Technical User Group Wednesday February 1 st, 2012

Transcription

1 Technical User Group Wednesday February 1 st,

2 Agenda Introduction Eric Benedetti Migration to Millennium IT Exchange Business Update Gabriele Villa Migration to Millennium IT Exchange Technical Update Simona Cervi Information services Edward Rainer Q&A session 2

3 Millennium Migration Update Borsa Italiana Gabriele Villa Equity and Derivatives Markets - LSEG

4 MIT Migration Business update recap Key messages from June 2011 TUG about main functional differences between TradElect and Millennium Exchange: Key messages from October 2011 TUG about additional details on Millennium Exchange: Order Imbalance during Auction Calls Stamp VWAP in Exec Rep of Orders & Quotes Auctions uncrossing algorithm Orders type Stop and Stop Limit Orders Market to Limit Orders Cross Orders / Block Trade Facilities Order cancel on disconnect Introduction of Named Orders for Specialists Iceberg behaviour Incoming source BTF parameters Connectivity solutions and pricing 4

5 MIT Migration February Business update Agenda Regulatory roadmap TAH change of status BTF parameters for all markets Logical connectivity solutions 5

6 Regulatory roadmap Step Timeline Status Trading Manual October 2011 DELIVERED (periodical updates) BIT Rulebook Updating November 2011 DELIVERED Pre - Consultation with Authorities November 2011 DELIVERED Market Consultation Tue 17/01/2012 DELIVERED Consultation Committee 13/01/2012 DELIVERED Board of Directors 19/01/2012 DELIVERED approved Borsa Italiana Shareholders' Meeting 16/02/2012 Consob Approval Go Live by the end of April 2012 First half

7 TAH change of status The migration on Millenium Exchange involves also the review of existing Rules on TAH. Leveraging the migration process, we decided to move the TAH status from regulated market to MTF. The rational behind is to improve the flexibility of Borsa Italiana in managing new products and to improve the effectiveness of the TAH without effecting the transapency of the market. Impact on intermediaries: TAH Market model will remain as it is (except for changes driven by the migration) No changes on Post trading flow Intermediaries already admitted to trading on a regulated market or a Multilateral Trading Facilities managed by Borsa Italiana that intend to request to participate in the new TAH market shall send Borsa Italiana the simplified version of the Request for Services (further details follow) 7

8 BTF parameters for all markets Market Detail Bid-Ask spread % Min BTF quantity Sedex Tutto il mercato 10% 60*EMS MOT/ExtraMOT Titoli di stato italiani e esteri 0.75% 40*EMS Altri bond 1.50% 8*EMS Etf aperti strutturati classe 2 5% 4*EMS ETFPlus Etf aperti indicizzati classe 2 Etf aperti strutturati classe % 4*EMS Etf aperti indicizzati classe 1 2% 4*EMS Etc senza leva classe 1 5% 4*EMS Etc con leva classe % 4*EMS MTA - FtseMib FtseMib - Solo Azioni 3.50% 10*EMS* MTA Resto del mercato - Solo Azioni 7.50% 5*EMS* AIM Tutto mercato - Solo Azioni 10% 5*EMS* MAC Tutto mercato - Solo Azioni 10% 5*EMS* TAH Tutto mercato - Solo Azioni 7.50% 10*EMS* Tutto il resto dei mercati(es. MIV) e strumenti (Diritti, Convert., Fondi chiusi, etc.) 0 0 * = Min BTF quantity may be different at instrument level 8

9 SIMPLIFIED DESCRIPTION TO BE CONFIRMED Logical connectivity solutions Borsa Italiana has been investing in the upgrade of the markets technological infrastructures on an ongoing basis, to enhance the processing capacity of the trading systems, as well as the capacity and the access models offered to the Clients With regard to cash markets, the migration onto Millennium Exchange will deliver further improvements to the performance of the trading activity, which will be supported by new connectivity services through which it will be possible to optimize the use and the potentiality of the new platform The new enhanced logical connectivity model will require an adaptation of both the configuration of clients as well as the Price List which is going to be updated soon. The new logical connectivity considers: Enhanced level of service offered by the new trading platform The new matching engine configurations The Clients needs as well as markets developments: 9

10 SIMPLIFIED DESCRIPTION TO BE CONFIRMED Logical connectivity solutions 1 Front-Office Users Standard User Per market* Available for both native and fix Functions: orders 50tps Advanced User Per market* Available for both native and fix Functions: orders 150tps Specialist Users Per market* and on selected instruments (the ones the specialist is responsible for) Available for both native and fix Functions: orders, double quotes, named orders, liquidity in buy (based on Specialists activity) Tps depending on Specialists activity Supervisor User Per market* Available for fix only Per type of activity / cluster of compids (e.g. per prop/customer account, depending on the software provider ) Enter, modify, cancel orders / named orders / double quote Query function on orders included Notes * Per Market means that there is a one-to-one relation between user and Market, where Markets are: i) Equities (main market, AIM Italia, MAC); ii) Fixed Income (EuroMOT and DomesticMOT); iii) SeDeX; iv) ETFplus and v) After Hours (all instruments) 10

11 SIMPLIFIED DESCRIPTION TO BE CONFIRMED Logical connectivity solutions (cont ) 2 Back-Office Users Back-Office Real time User: Drop Copy functions (orders, including info about the executions) -> comparable to the current Copyto Post Trade functions (trades) Access to all markets* Per type of activity / cluster of compids (e.g. per prop/customer account, software providers ) Back-Office Query User: Drop Copy functions (orders, including info about the executions) -> comparable to the current Copy-to Post Trade functions (trades) Access to all markets* Per type of activity / cluster of compids (e.g. per prop/customer account, software providers ) Notes * Per Market means that there is a one-to-one relation between user and Market, where Markets are: i) Equities (main market, AIM Italia, MAC); ii) Fixed Income (EuroMOT and DomesticMOT); iii) SeDeX; iv) ETFplus and v) After Hours (all instruments) 11

12 Logical connectivity solutions (cont ) 3 Pricing 12

13 Millennium Migration Update Borsa Italiana 1 st February 2012 Simona Cervi CTS-Italy 13

14 Introduction In the last TUG - November 2011 we provided you updates about the migration of Borsa Italiana markets (MTA, ETF Plus, Domestic/Euro MOT, Sedex, MIV, AIM, MAC and TAH markets) to Millennium IT Platform, announcing the availability of the first drop of CDS environment. Today we are here to provide updates about the migration project, actions undertaken till now, next steps and timelines till the migration date. Starting from the 6 of February the new version of CDS environment will be available. MTA, ETF Plus, Domestic/Euro MOT, Sedex, MIV, AIM and MAC markets will be included in this version. Reference data will be in line with the production ones. 14

15 CDS environment With the new version of CDS environment, the following functionalities will be introduced: Stop orders Stop limit orders Market to Limit Orders Cross Orders / BTF Own Order Book Download Own Trade Book Download All the functionalities specific for the new markets configured, such as their structures (e.g. instruments, rules, etc.), will be maintained. 15

16 CDS environment Exchange Gateway (Trading) Services Customer Information Service Exchange IP Address TCP Port Fix Trading GW 01 - Channel Fix Trading GW 01 - Channel 1 Alternate Fix Trading GW 01 - Channel Fix Trading GW 01 Channel 2 - Alternate Fix Trading GW 02 - Channel Fix Trading GW 02 - Channel 1 Alternate Fix Trading GW 02 - Channel Fix Trading GW 02 Channel 2 - Alternate Native Trading Native Trading Native Trading 01 Recovery Native Trading 02 Recovery Post Trade Router 01 - Channel Post Trade Router 01 - Channel 1 Alternate Post Trade Router 01 - Channel Post Trade Router 01 -Channel 2 Alternate Drop Copy 01 - Channel Drop Copy 01 - Channel 1 Alternate Drop Copy 01 - Channel Drop Copy 01 - Channel 2 Alternate Drop Copy 02- Channel Drop Copy 02 - Channel 1 Alternate Drop Copy 02 - Channel Drop Copy 02 - Channel 2 Alternate Channel name Config type Multicast address (Active) ITCH Gateway 1 ITCH ITCH Gateway 2 ITCH Multicast Feed A Multicast Feed B Replay Service (Active) Recovery Service (Active) Multicast Multicast Multicast Service Service External External TCP Source IP address Source IP LSEG VIP IP LSEG VIP IP Port (UDP) Port (UDP) TCP Port Port Address (Active) Address

17 Customer Request - CompIDs Compids to connect to CDS environment are dedicated per market. The first two letters of the name identify the market: TH for TAH MA for MTA, AIM, MIV, MAC MO for MOT SD for SeDeX ET for ETF Plus New types of CompIDs have been introduced 17

18 Customer Request - CompIDs Trading Users - standard user -> orders 50 tps - advanced users -> orders 150 tps - specialist users -> orders, quotes - Both FIX and Native protocols available Supervisor User - dedicated per market - insert/modify/cancel orders/named orders/quotes - also on behalf of - FIX Only - Own Order Book Download available Back Office User - Real time: orders (execution reports) and trades (trade capture reports) cross to all markets - Query user: orders (execution reports) and trades (trade capture reports) cross to all markets - FIX Only 18

19 MDF/DDM Plus New version of the software already available in CDS Conformance test/check list will be required from March 2012 Dedicated users for MIT markets will be required in production, separate from the IDEM ones Dedicated TAX servers will be available for MIT markets 19

20 Next steps Request of Compids for all markets via the CRF (Customer Request Form) Updated version of the documentatation from the beginning of February Connectivity to the final version of CDS environment and developing phase (ISV and Proprietary Application customers). Conformance test activity Trading application Market Data Feed Conformance test activity will start from the 1 March (MIT, DDM and ITCH), with priority to software used to trade on TAH. Checklist for software already conformed with LSE. Delivery of the software to customers/members, and connectivity to CDS environment (all member firms) Connectivity and Testing phase - CDS environment. 20

21 Go Live approach IP addresses for production environment will be confirmed at the beginning of March. From the middle of April, Dress Rehearsals for TAH market Go Live TAH: beginning of May From the middle of May, Dress Rehearsals for all markets. Go Live all markets: end of June Official Dates will be confirmed considering testing activity and client readiness. 21

22 Access via Co-Location Service Space in the same Datacentre where the Millennium Exchange Primary Datacentre the IDEM market and the MDF/DDM+ services are located Direct ultra low latency connection (1 or 10 Gb fibre, according to customer request) to all Borsa Italiana s trading and information systems: MTA, MOT, ETF Plus and SeDeX IDEM Market MDF/DDM+ Open connectivity model providing access through: Customer proprietary lines (wide range of available carriers) Borsa Italiana s provided network (BIt Network) Internet VPN Availability of space for new customers interested in connecting to MIT from the co-location. For further information: 22

23 Trading Front-End - BTS New BTS Client with: New user-friendly Layout New Functionalities Available in CDS environment for Millennium IT platform starting from the end of February 23

24 London Stock Exchange Group Ticker Plant Technical User Group - London Ed Rainer Group Product Manager Real Time Information Services

25 London Stock Exchange Group Ticker Plant Project Overview Target go-live for Phase 1 is Q3 2012; Phase 1 will support London Cash Equity, London Fixed Income, Borsa Italiana Cash Equity (MTA), Borsa Italiana Derivatives (IDEM) and Borsa Italiana Fixed Income (MOT) markets; Subsequent go-live of Phase 2 services in early 2013; Legacy platforms and protocols, including FIX-FAST and DDM-Plus, will be decommissioned in due course. Clients are encouraged to migrate to the new Ticker Plant services as they come online; Parallel run of service introduction there will be no big-bang migration as part of the go-live activities of this new product. 25

26 London Stock Exchange Group Ticker Plant Timeline 26

27 London Stock Exchange Group Ticker Plant Delivery of Service Launch of a bespoke new protocol supporting the publication of all real time market data processed by the Group Ticker Plant; Similar to our successful Level 2-ITCH product - binary, performant protocol delivered by a number of load balanced IP Multicast channels and supported by a TCP/IP Replay and Recovery solution; Hardware assisted data delivery - Field Programmable Gate Array (FPGA) technology will be introduced to Production as part of this project; Delivered Active/Active via both Primary and Secondary client connections; Independent Primary Data Centres in both London and Milan. Lightweight Secondary Data Centres in both London and Milan supporting businesscritical functionality; Intelligent throttling introduced non-latency sensitive messages delivered in multimessage UDP packets whereas latency sensitive messages delivered single message UDP packets. 27

28 London Stock Exchange Group Ticker Plant Protocol Features Instrument level communications: session changes for all markets communicated at Instrument level. All trading sessions mapped to individual Instrument Status messages i.e. no concept of Inactive, Active, Suspended securities as communicated in current Level 2-ITCH Symbol Directory message. Removal of Password validation to Replay and Recovery services; Removal of Level 2-ITCH Time message replaced by introduction of Nanosecond Timestamping on all application messages; Variations of Symbol Directory messages to support different asset classes: Equity, Derivatives, Strategies and Fixed Income will have dedicated Symbol Directory messages providing an efficient publication of required data sets; Unique Group Ticker Plant proprietary instrument identifier allocated and provided for all supported instruments. This unique identifier can be used across Replay and Recovery services across markets; 28

29 London Stock Exchange Group Ticker Plant Replay and Recovery Primary feed with Active Replay and Recovery services, supported by a Secondary feed with resilient Replay and Recovery services; Daily request and login limits for both Replay and Recovery services these can be reset intraday by the Support desk if required; The Replay service will provide clients the ability to recover a finite number of missed messages on each multicast channel; The Recovery service will provide clients the ability to recover by requesting snapshots for all instruments on a configured channel, for all instruments in a segment or for an individual instrument; Ability for clients to recover all trades for current trading day; Ability for clients to recover current snapshot of an instrument s statistics; Ability for clients to recover Instrument Directory messages. 29

30 London Stock Exchange Group Ticker Plant Phase 1 Reference Data Level 1 Level 2 Snapshot Trades Statistics FTSE Indices Selected Reference Data will also be delivered by the Group Ticker Plant. This will include Previous Days Close, Dynamic Circuit Breaker tolerances (if applicable), Allowed Book Types and Trading Currency. Incremental Level 1 service, disseminated via the Top of Book message. Aggregated size of all market orders provided as standalone value. All other applicable order types agregated and provided. Level 2 Snapshot service providing 10 depth snapshots of the order book. Snapshots will be provided as both Market by Order (MBO) and Market by Price (MBP) services. All Trades executed on supported markets and off-book trades reported to the London Stock Exchange Group will be published by the Group Ticker Plant. Enriched statistics will also be provided by the Group Ticker Plant. Whilst continuing to disseminate all statistics provided by FIX-FAST and DDM-Plus, we will also be introducing additional new statistic calculations from Phase 1 go-live. A subset of FTSE indices will continue to be disseminated by the Group. 30

31 London Stock Exchange Group Ticker Plant Phase 1 Reference Data Reference Data Instrument Directory (Short) message Instrument Directory Equities/Derivatives/Fixed Income/Strategies Generic Instrument Directory message published each morning for all supported instruments on the platform; Clients can use the Recovery service to request Instrument Directory messages specific for each asset classes to be delivered by TCP/IP; Instrument books (on-book, quote-book, off-book) identified in the generic Instrument Directory (Short) message; Underlying market instrument identification communicated (for example: London and Borsa cash markets, this is the InstrumentID); 31

32 London Stock Exchange Group Ticker Plant Phase 1 Level 1 and Level 2 Snapshot Level 1 Top of Book message Incremental Level 1 service any change to the consolidated BBO will result in the redissemination of the Top of Book message. Level 2 Snapshot Add Order/Add Order (Short) Add Order MBP/ Add Order (Short) - MBP 10 depth snapshots of the Order Book provided at 150 millisecond intervals; Each snapshot is built by processing a number of individual messages an initial Add Order message for each side of the book which indicates how many levels are to be transmitted, followed by a number of messages, one per order, to build the book. 32

33 London Stock Exchange Group Ticker Plant Phase 1 Trades Trades Trade Off-Book Trade Trade Cross (Borsa Italiana only) Trade message will be used to communicate any Trade executed or cancelled on the Millennium Exchange solution; Trade type identified Regular, Auction, Bulk Auction and communicated; Auction type identified Opening/Closing Auction, AESP, EDSP, Resume or Periodic Auction and communicated; Transaction time (as reported by the underlying market) will be communicated; Off-book Trade message will include: Trade Date, Time, TradeID, Underlying currency and Source venue. 33

34 London Stock Exchange Group Ticker Plant Phase 1 Statistics Statistics Statistics Statistics Update Statistics Snapshot Trade High/Low (off book), Trade High/Low (on book), Trade High/Low (all trades) and a 52 week Trade High/Low will be calculated and disseminated; Indicative Auction Information including imbalance quantity and direction will be derived and disseminated; Volume (all trades), Volume (on book), VWAP (all trades), VWAP (on book), Number of Trades (all trades), Number of Trades (on book), Turnover (all trades) and Turnover (on book) will be communicated to clients; Closing Best Bid and Ask will be derived and communicated; Official Opening and Closing prices as derived by the underlying market will be communicated if applicable. 34

35 London Stock Exchange Group Ticker Plant Phase 1 FTSE Indices FTSE Indices FTSE Indices Update message The Group will continue to disseminate a selection of the most popular FTSE International indices including the FTSE100, FTSE250, FTSE All Share and FTSEMIB; Total Return Value, Net Change, Index Status and Index timestamp will be processed and disseminated by the Group Ticker Plant. 35

36 London Stock Exchange Group Ticker Plant Phase 2 Phase 2 is still within scope management and requirement gathering stages, but will see the introduction of a new incremental services to the Group Ticker Plant; Additional markets introduced including Turquoise Cash Equities and Turquoise Derivatives; Additional new statistics introduced. 36

37 London Stock Exchange Group Ticker Plant Next Steps Group Ticker Plant Microsite will shortly be launched this will contain documentation, key milestones, project dates and other key client information; Customer documentation, including specifications, statistics logics, testing requirements and display guidelines will shortly be released any feedback on information contained is much appreciated; CDS environment is scheduled to be launched in July 2012 feedback on legacy versions of CDS are intended to be incorporated; Any feedback on the project is appreciated please communicate this to your usual Group contact. 37

38 Q & A Session 38