Service Guide. TRADING AND INFORMATION SERVICES Customer Development Service. Issue 10

Transcription

1 Service Guide TRADING AND INFORMATION SERVICES Customer Development Service Issue 10 Title: Trading and Information Services Customer Development Service Service Guide Reference No: STS104 Issue: Issue 10 Date: April 2005

2 This confidential document is the property of The London Stock Exchange and neither the document nor its contents may be disclosed to a third party, nor may it be copied, without the London Stock Exchange s prior written consent. The Exchange endeavours to ensure that the data and other material in this publication are correct and complete but does not accept liability for any error herein or omissions here from. The development of Exchange products and services is continuous and published information may not be up to date. It is important to check the current position with the Exchange. The following are trade/service marks of the London Stock Exchange: EuroSETS TM Infolect TM International Bulletin BoardTM International Order BookTM International Retail ServiceTM RNS TM SEAQ4 SEAQ International TM SEATS PLUS TM SETS TM SETSmm TM EXTRANEX Added Value Real Time Information Services Amendment Indication To indicate the location of an amendment within the text of this issue, a marginal rule is placed alongside the amended part of the text (as shown against this paragraph). This indication will only appear in issues subsequent to Issue 1. Also, these amendment indications will only apply to changes introduced from one issue to the next. All amendment indications from earlier issues will be deleted. Issue History 5 February a January b September Changes to section 5 and Appendices B and E. The remainder of the document stays at Issue 5a. 6 January October June January April 2005 Copyright 2005 London Stock Exchange plc. All rights reserved. No part of the publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photo-copying, recording or otherwise without the prior permission of the copyright owner. 2 Copyright 2005 London Stock Exchange plc Issue 10

3 PREFACE The Trading and Information Customer Testing Service Guide (STS103) provides the information required by customers to access and utilise each of the services. Included are details of the reference data, functionality, access procedures and rules that support each service. The Trading and Information Customer Development Testing Service Guide (this document) contains detailed descriptions of each of the five services that the customer development service comprises, including details of the market structure and the rules that must be followed for each of the services. The customer testing service guide has been extended to include the provision of Customer Test services to support customers of the Johannesburg Stock Exchange (JSE) and the Dutch Trading Service (DTS). This document can also be found on the London Stock Exchange website at Related Documentation STS 103 Trading and Information Services Customer Testing Service Guide Issue 10 Copyright 2005 London Stock Exchange plc 3

4 Table of Contents Section Page 1 INTRODUCTION Structure of this Document Overview of Testing Services 8 2 SERVICE DESCRIPTIONS Live Simulation Service Description User Guidelines Scripted Scenarios Service Description User Guidelines Customer Specific Service Description User Guidelines Training Service Description User Guidelines International Order Book and Volume Input Service Description User Guidelines 16 3 SERVICE AVAILABILITY Service Times London Services South African Services Booking a Test Session User Access Service Constraints Exchange Support 20 4 SERVICE ENVIRONMENT Structure and Rules CDS Configuration Start-of-Day Order Book and Reference Data Quote and Order Book Reference Data Index Information Regulatory News Service (RNS) Alphanumeric SEDOL Testing 23 5 SCRIPTED SCENARIO SERVICE - DETAILED DESCRIPTION Background Trading Data for Existing Functionality SETS -Specific Replay Scenarios Basic Order Functionality 26 4 Copyright 2005 London Stock Exchange plc Issue 10

5 Section Page Prevailing Conditions Trade Reporting Release 3.1 Functionality SETS-Specific Interactive Scenarios Basic Order Functionality Prevailing Conditions Release 3.1 Functionality Boundary and Exception Processing Control Actions and Reference Data Changes Status Information Messages Ex-Markers Announcements Temporary Periods for Sectors Temporary Periods for Tradable Instruments Suspending a Tradable Instrument Unsuspending a Tradable Instrument Suspending/Unsuspending a Participant within a Adding a Deleting a Adding a Tradable Instrument Adding a Tradable Instrument for Immediate Trade Reporting Changing a Tradable Instrument Deleting a Tradable Instrument Changing a Tradable Instrument Mnemonic Registering Participants in a Tradable Instrument Adding a Participant Deleting a Participant Changing Participant Details Deleting Participant Registrations for a Tradable Instrument Amending Participant Registration End Dates for a Tradable Instrument South African Replay Scenarios Basic Uncrossing Functionality Prevailing Conditions Additional Functionality JSE Control Actions and Reference Data Changes Status Information Messages Ex-Markers Temporary Periods for Sectors Suspending a Tradable Instrument Unsuspending a Tradable Instrument 92 Issue 10 Copyright 2005 London Stock Exchange plc 5

6 Section Appendices Page Adding a Deleting a Adding a Tradable Instrument Adding a Tradable Instrument for Immediate Trade Reporting Changing a Tradable Instrument Deleting a Tradable Instrument Changing a Tradable Instrument Mnemonic Adding a Participant Deleting a Participant Changing Participant Details 96 A LIVE SIMULATION SERVICE - LIST OF INSTRUMENT DATA A-1 B SCRIPTED SCENARIOS SERVICE - DAILY MARKET CONTROL ACTIONS AND REFERENCE DATA CHANGES B-1 C SCRIPTED SCENARIOS SERVICE C-1 D CUSTOMER SPECIFIC SERVICE - LIST OF INSTRUMENT DATA D-1 E CUSTOMER SPECIFIC SERVICE - SAMPLE ORDER BOOK FOR CSS2 AND CS23 SECTOR INSTRUMENTS E-1 F TRAINING SERVICE - LIST OF INSTRUMENT DATA F-1 G VOLUME INPUT SERVICE - LIST OF INSTRUMENT DATA G-1 6 Copyright 2005 London Stock Exchange plc Issue 10

7 INTRODUCTION SECTION 1 INTRODUCTION 1.1 Structure of this Document This document consists of five sections describing the customer development service and a number of appendices providing the necessary reference data for use of the service. The sections are as follows: Section Description 1 Introduction (this section), providing an overview of all of the testing services provided by the Exchange and an overview of the customer development service 2 Service Descriptions, giving a description of the five services which make up the customer development service and providing customers with guidelines for the use of each service 3 Service Availability, explaining when and how customers can use the service and how it is supported 4 Service Environment, explaining the structure and key features of the testing environment 5 Scripted Scenario Service - Detailed Description, providing a detailed specification of the scripted business and technical events that will be replayed every day for customers wishing to use the scripted scenario service. Issue 10 Copyright 2005 London Stock Exchange plc 7

8 INTRODUCTION STS Overview of Testing Services The purpose of this document is to describe the customer development service, and to provide customers with the information they require to connect to and use the service. The service has been designed to support a wide range of customer readiness activities for both Customers of the London Stock Exchange (LSE) and the Johannesburg Stock Exchange (JSE). Guidance is given to customers on how each service should be used to ensure they obtain the maximum benefit from the service. The remaining services are detailed in STS103: Customer Testing Service Guide The customer development service consists of the following five services: the Live Simulation Service provides an order book with the configuration of the live service, containing live securities, live service timings and full live service rules. A testing tool developed by the Exchange will enter background orders to ensure that a minimum level of order book depth and trading activity is always present within this service the Scripted Scenario Service allows users to observe and interact with scripted business and technical events in a version of the full market structure, including existing as well as new market segments and functionality the Customer Specific Service provides customers with sole access to the order book for a number of securities, enabling them to set up and test order book scenarios without interference from the Exchange or from other users the Training Service provides an environment which supports customers end user training activity, allowing customers to trade in an order book based on the live securities. All customer development service users will have access to this order book, which can support the execution of coordinated training exercises involving a number of participants. There will be no background data generated by the Exchange in the training service the Volume Input Service provides an environment which supports an International Order Book and Volume Input Service which allows customers to enter large volumes of orders and quotes with no interference from other users. The Volume Input service will be accessible by customers of the LSE only. Customers of the JSE should contact their JSE representative if they wish to perform the testing of Volume Input. For each of these services, the following is provided: a description of the purpose and structure of each service guidance as to the use of each service to ensure customers gain maximum benefit whilst service continuity is preserved a description of the market structure and instruments used to support each service a specification of the service times and instructions for booking testing sessions. Any questions concerning any of the London services available within the customer development service should be addressed to the customer testing team on Customers of the JSE should contact their JSE representative at the Johannesburg Stock Exchange. 8 Copyright 2005 London Stock Exchange plc Issue 10

9 SERVICE DESCRIPTIONS SECTION 2 SERVICE DESCRIPTIONS The services available to customer development service users are summarised in the following diagrams: London Customer Development Service Service Live Simulation Scripted Scenarios Customer Specific Training International Order Book (IOB) and Volume Input Description Customers can trade in a full SETS order book with live reference data and rules Pre-defined SETS order book scenarios, market control actions and reference data updates. Customers can trade in all current market segments with full live reference data Customers have sole access to 3 instruments in a SETS order book; one of these has a pre-defined sample order book Customers can trade in a SETS order book with live-like data and rules Customers can trade in stocks in IOB. Customers can enter a volume of orders and quotes, enabling them to confirm the operations of their systems under load. Background Data Background trading generated by Exchange Trading data generated in all live market segment Start-up order book in one instrument; no background data No background data Database Refresh Service Timings Order book not refreshed during service Live service timings Order book refreshed daily Live service timings Sample order book refreshed daily; other instruments not refreshed Available from 7:50 to 19:00 daily Order book refreshed daily Available from 7:50 to 19:00 daily Order book refreshed daily IOB: Live Service Timings Volume Input: 1 customer session each day: 17:00 to 18:25 Issue 10 Copyright 2005 London Stock Exchange plc 9

10 SERVICE DESCRIPTIONS STS104 South African Customer Development Service Service Description Live Simulation Scripted Scenarios Customer Specific Training Customers can trade in a full JSE order book with live reference data and rules. s ZA01, ZA02, and ZA03 with decreasing liquidity. ZA21 contains predefined JSE order book scenarios, market control actions and reference data updates. New JSE functionality will be included within this service. Customers have sole access to 3 instruments on the JSE order book in segment ZA22; one of these have a pre-defined sample order book. Customers can trade in a JSE order book in segment ZA23 with live like data and rules. ZA11 provides NSX customers with the opportunity to trade in their market segment with full live reference data. Background Data Background trading generated by the Exchange ZA21 Background trading generated by the Exchange Start up order book in one instrument no background data. No background data ZA11 No background trading Database Refresh Order book not refreshed during service Order book refreshed daily Sample order book refreshed daily; other instruments not refreshed. Order book refreshed daily Service Timings (SA times) 10:00 19:30 10:00 19:30 10:00 19:30 10:00 19: Live Simulation Service Description The purpose of the live simulation service is to enable customers to interact with an order book that is configured as live. The service will contain the tradable instruments and the rules that will support the live service. In order to ensure the live simulation service is kept in line with the Live Service, business configuration (segment and instrument) will be maintained on a daily basis, whilst business data (prices and order book) will be refreshed on a periodical basis. Customers will be able to use this service for user familiarity and training and testing of procedures, as well as testing of systems requiring a constant flow of trading data. The service for the London will consist of FTSE 350 stocks and reserve list with identical instrument codes, mnemonics and supporting reference data to the live service. These stocks will be configured in segments identical to the live service. Regulatory News Service (RNS) announcements will be broadcast throughout the day, which will generate A-markers for the specified instruments. 10 Copyright 2005 London Stock Exchange plc Issue 10

11 SERVICE DESCRIPTIONS The service for the South African will consist of stocks with identical instrument codes, mnemonics and supporting reference data to the live service. These stocks will be configured in five order-based segments, ZA01, ZA02, ZA03, ZA04 and ZA11. The stocks will be listed in an index that will be broadcast to customers. Stock Exchange News Service (SENS) announcements will be broadcast throughout the day and will generate A-markers for the specified instruments. The stocks for both markets are listed with their reference data in Appendix A. This service will be updated on a periodical basis. Customers may enter or delete orders for any stocks. An automated entry tool will run in this service to create order depth and liquidity in a selection of order based segments in accordance to market rules. The tool will enter and delete limit orders at or around the best price for all instruments, and will enter aggressive orders to execute against limit orders at the best price. orders will also be entered and deleted during opening and closing auctions. In addition the tool will ensure maintenance of committed principal orders by updating orders and prices accordingly. The aim of this tool is not to compete against other trading participants, but to provide depth and activity within the order book User Guidelines Customers of this service may enter and delete orders of all types within the published period rules. However, given that the service should mimic the live service as closely as possible, customers should keep to the following guidelines: customers should avoid causing unrealistically large or irregular price movements and should not follow unrealistic trading patterns customers should not use this service to perform testing of system exceptions or specific technical events customers should not use automated input facilities within this service. A volume input session should be booked by customers wishing to enter higher volumes of transactions For the London, the service runs with live service timings, as published in the Service Definition. Automatic execution of orders is therefore available until 16:25 (UK time), followed by matching at 16:30 (UK time). Order deletions run until 17:00 (UK time). The service is not available after 17:15 (UK time) For the South African the service does not run with live service timings. Automatic execution of orders is available from 10:00 until 18:20 (SA time), followed by matching at 18:30 (SA time) Order deletions run until 19:29 (SA time) and the service is not available after 19:30 (SA time). The order book for this service will not be refreshed during the service unless the data becomes unrealistic or threatens the stability of the services. Usage of the system will be monitored. Customers consistently performing irregular activity outside these guidelines will be asked to modify their use of the service and may be suspended if their activity affects other participants usage of the customer development service. Issue 10 Copyright 2005 London Stock Exchange plc 11

12 SERVICE DESCRIPTIONS STS Scripted Scenarios Service Description The scripted scenarios service allows users to observe Exchangegenerated order book business and technical scenarios, trading activity in market segments, market control actions and reference data updates. In addition, it allows London users to participate in pre-defined order book scenarios and to perform their own testing activity in the other instruments within the service. The scenarios generated will allow customers to ensure that systems react correctly to a known input for all new and existing functionality, and will provide simplified and predictable order book scenarios for user training. The London service will consist of all market segments, including a SETS order-based segment (SET4), with the same rules and timings as in live service. This segment will contain live-like instrument data unique to this service that will be supported by an index which will be dynamically calculated and broadcast. A number of test segments will also be added to provide instruments for the benefit of customers unable to process live data ( Z segments). All reference data for this service is documented in Appendix C. The South African service will consist of two market segments; an NSX order-based segment (ZA11) containing no scripted activity and a JSE order-based segment (ZA21) with the same rules and timings as in live service. This segment will contain live-like instrument data unique to this service. All reference data for the service is documented in Appendix C. The Exchange will create a series of SETS-specific business and technical scenarios in specified instruments, which are documented in section 5. In addition, it will perform a series of market control actions and reference data updates at specified times of the day. This will include updates or additions to reference data, suspension of participants and instruments and the invocation of temporary periods. A timetable of these events is provided in Appendix B. A specified subset of instruments in all non-sets segments will have background trading activity (trade reports, quotes or orders) generated by the Exchange. Customers may enter trading activity for any other instrument. For the London, twelve securities have been permanently converted to euros to allow customers to test that they can trade in euros User Guidelines The following guidelines are applicable for this service: London customers may enter trading data for securities supporting Interactive scenarios that require customer participation. These scenarios require customers to follow usage guidelines for each instrument customers must not enter transactions for instruments which are referenced by "replay" scenario scripts or by background trading data scripts. Customers may enter trading data for any other instrument in any other segment for the London, customers wishing to enter quotes in any instruments in which they are not registered on the live service (including the dummy Z instruments) should inform the customer 12 Copyright 2005 London Stock Exchange plc Issue 10

13 2.3 Customer Specific Service SERVICE DESCRIPTIONS testing team that they wish to do so as they book their first test session, so that necessary security registrations can be performed. These additional registrations will not be reflected in live service for the London, the service runs with live service timings for all instruments with the exception of automatic execution in SET4, which will commence at 08:02 rather than at 08:00. These timings are published in the Service Definition. The service is not available after 17:15. for the South African, the service will not run with live service timings. It is available 10:00 to 19:30 (SA time). Within segment ZA21 automatic execution ends at 17:20 SA time) in order to allow market control actions to take place after the close of the Description The purpose of the service is to provide customers with sole access to instruments, enabling them to create their own business scenarios for training purposes and allow initial testing of trading strategies. Each customer will have access to three instruments. Two of these will contain no trading data initially. The other instrument will be configured with a sample order book. Users will be provided with a supplementary test participant code to enable those customers who have a selfexecution check in their software to trade against themselves. Host-to-host customers will be informed of their instruments and their supplementary user codes once they have booked to access the service. Workstation customers will be assigned instruments by their information vendors as required. For the London, the service will consist of a SETS order-based segment, SET5, with similar rules to the SET1 segment in the live simulation service but with extended trading hours. The stocks will be contained within an index specific to the service. For the London, the segment will contain 600 instruments, split into two market sectors, CSS1 and CSS2. Each customer is assigned two stocks from CSS1 and one from CSS2. CSS2 sector contains the stocks for which order book start-up data will be provided and will be refreshed daily. To enable customers to build up scenarios in their assigned instruments over a number of sessions, trading data in CSS1 will not be refreshed throughout the duration of the service unless this is necessary to maintain the stability of the service. For the South African, the service will consist of a JSE orderbased segment, ZA22, with similar rules to the ZA01 segment in the live simulation service. For the South African, the segment will contain 365 instruments, split into two market sectors, CS22 and CS23. Each customer is assigned two stocks from CS22 and one from CS23. CS23 sector contains the stocks for which order book start-up data will be provided and will be refreshed daily. To enable customers to build up scenarios in their assigned instruments over a number of sessions, trading data in CS22 will not be refreshed throughout the duration of the service unless this is necessary to maintain the stability of the service. Details of the tradable instruments can be found in Appendix D. Issue 10 Copyright 2005 London Stock Exchange plc 13

14 SERVICE DESCRIPTIONS STS User Guidelines 2.4 Training Service Description The following guidelines are applicable for this service: customers should not enter any data other than for their own assigned securities, and should inform the customer testing team of any apparent breaches of this rule customers should not use automated input facilities within this service. A volume input session should be booked by customers wishing to enter higher volumes of transactions customers may experience some delays in the processing of orders after 17:00 (UK time), when the volume input service is active For the London, the order book for the service is available from 07:50 (UK time) until 19:00 (UK time), with automatic execution between 08:02 (UK time) and 18:25 (UK time) For the South African, the order book for the service is available from 10:00 (SA time) until 19:30 (SA time), with automatic execution between 10:30 (SA time) and 17:30 (SA time). This service provides an environment similar to the live simulation service which customers may use to support trading activities. The service for the London will consist of a SETS order-based segment, SET6, with similar rules and timings to the SETS segments in the live simulation service, but with extended trading hours. The segment will contain data based on the FTSE 100 instruments (see Appendix I for further details). The stocks will be contained within an index specific to the service. The service for the South African market will consist of an order-based segment, ZA23, with similar rules and timings to the segments in the live simulation service. The segment will contain data based on the ALSI40 instruments (see Appendix I for further details). There will be no background trading data generated by the Exchange in the training service. The database will be reset on a nightly basis, with all trading data entered during the day being deleted User Guidelines The following guidelines are applicable for this service: customers should not use automated input facilities within this service. A volume input session should be booked by customers wishing to enter higher volumes of transactions customers may experience some delays in the processing of orders after 17:00 (UK time), when the volume input service is active the order book for the London service is available from 07:50 (UK time) until 19:00 (UK time), with automatic execution between 08:02 (UK time) and 18:25 (UK time). Please note that the automatic execution period is longer than the published times for the live service to allow use after normal business hours For the South African, the order book for the service is available from 10:00 (SA time) until 19:30 (SA time), with automatic execution between 10:30 (SA time) and 18:30 (SA time) For the London, customers may use this service to create trading halts by causing trade-prices to move by more than 20% from the static base price and 5% from the dynamic base price. Trading halts are also demonstrated in the scripted scenarios service, and 14 Copyright 2005 London Stock Exchange plc Issue 10

15 SERVICE DESCRIPTIONS should not be tested in any of the other customer development services. Whilst this function is currently disabled on the live SETS service, the feature has been retained here for users to train for trading halts in case the functionality is enabled. 2.5 International Order Book (IOB) and Volume Input Service Description The purpose of the International Order Book (IOB) is to introduce order driven trading to a number of SEAQ International securities. The following two new dummy tradable instruments have been added for this purpose :- ITS1 US and ITS2 US which replicate GDRs on the International Order Book. The service model will be based on the existing Stock Exchange Electronic Trading Service (SETS). The trading day begins with an opening auction, followed by continuous trading throughout the day and finally a closing auction. Live Service timing apply. The purpose of the Volume Input Service is to allow customers to input a volume of quotes and orders against the Exchange s central system to test the reaction of internal systems under a transaction load. This service should be used to test realistic business events, eg the testing of automated basket or portfolio trading scenarios in different market conditions. The service has not been designed to support technical capacity testing, and customers using the service to this end should be aware of the following points: the environment used to support the post-live testing services has approximately one sixth of the capacity of the live system, and hence response times will be slower than those observed during pre-live testing the ability of the broadcast interface to handle high volume data is tested in the conformance service. The Volume Input service will be accessible by customers of the LSE only. Customers of the JSE should contact their JSE representative if they wish to perform the testing of Volume Input. A fully configured SETS market segment will be available with a set of instruments with reference data similar to FTSE 100 stocks. In addition, the Z test segments used in the scripted scenarios service will be made available for the volume input service. These segments are representative of the market segments currently in live service and will allow users to test high volume order input in conjunction with the entry of quotes or existing order types. Each test session will last 85 minutes, and will be available for a single customer to test high volumes of input to the system and any other testing scenarios which require sole access to a full market segment. One session will be available each evening from 17:00 (UK time) to 18:25 (UK time). Each host-to-host participant will be assigned a second test participant code to enable them to enter trades against themselves. No background data is provided within this service. The database will be reset on a nightly basis, with all trading data for the day being deleted. Issue 10 Copyright 2005 London Stock Exchange plc 15

16 SERVICE DESCRIPTIONS STS User Guidelines and Limitations The four customer development test services detailed above are available to all customers who have access to the service. Access to the volume input service, however, is restricted via a diary. When booking a customer development session, customers must indicate if they wish to use the Volume Input service. As only one session is available each day, customers are advised to plan their use of the service well in advance and can book up to four sessions in total. Only the training and customer specific services will still be active during volume input service sessions, ensuring that the maximum system resource is available. The following guidelines will be enforced: customers should ensure that they enter data only for the set of instruments specific to this service (see Appendix J for further details). only one customer at a time may use the service, controlled by session booking procedures customers should restrict input to a maximum of 10 messages per second there will be no automatic trading halts caused by excessive price movements in this segment this service is only available to customers who have booked a session. Users cannot access this service at any other time. 16 Copyright 2005 London Stock Exchange plc Issue 10

17 SERVICE AVAILABILITY SECTION 3 SERVICE AVAILABILITY 3.1 Service Times The customer development services will be available on each business day. All existing customers making system enhancements and new customers who have passed the mandatory conformance test will be able to access the service London Services The service hours for the live simulation service will match those of the live service, with identical period timings to the live market segments. These service hours can be found in TIS101: Service Definition - Trading and Information Services. For SETS based segments, service hours in UK time are essentially as follows (note that this is not the full schedule and does not include trade reporting periods): 07:50-08:02 enter and delete market and limit orders, followed by uncrossing auction at 08:02 08:00-16:30 automatic execution period 16:30-16:35 enter and delete market and limit orders, followed by uncrossing auction at 16:35 16:35-17:00 order deletion period 17:00 closed The service hours for the scripted scenario service (SET4) will essentially match those of the live service, with identical period timings to the live market segments. These service hours can be found in the SETS Service Definition. For the SETS based segment, uncrossing will occur at 08:02 rather than 08:00. The service hours for SET4 are essentially as follows (note that this is not the full schedule and does not include trade reporting periods): 07:50-08:02 enter and delete market and limit orders, followed by uncrossing auction at 08:02 08:02-16:30 automatic execution period 16:30-16:35 enter and delete market and limit orders, followed by uncrossing auction at 16:35 16:35-17:00 order deletion period 17:00 closed The service hours for the customer specific and training services have been extended to allow training to occur after business hours, and will be as follows (note that this is not the full schedule and does not include trade reporting periods): 07:50-08:02 enter and delete market and limit orders, followed by uncrossing auction at 08:00 08:02-18:25 automatic execution period Issue 10 Copyright 2005 London Stock Exchange plc 17

18 SERVICE AVAILABILITY STS104 18:25-18:30 enter and delete market and limit orders, followed by uncrossing auction at 18:30 18:30-19:00 order deletion period 19:00 closed For the volume input service, one 85 minute testing slot will be available each day from 17:00 to 18:25, consisting of an opening period of 10 minutes followed by an automatic execution period (or mandatory quote period for quote-based segments) of 70 minutes and a closing period of 5 minutes. Only one customer at a time will have access to this service South African Services The service hours for the live simulation service will be based on South African times. They will not match those of the live service. For the JSE, service hours are as follows: 10:00 10:30 Enter and delete market and limit orders, followed by uncrossing auction at 10:30 10:30 18:20 Automatic execution period 18:20 18:30 Enter and delete market and limit orders, followed by uncrossing auction at 18:30 18:30 19:29 Order deletion period 19:30 close The service hours for ZA21 - within the scripted scenario service - will finish earlier than the live simulation segments, in order to complete the JSE Control Actions (NB ZA11 will have a similar schedule to the live simulation service above). The service hours for ZA21 are as follows: 10:00 10:30 Enter and delete market and limit orders, followed by uncrossing auction at 10:30 10:30 17:20 Automatic execution period 17:20 17:30 Enter and delete market and limit orders, followed by uncrossing auction at 17:30 17:30 18:30 Order deletion period 18:30 Close The service hours for the customer specific and training services will be as follows: 10:00 10:30 Enter and delete market and limit orders, followed by uncrossing auction at 10:30 10:30 18:20 Automatic execution period 18:20 18:30 Enter and delete market and limit orders, followed by uncrossing auction at 18:30 18:30 19:29 Order deletion period 19:29 Close 18 Copyright 2005 London Stock Exchange plc Issue 10

19 SERVICE AVAILABILITY 3.2 Booking a Test Session The following information applies to customers of the London Stock Exchange. Customers of the Johannesburg Stock Exchange should contact their local representative for the corresponding information. Customers will access the customer development service via the IP network, and test slots can be booked on a daily basis. Customers will be allocated a number of free sessions, depending on customer type, as follows: Customer Type Number of Free Sessions per Year New SETS customers 15 Existing customers performing back-end 5* development with no interface changes Existing customers with interface changes 5* * Existing customers will therefore be entitled to a maximum of 10 free sessions per year, split between back-end and interface testing. Additional testing sessions may be made available to customers at the discretion of their account manager. A charge will be made for all additional sessions. For the Live Simulation, Scripted Scenarios, Customer Specific and Training services, customers can book test sessions by contacting the customer testing team on and selecting the trading service enquiries option. A testing session allows access to all of the services for a complete day. Test sessions must be booked at least three days in advance. Any sessions cancelled with less than three days notice will be forfeited. Any customers wishing to book the Volume Input service must specify this to the customer testing team when booking their normal testing sessions. Customers may book up to four sessions in total. 3.3 User Access The following information applies to customers of the London Stock Exchange. Customers of the Johannesburg Stock Exchange should contact their local representative for the corresponding information. New customers and existing customers with new interfaces will be able to access the customer development service once they have passed the mandatory conformance test, to avoid degradation of the service for other users. Existing customers making internal system enhancements may take a technical readiness test before accessing the service, although this is not mandatory. All host-to-host customers will be configured on the database with a second participant code. This code will be set up with a service provision agreement as their main participant code and will therefore share the same USAP. Customers will be informed of their extra participant code and their assigned instruments for the customer specific service as they become valid customer development service users. Customers can request these on booking their first session or by calling the customer testing team on Issue 10 Copyright 2005 London Stock Exchange plc 19

20 SERVICE AVAILABILITY STS Service Constraints The following information applies to customers of the London Stock Exchange. Customers of the Johannesburg Stock Exchange should contact their local representative for the corresponding information. It should be noted that the customer development service will be run on a testing machine, and will not have the same capacity as the live service. This will result in the following restrictions: customers using the live simulation service, the scripted scenarios service, the customer specific service or the training service should avoid entering more than three messages per second. A volume input session should be booked if customers wish to test higher message rates the volume input service will be restricted in the message rates it is able to accommodate and process. Customers should enter a maximum of 10 messages per second when using this service the submission and subsequent completion of batch jobs, such as uncrossing, will take longer than in live service. It is estimated that the time taken for uncrossing to complete for all order driven stocks will be approximately 10 minutes on the customer development service. The uncrossing period for instruments in the SET4, SET5 and SET6 segments has been set to 08:02 instead of 08:00 to minimise the time taken for uncrossing to complete in the live simulation service. The uncrossing period for SET1, 2 and 3 remains at 08:00. the testing of multiple fill orders with a large number of executions on the customer development service may exceed system time-out values, making the testing of this scenario impossible. The maximum number of executions allowed for a single order will therefore be set to 50 for this service. 3.5 Exchange Support The following information applies to customers of the London Stock Exchange. Customers of the Johannesburg Stock Exchange should contact their local representative for the corresponding information. Unlike the conformance service, dedicated Customer Testing Analysts (CTAs) will not be provided during the customer development service. Support for the service will be provided by a dedicated team within the customer testing team who can be contacted on by selecting the general enquiries option within the SETS customer testing menu. Support will be available between 08:00 and 18:00 daily. This team will, where possible, answer questions directly. Some questions will however require specific business expertise from within other Exchange departments, in which case the customer testing team will pass on the query and respond to the customer as soon as the answer is available. 20 Copyright 2005 London Stock Exchange plc Issue 10

21 SERVICE ENVIRONMENT SECTION 4 SERVICE ENVIRONMENT 4.1 Structure and Rules CDS Configuration The diagram below describes the structure for the Customer Development Service. The CDS Configuration is as follows: Production Configuration LSE JSE AIM AIM1 AIM2 AIMI AIMN CNVE CWTS ETFS EURT ZA01 ZA02 ZA03 EXNV GBDS GILT HKOB IOB IOBU IRSQ IRSU ITBB ZA04 ZA11 ITBU MISC MISL ODTT RCON SEAQ SEAT SEQ1 SET1 DTS SET2 SET3 SETN SMKT STBS STMM TEST NSTS Test Configuration LSE Test SET4 Scripted SET5 Customer Specific SET6 Training SET7 Volume Input SEAQ Test JSE ZA21 Scripted ZA22 Customer Specific ZA23 Training Key Live service segments on CDS Test segments on CDS In order to create a more realistic CDS environment the current business database is synchronised with the Live Service environment. This ensures that all live segments are accurately represented on the CDS environment. Specific test segments for Scripted Scenarios, Customer Specific Services, Training and Volume Input have been retained on CDS and are highlighted above. Customers will not be registered in these instruments by default, and should contact the customer testing team if they wish to test this functionality. 4.2 Start of Day Order Book and Reference Data Customers should note that the customer development service database, except for some SETS order book data (detailed in the table below), is refreshed on a daily basis to a known fixed point, to enable the successful execution of standard scripts on a daily basis. This is performed at the database level rather than at the application level, and is therefore not reflected in any information broadcast to customers. This approach is unavoidable given the potential volume of test data that will be refreshed each day. The purpose of this section is to give details of the data to be refreshed to enable customers to ensure that their test systems are kept in line with the central system. Issue 10 Copyright 2005 London Stock Exchange plc 21

22 SERVICE ENVIRONMENT STS Quote and Order Book All reference data in the following market segments will be refreshed on a daily basis: Sector Service SET4 SET5 SET6 SET7 ZA21 ZA22 SSS1 SSS2 CSS2 TS1 VS1 TST1 CS21 SS23 Customer Specific (user-defined data) ZA23 TR23 Customer Specific (user-defined data) The trading data in those segments listed above is refreshed on a daily basis to a known fixed point, to enable the successful execution of standard scripts on a daily basis. This is performed at the database level rather than at the application level, and is therefore not reflected in any information broadcast to customers. This approach is unavoidable given the potential volume of test data that will be refreshed each day. The reference data in sector CSS1 in SET5 and sector SS23 in ZA22 will be continued throughout the life of the service to enable customers to build up trading scenarios over time. In all other segments, to allow realistic trading activity (building up trading positions and scenarios over time) the business data (reference, prices and order book) will be refreshed periodically. This will allow customers to utilise live trading strategies on the service, as their orders will be maintained for a period before being re-synchronised with the live service Reference Data The scripted scenarios service includes scripted actions to update, add or delete system reference data each day (eg adding a new segment, deleting an existing instrument). To ensure that customers databases are kept in line with the customer development service database it will therefore be necessary for users to implement one of the following procedures: 1. request a full reference data download before each testing session 2. maintain a database copy of the start-of-day reference data position and refresh this prior to each test session. These downloads will be provided, as for the live service, at the beginning of the day, starting at 05:00 (UK time). 22 Copyright 2005 London Stock Exchange plc Issue 10

23 SERVICE ENVIRONMENT 4.3 Index Information For the South African, Indices will be broadcast for the segments in the live simulation service. 4.4 Regulatory News Service (RNS) 4.5 Alphanumeric SEDOL Testing Announcements from the Regulatory News Service (RNS), for the London, and the Stock Exchange News Service (SENS) and the Namibian Exchange News Service (NENS) for the JSE will be broadcast throughout the trading day, based on announcements taken from the live service. Announcement markers (A-markers) will be generated for instruments referenced by the announcements. The same announcements will be broadcast daily. Ten Alphanumeric SEDOL codes have been assigned to the CDS. Five of these have been allocated to LSE test stocks and five to JSE test stocks. Details of the instruments can be found below. Mnemonic SEDOL LSE SBR4 SN.4 LLO4 TSC4 TOM4 JSE 10FG 101M 10CM 102Z 10MN SET4 SET4 SET4 SET4 SET4 ZA01 ZA01 ZA01 ZA01 ZA01 ZZZ5691 ZZZ56B3 ZZZ56C4 ZZZ56D5 ZZZ56F7 ZZZ56G8 ZZZ56H9 ZZZ56J1 ZZZ56K2 ZZZ56L3 Issue 10 Copyright 2005 London Stock Exchange plc 23

24 SERVICE ENVIRONMENT STS Copyright 2005 London Stock Exchange plc Issue 10

25 SCRIPTED SCENARIO SERVICE - DETAILED DESCRIPTION SECTION 5 SCRIPTED SCENARIO SERVICE - DETAILED DESCRIPTION The scripted scenarios service consists of a number of sections, each fulfilling a specific purpose. These are: Background trading for non SETS market functionality: with the introduction of the CDS enhancements, the backround trading tool has been decommissioned. The functionality of the background trading scripts has been replaced by the new Live Simulation service. The new service provides more live like liquidity and depth and is configurable for new segments or markets should the need arise. SETS-specific replay scenarios: a scripted series of orders and deletions is entered by the Exchange to demonstrate specific aspects of SETS order book functionality SETS-specific interactive scenarios: a scripted series of orders and deletions is entered by the Exchange, providing the basis for customers to participate in specific order book scenarios control actions and reference data changes: throughout the day, the Exchange performs a scripted series of these actions in existing and new market segments, to generate examples of a wide range of possible broadcast messages South African Specific Replay Scenarios: a scripted series of orders and deletions is entered by the Exchange to demonstrate specific aspects of order book functionality South African Specific Control Actions and Reference Data Changes: throughout the day, the Exchange performs a scripted series of these actions in the ZA21 segment, to generate examples of reference data change messages 5.1 Background Trading Data for Existing Functionality With the introduction of the CDS enhancements, the backround trading tool has been decommissioned. 5.2 SETS-Specific Replay Scenarios These scenarios are executed by dummy Exchange participants only, generating sample broadcast data, with no input by customers being required or allowed. For example, an order will be entered by one dummy Exchange participant and executed by another. The purpose of these scenarios is for customers to ensure that they can check the reaction of their systems or procedures to a known input and expected result generated by a third party. The scenarios are divided into the following categories: Basic Order Functionality, allowing customers to observe basic processing such as the entry of a new limit order onto the system and its subsequent full or partial execution Prevailing Conditions, allowing customers to observe complex order book scenarios such as a rapidly fluctuating price caused by trading in a fragmented order book Trade Reporting, demonstrating a Worked Principal Notification. Issue 10 Copyright 2005 London Stock Exchange plc 25

26 SCRIPTED SCENARIO SERVICE - DETAILED DESCRIPTION STS104 Release 3.1 Functionality, allowing customers to observe new functionality introduced as part of Release 3.1 such as market orders, closing auctions, intra-day quote based auctions, price monitoring and auction call extensions Basic Order Functionality No. Scripted Actions Stock R1 R2 R3 R4 R5 R6 Deletion of single limit orders: Throughout the trading day every five minutes, single buy and sell limit orders will be entered and subsequently deleted by an Exchange participant. Deletion of multiple limit orders: Throughout the trading day every 20 minutes, groups of 10 buy and sell limit orders will be entered and subsequently all deleted by an Exchange participant. Expiry of orders entered same day: 15 buy and sell limit orders will be entered by an Exchange participant during the course of the opening period. Seven of these will expire immediately after the uncrossing; the remainder at 60 minute intervals throughout the day. Expiry of orders entered on a previous day: 15 buy limit orders will be present on the order book at the beginning of the day, as if they had been entered the previous day. These will expire at 30 minute intervals throughout the day.15 buy limit orders will also exist on the book at the beginning of the day for instrument BMA4. These orders will have an expiry date set to 90 days in the future. Full execution of limit order: 60 limit buy orders and 60 limit sell orders will be present on the book at the beginning of the day, with an order size of the NMS.Throughout the trading day, at five minute intervals, one of these orders will be executed in full. Buy and sell limit orders for instrument BG.4, of maximum size, will be entered, alternately, onto the book every 30 minutes starting from 08:30. These orders will execute on the hour between 09:00 and 16:00. Partial execution of limit order: 20 limit buy orders and 20 limit sell orders will be present on the book at the beginning of the day, with an order size of 3 X NMS.Throughout the trading day, at five minute intervals, one of these orders will be partially executed by an aggressive order for 1 X NMS. ABF4 NXT4 BAT4 BSY4 GAA4 BMA4 HAS4 CW.4 BG.4 LGE4 26 Copyright 2005 London Stock Exchange plc Issue 10