via two different messages. Once a Committed Cross/BTF order is accepted, the system will check for a corresponding order with matching Cross ID. If no match is found, the order will be parked. The parked order will not be added to the order book or advertised via market data. Once the other side of the trade is received, it will be matched immediately and sent for clearing and settlement. The trade will also be advertised via market data in the MITCH Trade message and GTP Trade Cross message. Page 45

46 Cross Orders & BTFs - Summary Cross Order Type Internal Cross Internal BTF Committed Cross Committed BTF Description A dual sided order, sent in one message, agreed within a single member firm that will execute with each other priced at or within the visible best bid and best offer spread. A dual sided order, sent in one message, agreed within a single member firm, that will execute with each other priced at a configurable percentage above or below the visible best bid and offer. Minimum size required. A single sided order, agreed or identified by two different member firms, that will execute with the other side of a cross order priced at or within the visible best bid and best offer spread. A single sided order, agreed or identified by two different member firms, that will execute with the other side of a BTF order priced at a configurable percentage Above or below the visible best bid and offer. Minimum size required. Page 46

47 Technical Implementation Only DAY TIF allowed for Internal and Committed Cross/BTF orders. Cross/BTF order entry will be allowed during Continuous Trading ONLY. Order Cancellation/Amendment o o o o When submitted, an Internal Cross/BTF Order cannot be cancelled by the submitted member firm or market supervision as it will immediately result in a trade or a rejection. When submitted, a Committed Cross/BTF Order which is still not matched (being the first order) can be cancelled by the submitted member firm or market supervision. It is not possible to amend Cross/BTF orders Member firms supporting the Cross Order functionality must also support the cancellation of an on-book trade via the Post Trade gateway. Page 47

48 Impact on London Stock Exchange Interfaces (1/2) FIX Trading New Order Cross new message Cross Order Cancel Request new message Execution Report 3 new tags: Cross ID, Cross Type, OrigCrossID Native New Order Cross new message Cross Order Cancel Request new message Execution Report message Container field, new value Cross Order Post Trade Trade Capture Report (server Initiated) 2 new tags: Cross ID, Cross Type Drop Copy Execution Report 3 new tags: Cross ID, Cross Type, OrigCrossID Page 48

49 Impact on London Stock Exchange Interfaces (2/2) The following changes will impact all customers processing multicast data and the XLON Instrument reference file directly from London Stock Exchange. MITCH Trade message: current reserved field will be used to advertise the cross type. Group Ticker Plant Trade Cross message: message already exists and disseminated on Borsa Italiana channels. This message will be disseminated on London Stock Exchange channels. London Stock Exchange Reference Data - XLON Instrument file 1 column name changed 3 FIX/FAST columns have been removed 4 additional columns added Page 49

50 Enablement & Certification Cross Orders and Block Trade Facility will be available on CDS on Friday 27 February. Customers should contact their Technical Account Manager to be enabled for the new functionality. Customers supporting the new functionality will need to certify before go-live. All customers will need to ensure that they are ready for the changes implemented on the MITCH and GTP multicast feeds, and the changes to the XLON Instruments file. Sign-off must be provided by all customers to their Technical Account Manager before go-live. The Production go-live date is expected to be late April/early May, subject to customer readiness, and will be confirmed in due course. Page 50

51 Additional Information and Contact Details The Service & Technical Description document for Cross Orders and BTF is available at: The updated Millennium Exchange technical documents are available at: Technical Account Management team: Page 51

52 Q & A Page 52