Migration to Millennium Exchange. Technical Specification Seminar. Monday 8 February 2010

Transcription

1 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

2 Xavier Rolet Migration to Millennium Exchange 2

3 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

4 Overview of the Trading Services Migration to Millennium Exchange Mark Langley:

5 Designing the new system backwards compatibility Not starting from a blank piece of paper Existing Millennium Exchange product extended to meet existing TradElect functionality where possible e.g. firm quotes, trade reporting But Not constrained by 100% backwards compatibility Design decisions have been influenced by Need for a low latency solution (sub millisecond) Wish for a rapid time to market 5

6 Principal differences with TradElect New customer interfaces and workflow New user configuration Changes to specific trading functionality Change to market configuration New symbology New Service cancel on disconnect New recovery model 6

7 Customer interfaces and workflow Users Interfaces Messages FIX Trading Gateway (CompID) All users can enter messages using the Trader Group Native Trading Gateway (CompID) Trading Party (Trader Group) FIX Post Trade Gateway (CompID) FIX Drop Copy Gateway (CompID) FIX 5.0 SP2 Native FIX 5.0 SP2 FIX 5.0 SP2 FT (see Table 1) See Table 1 for a description of messages supported NT(see Table 1) PT(see Table 1) OT(see Table 1) DC(see Table 1) OB(see Table 1) Interface Message Group Direction Functional messages supported FIX Trading FT Inbound (to Exchange) D - New Order Single F - Order Cancel Request q - Order Mass Cancel Request G - Order Cancel/Replace Request S - Quote Z - Quote Cancel FIX Trading FT Outbound (from Exchange) 8 - Execution Report 9 - Order Cancel Reject r - Order Mass Cancel Report AI - Quote Status Report b - Mass Quote Acknowledgement Native Trading1 NT Inbound D - New Order Single F - Order Cancel Request q - Order Mass Cancel Request G - Order Cancel/Replace Request S Quote Native Trading NT Outbound 8 - Execution Report 9 - Order Cancel Reject r - Order Mass Cancel Report Post Trade PT Inbound AE - Trade Capture Report BX - Application Message Request Acknowledgement Post Trade OT Outbound BW - Application Message Request AE - Trade Capture Report AD - Trade Capture Report Request Post Trade OT Outbound AE - Trade Capture Report BX - Application Message Request Acknowledgement AR - Trade Capture Report Acknowledgement AQ - Trade Capture Report Request Acknowledgement Drop Copy DC Outbound 8 - Execution Report Drop Copy OB Inbound AF - Order Mass Status Request Drop Copy OB Outbound 8 - Execution Report TRADING LSE Services TRADING POST TRADE OTBD DROP COPY OOBD 1 Note for consistency FIX message identifiers are used on the Native Interface. However, format and content of the messages are different. 7

8 User configuration Firm (Member ID) Node Users FIX / Native Trading Gateway (CompID) FIX Post Trade Gateway (CompID) FIX Drop Copy Gateway (CompID) Trading Party (Trader Group) 8

9 User Configuration - Example AFIRMBIC AFIRMN1 AFIRMN2 Customer Application A Customer Application B Native Trading Gateway NAFIRM1 FIX Post Trade Gateway PAFIRM1 FIX Drop Copy Gateway DAFIRM1 Trading Party AFIRM1PROP Trading Party AFIRM2ALGO FIX Trading Gateway TFAFIRM1 FIX Post Trade Gateway PAFIRM2 FIX Drop Copy Gateway DAFIRM2 Trading Party AFIRM1RETAIL Assumes the participant has a single membership entity, but has 2 trading applications that they wish to technically segregate. The following should be noted: All Off Book Trading is done under the FirmID (AFIRMBIC) Native Trading Gateway TNAFIRM1 can send messages on behalf of Trading Parties AFIRM1PROP and AFIRM2ALGO FIX Drop Copy Gateway DAFIRM1 can request orders for Trading Parties AFIRM1PROP and AFIRM2ALGO FIX Trading Gateway TFAFIRM1 can send messages on behalf of Trading Parties AFIRM1RETAIL FIX Drop Copy Gateway DAFIRM2 can request orders for Trading AFIRM1RETAIL 9

10 Order behaviour Mid Price Pegged Orders limit prices Stop and Stop Limit Orders Order management Exchange deletion of orders - notification Validation of ClOrdID Standing Value no longer supported Minimum Execution Size (MES) fixed value 10

11 Order book priority and execution Mid Price Pegged Orders change to priority Iceberg Orders change to execution behaviour A B 16,000 7,000 12,000 4,000 30,000 Aggressing Order Hidden Volume Visible Iceberg Peak C 22,000 6,000 D 18,000 3 Iceberg Orders (Orders A, B,C) 1 Hidden Order (Order D) ALL Orders are at the same Price Point Incoming Order, Size 30,000 aggresses against this Price Point All Iceberg Order Peaks execute: Order A: 7,000 Order B: 4000 Order C: 6000 Total Hidden Iceberg Order Volume = 50,000 Remaining aggressing volume = 13,000 which is allocated to the hidden Iceberg Order Volume as follows. Order A: 16/50 x 13,000 = 4160 Order B: 12/50 x 13,000 = 3120 Order C: 22/50 x 13,000 = 5720 No aggressive volume remains, so Hidden Order D is not executed against. Would only execute if incoming Order > 67,000 11

12 Off book trade reporting Reporting trades Dealing capacity Alternative currencies Trade cancellation No trade cancellation facility for off book trades published prior to the current trading day Own Trade Book Download will only include those trades from day of request 12

13 Market Structure All existing market models supported Concept of Market Segment remains Simplified approach to trading sessions Current trading session determined by Security Status message 13

14 Additional Services Drop Copy continues to be supported Execution Reports generated by one Trading Users can be sent to a separate Drop Copy User Quotes no supported Own Order Book Download supported via Drop Copy Gateway Own Trade Book Download supported via Post Trade Gateway Participants can request automatic, off-book, cancelled or all trades 14

15 New symbology 4 way key no longer supported; numeric code allocated to each instrument Instrument ID Code is unique Will never be changed for lifetime of instrument Instruments traded in different segments / currencies will have different Instrument IDs Participitant submits messages using Instrument ID Instrument ID specified in Security ID field in FIX message Other symbology (e.g. ISIN, SEDOL) available via reference system Instrument IDs available via 15

16 Cancel on disconnect New optional service Participants can elect to have all active orders automatically deleted on disconnection GTC and GTD orders can be excluded if required Can be configured for a Trading User (CompID) or at Firm level if required 16

17 Recovery Model New recovery model Pair of Gateways for each interface One of pair designated the Primary, other Secondary Normal connection via Primary, in case of failure connect via Secondary Millennium Exchange will operate in cold standby mode 2 hours to activate Disaster Recovery Site Only those trades for which a Trade Capture Report can be guaranteed to have been sent to clearing and settlement All order and quote books cleared on re-start 17

18 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

19 Overview of Market Data Services Migration to Millennium Exchange Ollie Cadman

20 Introduction A new range of market data services The existing market data services delivered on Infolect will be redeveloped and enhanced as part of the move to Millennium Exchange. The new services are built on the following principles: Supply market-leading low-latency access to information Adoption of recognised industry protocols, specifically FIX/FAST and ITCH Streamlined, efficient message structures Choice of services to reflect our diverse client base and needs Re-inforce our position as a global leader in market data delivery Harmonised service offering across markets, e.g. London and Milan 20

21 Service Overview 21

22 Service overview The new market data services on Millennium Exchange will deliver a number of enhancements: Adoption of FIX 5.0 SP2/FAST 1.1 and ITCH messaging protocols All data published in multicast and active/active -an A and B feed 4-way key replaced by a unique numeric symbol Reference Data delivered by a separate interface, as a flat-file A new Recovery service for client system failures, as well as a Replay service for missed messages 22

23 Product Overview 23

24 Product Overview The grouping and segmentation of data across the different channels and services will remain the same, e.g. Level 1 and Level 2; UK, International and European channels. All services will publish the relevant instrument information each morning, and real time information on status changes during the day. The following instrument status information will be published on the real time feed: Instrument ID, ISIN, SEDOl Segment Previous Closing Price, Reference Data Services will be published via a separate interface as a series of flat files, updated daily. 24

25 Off-book service All trades completed away from the order book and reported to the London Stock Exchange. The following data will be published: Price, volume, trade type, time, date (if relevant) and execution venue, e.g. XLON Cumulative turnover, volume and number of off-book trades FIX messages: Security Definition (35=d) Instrument Status (35=f) Market Data Incremental Refresh (35=X) 25

26 Level 1 service Information on all on-book trades, best price and volume, indicative uncrossing price and imbalance and added value statistics. The following data will be published: All automatic executions (AT, UT, CT) including price, volume, and side of aggressor The aggregrated best price and volume as a 100ms snapshot The indicative uncrossing price and volume, plus the side and volume of potential unexecuted volume (imbalance) Official Opening and Closing prices Trade high/low, VWAP (On-book and all), turnover,volume and number of trades Market status indicators FIX messages: Security Definition (35=d) Instrument Status (35=f) Market Data Incremental Refresh (35=X) Market Data Snapshot (Full Refresh) (35=W) News (35=B) 26

27 Level 2 Snapshot service Information on all on-book trades, 20 depth order book snapshot, indicative uncrossing price and imbalance and added value statistics. The following data will be published: All automatic executions (AT, UT, CT) including price, volume, and side of aggressor 20 deep snapshot, by order and by price, published every 100ms The indicative uncrossing price and volume, plus the side and volume of potential unexecuted volume (imbalance) Official Opening and Closing prices Trade high/low, VWAP (On-book and all), turnover,volume and number of trades Market Status Indicators FIX messages: Security Definition (35=d) Instrument Status (35=f) Market Data Incremental Refresh (35=X) Market Data Snapshot (Full Refresh) (35=W) News (35=B) 27

28 Level 2 ITCH service Information on all on and off book trades, full depth of the book, indicative uncrossing price and imbalance. The following data will be published: All on and off book trades Full depth of the order book published in real time, with microsecond timestamps The indicative uncrossing price and volume, plus the side and volume of potential unexecuted volume (imbalance) ITCH messages: Time, System Event, Symbol Directory, Symbol Status Add Order, Add Attributed Order, order Deleted, Order Modified, Order book Clear, Order Executed, Order Executed with Price/Size, Trade, Auction Trade, Off-book Trade, Trade Break Auction Info 28

29 Indices An extensive range of UK and International indices from FTSE The following data will be published: Index status, value and differential Total return value and differential FIX messages: Market Data Incremental Refresh (35=X) 29

30 Regulatory News Service (RNS) Real time regulatory and financial announcements. FIX message: News (35=B) Daily Official List (DOL) The DOL will be published daily as a series of flat files containing: Low Price High Price Update time 30

31 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

32 Overview of Testing Services Migration to Millennium Exchange Cardiff Smith

33 Introduction New Customer Testing Policy Single Environment Self Certification Optional HVS testing New Service Desk model

34 Current TradElect Conformance approach Separate conformance environment (Separate IPs, Segments, ISIN s Etc.) Access is limited Customers are enabled on the day of test One 2 One - client / test analyst throughout the entire test Which means limited availability of conformance test slots i.e. 1 per day per test analyst Majority of tests are failed first time due to the above points. Conformance cycles based on old requirements Pass or fail confirmed by and conversation with Technical Account Manager 34

35 New approach Self Certification Single development and certification environment The environment you develop on will be the environment you certify on Independent client certification No Service Desk Analyst (SDA) requirement for 90% of test This means unlimited attempts - i.e. Customer confirms when they have done a certified run Results report is generated to confirm pass or fail 35

36 Self Certification How are we going to do it? All customers will be enabled for all markets and permissioned with all roles on the development system LSEG will publish a guide describing mandatory actions for appropriate functions - Guide to Certification Limited variations No Mandatory High Volume Test requirement Customers will contact the Exchange when they require on behalf of actions and /or the Certification report to be run This will be managed by a new Support Desk committed to the Millennium Migration Customers will be sent the certification report outlining all functions both successfully and unsuccessfully performed Customers will be required to sign off the report and permissioning in production will be based on this Note. The signatory will be responsible for the behaviour of the application in production 36

37 Reporting Tool Overview Customer Name Person performing test Fix Gateway Native Gateway Post Trade Gateway Copy To Gateway SDA Reporting Tool S/W S/W S/W S/W CompID1 CompID2 CompID3 Not Tested CompID4 FIX Gateway FIX Trading Native Gateway Native Trading Post Trade Gateway Send Trade Report OTBD Receive Trade Report Copy To Gateway Copy To OOBD The Reporting tool can be run against all gateways simultaneously or individually depending on the application requirements. COMPID1 COMPID2 COMPID3, COMPID4 Customer Applications COMPID5 37

38 Customer Trading Test Report 03/02/10 Company Name Test time Range Contact Name Test Sequence number FIX Gateway Software name Functions Tested CompId Used CompID1 CompID2 IP IP CompID1 Pass/Fail CompID1 Pass/Fail Log on Market Order Limit Order - aggressive Iceberg Order Limit Order - passive Cancel on Disconnect Pegged Order X Native Gateway Software name Functions Tested CompId Used CompID3 CompID4 IP IP CompID1 Pass /Fail CompID1 Pass/ Fail Log on Market Order Limit Order - aggressive Iceberg Order Limit Order - passive Cancel on Disconnect Pegged Order X 38

39 Migration Schedule The following schedule outlines the proposed migration plan to Millennium Exchange for Phase 1 (UK Cash Markets) currently scheduled to go live in September Paternoster Square London EC4M 7LS T +44 (0) Jan 2010 Feb 2010 Mar 2010 April 2010 May 2010 June 2010 July 2010 August 2010 September 2010 Release of technical specifications Early Access to Customer Development Service First code release into CDS Access to Full Customer Development Service Second code release into CDS Third code release into CDS Dress rehearsals Phase one go live September

40 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

41 Turquoise Update James Baugh 41

42 Turquoise Update London Stock Exchange Group acquisition of Turquoise subject to OFT decision, expected late February Prior to decision: Turquoise will operate independently of, & in competition to LSE & Baikal Working to plan integration, but not permitted to commence ahead of regulatory decision Assuming approval granted: Turquoise will continue to operate competitive pan-european business & UK & Italian equities will continue to be traded Expect to add additional matching features to Dark Midpoint book Continue to develop LENS - providing access to non-displayed liquidity of brokers Turquoise will remain committed to CCP interoperability 42

43 Turquoise Platform Migration Aim is to replace existing Cinnober matching platform with MIT To set new market leading benchmarks for performance Schedule to be confirmed but possibly ahead of SETS migration for some services Plan features under consideration include: Anticipate substantially common interfaces with LSE; shared data centres, shared connectivity Interface differences constrained to those that are absolutely necessary Likely to focus on ITCH than FAST for market data Other facilities designed to preserve existing FIX interfaces & client connectivity to ease transition to MIT 43

44 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010

45 Questions

46 Migration to Millennium Exchange Technical Specification Seminar Monday 8 February 2010