BTS Quick Reference Guide Turquoise

Transcription

1 BTS Quick Reference Guide Turquise Manual January 2018 Versin 2.0

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3 Cntents 1 Revisin Histry 4 2 Intrductin Scpe References 6 3 Turquise Turquise Order Bks Turquise Blck Discvery Event Mdel 11 4 MARKET INFORMATION AND TRADING Price Inf Order entry and Blck Indicatin (BI) submissin 15 5 TRADING MANAGER WINDOW 20

4 1 Revisin Histry Date Versin Descriptin Authr 15 th Octber First release Brsa Italiana 12 th May Secnd release Brsa Italiana 28 th April Minr updates and replace f BTS with BTS registered trademark 5 th July Screensht replacement due t Order Type field intrductin Brsa Italiana Brsa Italiana January MIFID II adaptatins Brsa Italiana 4

5 2 Intrductin BTS is a multi market client applicatin that wrks as a trading and infrmatin frnt-end fr equities and derivatives markets. Bth brker and market maker functinality is supprted, as well as additinal functins t help activity cntrl, supervisin and pst trading activities. Algrithmic trading capabilities are als prvided t enfrce sphisticated trading and quting strategies. The fllwing markets are currently supprted: Brsa Italiana Cash Markets Brsa Italiana Derivatives Markets Lndn Stck Exchange Cash Markets Lndn Stck Exchange Derivatives Market Osl Børs Derivatives Market EurTLX Turquise 2.1 Scpe This dcument prvides basic infrmatin t use BTS specifically in respect t Turquise MTF. General infrmatin abut BTS functinality can be fund in BTS Reference guide. Further infrmatin abut specific functins (e.g. authrizatin) can be fund in dedicated manuals available n the BTS page ( 5

6 2.2 References BTS Quick Reference Guide Authrizatin Service Guide 3 Turquise Turquise perates a Multilateral Trading Facility (MTF) with a discrete trading platfrm fr cash equities. Members f Turquise can access the equity platfrm prviding they have the apprpriate pst-trade arrangements in place. The Turquise Equity platfrm ffers the secndary trading f Pan-Eurpean and US equities, Exchange Traded Funds, Glbal Depsitary Receipts, American Depsitary Receipts, Exchange Traded Currency funds and Exchange Traded Cmmdity funds. Turquise Equities cmprises f the Turquise Integrated Order Bk and Turquise Dark Midpint Order Bk, each cvering sme 4,200 securities (including 175 liquid US equities, ETFs, GDRs and ADRs) ver 19 cuntries, including all majr Eurpean markets, Czech, Hungary and the United States. Turquise supprts member-chice f central clearer under an interperable CCP mdel. Turquise als supprts unique features which differentiate it frm ther similar markets, such as Turquise Uncrss. Turquise als perates as an investment firm which is used fr the prvisin f Turquise Blck Discvery. In the fllwing a high level summary is prvided as a shrt reference fr a better understanding f Turquise functinality in the current BTS implementatin. 6

7 Disclaimer: The cntent f this chapter is prvided fr infrmatin purpses nly. In case f discrepancies with fficial Turquise dcumentatin prvided in the fficial surce prvided by Turquise via their website shuld be used and can be accessed fr reference in the link prvided. 3.1 Turquise Order Bks Turquise perates tw discrete Order Bks: The Integrated Order Bk which is transparent n a pre-trade and pst-trade basis The Turquise Dark Midpint Order Bk which is transparent n a pst-trade basis nly Mst f the securities are available fr trading in bth bks, hwever sme are available nly in the Integrated Order Bk. The Integrated Order Bk: supprts cntinuus trading and executes persistent Orders n a Price, Display type, Time pririty basis; is transparent pre-trade and pst-trade, and a full depth-f-bk feed including all displayed persistent rders and all trades are published t Participants and market data vendrs. supprts persistent Order types are Limit Orders (displayed), Iceberg Orders (partly displayed), LIS Hidden Orders (nn-displayed). Supprted nn-persistent Order types, all f which are nn-displayed, are IOC/FAK Orders, FOK Orders and Market Orders. Minimum Accepted Quantity (MAQ) is supprted n nn-persistent Order types nly. 7

8 The Dark Midpint Order Bk is a Dark Price-referencing Order Bk: All trades take place at a Security s Primary-market Midpint Price (PMP). When a well-frmed PMP is nt available, n matching ccurs (e.g. because a Security is in an auctin phase n its Primary market); It executes persistent Orders n a Size, Time pririty basis, and ffers bth Cntinuus and Turquise Uncrss TM trading (see picture belw) which helps achieve larger fill sizes. It is transparent pst-trade but nt pre-trade, and hence nly trades are published. All Orders are nn-displayed. The Dark Midpint Order Bk perates with tw matching mdes: Cntinuus allwing the submissin and matching f bth persistent and nnpersistent Order types Turquise Uncrss allwing the submissin and matching f persistent Order types nly during Turquise Uncrss events, which ccur repeatedly intraday 8

9 Persistent Orders can be designated t trade in ne r bth f Cntinuus trading and Turquise Uncrss, and by default will be eligible fr bth. Orders designated fr Turquise Uncrss nly will nt interact with nn-persistent Orders. This prvides Participants with discretin ver whether t interact with immediacy demanding flw, r t cnstrain interactin t patient flw. Nn-persistent Orders are nly accepted fr Cntinuus trading. 9

10 3.2 Turquise Blck Discvery Intrductin t Turquise Blck Discvery Turquise Blck Discvery facilitates the trading f larger Parent r Blck Orders by seeking and identifying blck matching pprtunities, between Blck Indicatins (BI) (with a quantity abve r equal t the Minimum Indicatin Size (MIS) threshld) and Blck Discvery Ntificatin (BDN). Where matches are identified, Participants are required t cnvert their BIs by submitting firm Qualifying Blck Orders (QBO) t the MTF, designated as eligible fr existing Turquise Uncrss events that already exist as part f the MTF Dark Midpint Order Bk t trade at the Midpint f the Primary Best Bid and Offer (PBBO). The cnversin f BIs int firm QBOs is mnitred by a system f Reputatinal Scring and surveillance which will immediately exclude Participants wh d nt meet the Reputatinal Scre Threshld. Participants that d nt meet the Reputatinal Scre Threshld but want t be re-included must cntact Turquise Client Supprt and meet set criteria. As Turquise Blck Discvery matches are cnsummated in the MTF, Participants using the Turquise Uncrss feature f Turquise Dark Midpint Order Bk, but nt electing t participate in Turquise Blck Discvery, may nnetheless benefit frm additinal liquidity cntributed by thse wh d participate in Turquise Blck Discvery. T access Turquise Blck Discvery, individual BIs/BDNs must be submitted with explicit instructins t participate. It is pssible fr a custmer t access bth the existing Turquise Dark Midpint Order Bk and Turquise Blck Discvery fr a single Order, but this is nt be the default behaviur. Fr Orders sent t Turquise Dark Midpint Order Bk that are nt explicitly flagged fr 10

11 participatin in Turquise Blck Discvery, the characteristics f the current Turquise Dark Midpint Order Bk (including matching lgic, pririty, etc.) d nt change. 3.3 Event Mdel Turquise Blck Discvery fllws the fllwing event flw: 1. Participant s submissin f BIs and BDNs Ahead f a Turquise Uncrss in the MTF, matching f BIs and BDNs t identify pssible blck trading pprtunities. 3. Where ptential matches are identified, request Participants t submit firm QBOs t Turquise MTF via Order Submissin Requests (OSR). 4. Shrt windw fr Participant s submissin f firm QBOs t the Turquise MTF. 5. Matching f rders by Turquise MTF in the Turquise Uncrss. 6. Cmpsite Reputatinal scre is updated with Event Reputatinal Scre. In the fllwing a shrt descriptin abut the steps t be fllwed is prvided, alng with a reference t BTS input elements; a mre detailed descriptin abut BTS usage is given later n in the next main chapters. 1 A BDN is an rder sub type and crrespnds t a live rder submitted t the dark bk and is eligible fr participatin in Turquise Blck Discvery. 11

12 1 Order+BDN/BI submissin: Orders/BIs are entered int BTS via Order Entry/new BI windw. Order entry windw allws users t send an rder + BDN (regular rder + BDN sub type, see picture n left side 1a and 1b ), whilst the new BI windw allws users t send a BI (see picture n right side 2 ). N BDN r BI infrmatin is sent t any ther Participant. 2 BI/BDN matching ahead f a Turquise Uncrss event: On receipt f a Call Market, Turquise Blck Discvery identifies ptential matches where the Minimum Executin Size f the Participant s BI has been met. The cunterparty matching pprtunity culd either be a BDN (crrespnding t a firm rder already in the MTF), r a BI subject t immediate firming-up upn demand. 3 OSR issued t matching BI wners: If a ptential match is identified invlving a BI, the Participant is sent an OSR requesting they firm up (submit) their QBO t Turquise MTF. If the cunterparty matching pprtunity is als a BI, then the cunterparty will als receive an 12

13 OSR and their matched BI will be expired autmatically. N details regarding nature f cunterparty rder+bdn/bi is prvided, n infrmatin is sent t any ther Participant. OSRs messages are received and managed autmatically by BTS servers. 4 QBO submissin t Turquise MTF: OSR recipients have up t 450ms (being the Order Submissin Interval 500ms (+/- 1ms), less a 50ms delay) t submit a firm QBO t the MTF: BTS handles this phase transparently and autmatically fr the user. 5 Orders matching: When the Turquise Uncrss takes place executins are cnfirmed, and un-matched residuals f Orders submitted fr the single Turquise Uncrss nly are expired. Participants receive executin reprts which can be seen in BTS Trading Manager windw. 6 - Cmpsite Reputatinal Scres update: Cmpsite Reputatinal Scres are updated fr each Participant receiving an OSR. Participants are advised f their Cmpsite Reputatinal Scre n the next OSR that they receive, BTS reprts the Scre in the Trading Manager windw. 13

14 4 MARKET INFORMATION AND TRADING 4.1 Price Inf Instrument Selectr Price Inf Price Depth Order Depth Ticker Enter Order The Price Inf windw displays real-time market data fr a set f financial instruments selected by the user and allws rder entry as well. The Price Inf windw can be pened by selecting the crrespnding cmmand in the Market Infrmatin menu. The windw is made up by six fur sectins/areas: Instrument Selectr, the Watcher panes, tw Market (Prices and Orders) Depth panes, the embedded Ticker, and the Orders Entry pane. Detailed infrmatin abut the Price Inf windw can be fund in the BTS Reference guide. In the fllwing specific infrmatin relevant t Turquise market is prvided. 14

15 4.2 Order entry and Blck Indicatin (BI) submissin It is pssible t use pre-defined keys fr quickly activating the Order Entry windw as a separate windw. Specifically, the available shrtcuts fr Turquise instruments are the fllwing: Actin Shrtcuts Buy Order F5 Sell Order F9 New (Buy and Sell) F7 New Trigger Order Shift F7 Buy Trigger Order Shift F5 Sell Trigger Order Shift F9 Turquise Blck Discvery - New BI Alt F7 Turquise Blck Discvery - Buy BI Alt F5 Turquise Blck Discvery - Sell BI Alt F9 The Order Entry windw can be als activated frm the pp-up displayed when selecting the Orders buttn (see side picture). 15

16 Upn selectin a windw appears where it is pssible t enter Order Data and trigger an rder event: Sme fields are related specifically t Turquise rders, in the fllwing sme infrmatin is prvided t enable the user t relate the field as displayed in the Order Entry windw with the Turquise Trading Service Descriptin dcumentatin. Fr mre detailed infrmatin please refer t Turquise dcumentatin : Target Bk: each instrument is represented n tw distinct bks, and in additin Dark Lit Sweep ruting instructin: Integrated Turquise Plat TM Dark Midpint Dark Lit Sweep Turquise Lit Auctins Exec Instructin: (Dark Midpint nly) states the trading phase(s) the rder will participate, by default this field is blank that is accepted as Cntinuus + Turquise Uncrss by the Market: Cntinuus nly: Orders submitted will be pen t immediate executin against cntra persistent Orders during Cntinuus Trading; 16

17 Turquise Uncrss nly: Can be selected by Participants n Order entry whereby its Order will nly be pen t matching against cntra-side Orders resting in the Dark Midpint Order Bk during the randmised Turquise Uncrss events. Turquise Uncrss nly can als be used by Participants n BI (r BDN) entry whereby its BI (r BDN) will nly be pen t matching against resting cntra-side BIs/BDNs in Turquise Blck Discvery events. Cntinuus + Turquise Uncrss : Orders submitted will be pen t immediate executin against cntra persistent rders during Cntinuus Trading and any unexecuted vlume, and will rest n the bk, pen t Cntinuus matching and t matching ccurring during the randmised Turquise Uncrss events. Turquise Uncrss + Cntinuus: Orders will nt participate during Cntinuus trading and will wait t take part in the next Turquise Uncrss. Any remainder will be expired after the Turquise Uncrss. The Executin Instructin attribute is nly applicable t Day, GTC, GTT and GTD Orders (Validity field). Order Sub Type: tw different Types f Order can be specified, by default this field is blank and nt cnsidered: Order + BDN (Dark Midpint bk nly): A nrmal rder and a BDN are simultaneusly generated; Randm Peak Size (Integrated Bk nly): fr Iceberg Orders the relad size is randm, being its peak value given in the Disp Size field. Passive Only Order: rders will be accepted nly if specific cnditins are met, therwise they are cancelled: N cnstraint (prvided as default value); N match with visible cntra rder; Setting/jining BBO; 17

18 Setting new visible BBO; Within 1 visible price-pint; Within 2 visible price-pints. Min Size ( Minimum Acceptable Quantity (MAQ) Lit Bk and Minimum Executin Size (MES) Dark Midpint): The Order s MAQ r MES that is t be matched as a minimum during Cntinuus Trading r matched during Turquise Uncrss events. Disp Size (Integrated Bk nly): fr Iceberg rders it states the size t be displayed n the bk. Validity: GFA - Gd fr Auctin (Dark Midpint nly): GFA Orders nly take part in the Turquise Uncrss. They are expired either after attempting t match during the Turquise Uncrss it is scheduled t participate in r at the time f the scheduled Turquise Uncrss if the Turquise Uncrss fails t happen due t a WFMC failure fr example; GTT - Gd Till Time: An Order with an Expiry Time which will rest passively until executed r until the expiry time (r end f trading day) has been reached; GTD - Gd Till Date + Expiry Time: A GTD Order with Expiry Time will be treated as a Day Order, expiring at the time specified that day r the clse f the nrmal trading day n the day n which it was entered; Day: A Day Order is valid until clse f the nrmal trading day n the day n which it was entered (Default value). 18

19 The New BI rder entry windw is slightly different, due t the different parameters required t characterize Turquise Blck Discvery Blck Orders. In this windw User can enter the details f BI and QBO. QBO details will be stred by BTS server and autmatically sent in respnse t an Order Submissin Request (OSR) received frm Turquise Blck Discvery (cnverting the BI int a firm QBO). BI Details : BI Size : Size specified fr BI; BI Prc : Price specified fr BI; BI MinSize : MAQ specified fr BI. QBO Details : QBO Size : Size specified fr QBO; QBO Prc : Price specified fr QBO ; QBO MinSize : MAQ specified fr QBO. 19

20 5 TRADING MANAGER WINDOW The Trading Manager windw allws t perfrm all trading peratins. It shws rders and trades fr a single market, which can be selected via the Markets ptin in the Cnfiguratin menu. Several Trading Manager windws can be pened fr ne r mre markets. Depending n the functinality level set fr the grup the user belngs t the Trading Manager windw displays nly the rders and trades related t the user (functinality level: peratr) r all the rders and trades f all users belnging t the same member (functinality level: member). The Trading Manager is made ut f three sectins: Orders (upper), Trades (middle) and Psitin Keeping (lwer). Orders List Trades List Psitin Keeping Detailed infrmatin abut the Trading Manager windw can be fund in the BTS Reference guide. Specific Turquise infrmatin has been added, which is reflected int newly intrduced clumns, the Clumn Naming reflects the field name in the Order Entry windw, in additin infrmatin taken frm market answers is reprted. 20

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22 Disclaimer Heading This dcument cntains text, data, graphics, phtgraphs, illustratins, artwrk, names, lgs, trade marks, service marks and infrmatin ( Infrmatin ) cnnected with Brsa Italiana S.p.A. ( Brsa Italiana ). Brsa Italiana attempts t ensure Infrmatin is accurate, hwever Infrmatin is prvided AS IS and n an AS AVAILABLE basis and may nt be accurate r up t date. Infrmatin in this dcument may r may nt have been prepared by Brsa Italiana and in this last case is made available withut respnsibility n the part f Brsa Italiana. The publicatin f this dcument des nt represent slicitatin, by Brsa Italiana, f public saving and is nt t be cnsidered as a recmmendatin by Brsa Italiana as t the suitability f the investment, if any, herein described. Cntact Details Technical Accunt Management Telephne: +44 (0) lndntam@lseg.cm