Technical User Group. Thursday 21 November 2013

Transcription

1 Technical User Group Thursday 21 November 2013

2 Agenda Introduction London Stock Exchange Group - Project Updates London Stock Exchange Group - Group Ticker Plant Phase 2 London Stock Exchange Group - Hosting and Connectivity Update Turquoise - Innovations and Opportunities Q & A Session

3 Project Updates Philippe Teillet Technical Account Manager Client Technology Services - UK

4 Project Updates New Trading Service ETFs Euroclear Bank Settlement - 19 Nov LSE Derivatives (SOLA) New Trading Phase - 25 Nov TQ Release 8 - Customer Dress Rehearsal and Go Live - 23 Nov / 2 Dec Additional Segments and Sectors going live - 2 Dec RNS Product Upgrade - Q1 2014

5 LSE New Trading Service ETFs Euroclear Bank Settlement Dedicated Millennium Exchange electronic order book provided by London Stock Exchange to allow trading in a wider range of ETFs during standard London trading hours on the standard London trading calendar. Trading Service ETFS - Euroclear Bank settlement ETFS - Euroclear Bank settlement Segment Code EUET EUET Segment Description ETFs Euroclear Bank settlement ETFs Euroclear Bank settlement The new Trading Service for ETFs - Euroclear Bank settlement offers London Stock Exchange members greater choice in terms of settlement and currency. Standard London order types will be available. Segment and sectors have already been added to the production environment. Sector Code UET1 UET2 Sector Name Euroclear (UCITS) Euroclear (non-ucits)

6 LSE Derivatives (SOLA) - New Trading Phase Turquoise migrated the derivatives business to LSE plc on 30 September Intervention before Opening Trading Phase is now available on the Derivatives Customer Development Service (CDS) environment, and is scheduled from 07:30 till 08:00. The new trading phase is available for FTSE UK SLQ index futures (Symbol: FISLQ) and FTSE 100 index futures and options (Symbol: FI100). This trading phase allows market makers to enter bulk quote data which would be used to retrieve the quote ID. Members can continue to cancel orders during this period.

7 LSE Derivatives (SOLA) - New Trading Phase Order cancellations entered during this phase will be disseminated down the HSVF market data feed with Market Status Marker set to E. Firms testing the HSVF feed should ensure that their systems can accept this Market Status Marker. Production go-live date is scheduled for 25 November 2013.

8 Turquoise Release 8.0 As a reminder, the following functional changes are being introduced: Introduction of randomised Iceberg Orders. Modification of the logic for Iceberg Orders including the introduction of the Public Order ID. Optional Self Execution Prevention. Introduction of a new Good for Auction (GFA) Time in Force (TIF) which allows an order to participate in a single Turquoise Uncross TM within the Dark Midpoint Order Book. Default Execution Instructions can now be set at user-level. Change of all the segment values.

9 Turquoise Release 8.0 Due to extended customer consultation, please note that the Call Market functionality, which remains available in CDS, will not be implemented in production as part of Release 8. The mandatory customer dress rehearsal is scheduled for Saturday 23 November. The Turquoise go-live date (2 December 2013) and contingency go-live date (9 December 2013) previously communicated remain on target subject to Internal and Customer Readiness.

10 Turquoise Release 8.0 Dress rehearsal activities: 10:30 - Connectivity 11:00 14:00 - Regular Trading 14:00 - End of day Customers must register their participation in the dress rehearsal by contacting their Technical Account Manager or the Technical Account Management team. Clients should notify their TAM in advance if they want to use the Self Execution Prevention functionality. Reference data files for the dress rehearsal will be sent via on Friday 22 November 2013 to those customers who have registered for the dress rehearsal.

11 LSE Additional Segments and Sectors As previously communicated, new segments and sectors for ETP, ETF and equity markets will be introduced on 2 December Trading Service Segment Code Segment Description Sector Code Sector Name SETS ETFS EXCHANGE TRADED FUNDS ETEL ETF EU LISTED MX SPD 1.5% SETS ETF2 EXCHANGE TRADED FUNDS (MULTI-CURRENCY) EFEL ETF EU LISTED (MULTI-CURRENCY) MX SPD 1.5% SETS ETCS EXCHANGE TRADED PRODUCTS ECEL ETC LIQUID MAX SPREAD 3% SETS ETC2 EXCHANGE TRADED PRODUCTS MULTI-CURR. 2 ETCM ETC LIQUID (MULTI-CURRENCY) MAX SPREAD 3% SETS ETCS EXCHANGE TRADED PRODUCTS ETCL ETC MAX SPREAD 5% WIDE PM SETS ETC2 EXCHANGE TRADED PRODUCTS MULTI-CURR. 2 ECLT ETC (MULTI-CURRENCY) MAX SPREAD 5% WIDE PM SETS IECR non-ucits ETFs IETF CREST (non-ucits) SETS HGS1 SETS - High Growth Segment HG10 HGS - 10% max spread SETS HGS1 SETS - High Growth Segment HG15 HGS - 15% max spread SETS HGS1 SETS - High Growth Segment HG25 HGS - 25% max spread SETS HGS1 SETS - High Growth Segment HGMO HGS - 25% max spread MIN ORD 40% EMS SETSqx HGS2 SETSqx - High Growth Segment CCP HGQ1 HGS Less Liquid Quoted CCP SETSqx HGS3 SETSqx - High Growth Segment NON-CCP HGNQ HGS Less Liquid NON-Quoted NON-CCP SETSqx SSQ3 SETSQX 3 QTD. CCP SQS3 SETSQX QTD LDN STD For more information please refer to the service announcement , sent on 29 October A copy is available at:

12 LSE Additional Segments and Sectors All the new segments / sectors were made available on the Customer Development Service (CDS) on Monday 4 November Instruments have also been added to allow participants to test. Two new Trading Parameter IDs and one Session Parameter ID will be added to the production reference data files. Existing instruments will be moved to the ETCL and ECEL sectors from day one. As usual this will be communicated via the DataSync service and the instrument reference data file will be updated.

13 LSE Additional Segments and Sectors Details of the configuration of each trading service, including attributes of each segment / sector combination, can be found in the Millennium Exchange Business Parameters available at: For any business related queries, please contact the following teams: - Listed Products team +44(0) / etfs@lseg.com - Equities & Derivatives team clients@lseg.com

14 RNS Product Upgrade Q The RNS Market Data platform will be upgraded in Q This is an internal change with no impact to RNS FIX/FAST customers. The change was implemented on CDS in September Go-live date will be communicated in due course. Customers should note that we will be sending RNS test data on the production multicast channel during the go-live weekend. Customers need to ensure that test data is ignored or cleared out before go-live.

15 Further Information For technical queries related to any of these projects, customers should contact their Technical Account Manager or the Technical Account Management team: Telephone: +44(0)

16 Group Ticker Plant Update Technical User Group, London Ed Rainer Group Product Manager

17 Introduction The Group Ticker Plant Phase 1.0 services have been available since 2012 and are performing well. Our protocol design and service structure has proven popular with Members, Information Vendors and ISVs. Throughout 2013, the Group has been working hard to define the structure and functional design of Group Ticker Plant Phase 2.0 services. Phase 2.0 Guides were made available in August The Group encourages feedback from customers and will continue customer consultations in the coming months.

18 Timeline Update The Group Ticker Plant project timeline has been updated to reflect customer feedback and the schedule changes to the Functional Release 2013 and Group Ticker Plant projects. The below indicative timeline is provided as guidance only. As the project continues to evolve our dates may change. When this does happen the Group will make every effort to advertise the change in schedule to our customers.

19 Phase Overview Phase 1.0 introduced a real-time Level 1 service, a snapshot Level 2 Market by Order and Market by Price order books for the London Stock Exchange and Borsa Italiana markets (including IDEM). Phase 2.0 will introduce a full-depth streaming service for London Stock Exchange, Borsa Italiana (including IDEM) and Turquoise Cash Equity markets. London Stock Exchange Derivatives and MTS will follow in due course. Group Ticker Phase 1.0 services were powered by the existing Level 2-ITCH gateways, with feed handler, processing and onward dissemination provided on a software chassis. At go-live of Group Ticker Plant Phase 2.0, London Stock Exchange and Turquose services will be powered directly by the Matching Engines, with feed handling, processing and onward dissemination underpinned by FPGA technology. Borsa Italiana services will be powered by software technology.

20 Protocol Specification The Group Ticker Plant broadcasts data in a binary, fixed length proprietary protocol - similar to that of the Group s Level 2-ITCH protocol. The protocol characteristics and design launched to support Phase 1.0 services remain largely unchanged and will be enhanced with three additional messages to support the tick-by-tick nature of the Phase 2.0 incremental order book. The Add Order Incremental, Order Modify and Order Delete will be added to the suite of real-time messages as part of Phase 2.0. In an enhancement versus the Group s Level 2-ITCH protocol, the Add Order Incremental message will explicitly communicate the order type and order book type for each order communicated. The Order Delete and Order Modify messages have also been enhanced and now contain fields to indicate Previous Price, Previous Quantity and Previous Yield - added to expedite customer order book management process. A number of minor changes will be applied to the Phase 1.0 Group Ticker Plant protocol. These changes are clearly identified in the latest version of the Phase 2.0 guides.

21 Testing Approach The Customer Development Service (CDS) will be made available in due course and customers should use this environment and the Group Ticker Plant guides to build application logic to interact with the Phase 2.0 Group Ticker Plant services. Customers should apply to be certified once development has been completed. Those customers who successfully certified against Phase 1.0 Group Ticker Plant services will not need to recertify their application to be granted access to the Phase 2.0 services. Please note, however, that the Group s certification policy terms, including the annual certification programme, do apply. Access can be requested to the CDS environment, and subsequently Production following certification, by submitting a Customer Request Form (CRF). Updated Customer Request Forms will be made available in due course on the project microsite. Customer Dress Rehearsal weekends will feature as part of Phase 2.0 Customer Readiness and are likely to be mandatory for those customers wishing to go-live from day one on the Phase 2.0 services.

22 Documentation The Group has already released a number of Group Ticker Plant Guides to assist customers with initial evaluations of the Group Ticker Plant services. Document Issue Comment GTP001 Product Guide Issue 5.0 Published GTP002 Technical Guide Issue 4.0 Published GTP003 Statistics Guide GTP004 Parameters Guide To be Updated To be Updated GTP005 Testing Guide Issue 7.0 Published GTP006 External Sources Guide No Change

23 Customer Dashboard The Customer Dashboard is designed to give customers an insight into our technology and improve the customer experience. Our Customer Dashboard will be launched as a Beta service in the coming weeks. We will confirm the access URL shortly. Launching initially to provide an overview of London Production only, we hope to extend the scope of the Customer Dashboard to provide an overview of other environments, including Milan Production and CDS, in due course. Initially the Customer Dashboard will illustrate message throughputs but we hope to introduce additional statistics in a future release. Customers can select the real-time data channel and analyse the maximum, minimum and average message throughputs for a given time period or in real-time. Historical data will be available from the Customer Dashboard go-live and not from the go-live of the Group Ticker Plant.

24 Additional Updates GTP Lite, a TCP real-time data service with data compression, will shortly be made available in CDS. Additional documentation will follow. This service will initially be made available on the Milan Production instance only. The GTP Lite service will provide the Group Ticker Plant Phase 1.0 services (including the Level 1 service, Level 2 Market by Order and Level 2 Market by Price Snapshot services) as TCP solutions. The GTP Lite service is designed to support customers on limited 10Mb and 30Mb connectivity packages who are not latency sensitive. A number of minor changes will be introduced to the core Group Ticker Plant protocol at GTP Lite CDS and Production go-lives. These include some additional session status ENUMs in existing fields. Further details will be provided shortly.

25 Further Information For further information clients should contact their usual Group Contact. Technical Enquiries can be forwarded to your Technical Account Managers: Telephone: (+44) Media Enquiries can be forwarded to: Telephone: (+44) Project microsite provides further information and mailing list registration:

26 Exchange Hosting and new Exchange Wireless Service Andrew Bailey Product Manager Exchange Hosting and Proximity Services

27 Our connectivity products are constantly moving forward, developing and evolving with every advance of technology

28 Platforms and Infrastructure Millennium Exchange Key Market Features Common Interfaces Access and Connectivity Millennium Exchange is the Group s high performance trading and information platform Multi-asset class FIX Trading Native Trading Colocation Extranex 1Gb Managed Network One of the fastest, most reliable and technologically advanced trading systems in the world Highly scalable Low and consistency latency GTP ITCH Client Managed Connectivity 10Gb Available Wireless Communication

29 Exchange Hosting: Trading Opportunities

30 Exchange Hosting: Trading Opportunities

31 Exchange Hosting Update Exchange Hosting provides clients with the fastest connectivity option to the LSEG and Oslo Bors markets in London and Milan. Diverse user base of Member Firms, Non-Member Firms, Vendors, Service Providers and Carriers ability to interconnect locally between parties within the secure and resilient data centres or externally to any location or venue of choice. Low Latency and diversely routed dedicated circuits available between London and Milan data centres for clients own proprietary data service powered by Level 3 Communications. New high precision GPS service available to hosted clients in London and will also be available to hosted clients in the Milan facility in early 2014.

32 Landscape: Trading and Geography LSEG has its primary data centre geographically equidistant between the Equinix facility in Slough and NYSE Euronext in Basildon providing excellent average latency across venues. In response to client demand for faster access to and from our London data centre, we recently announced the launch of a wireless communications network.

33 Our new wireless communication network will allow trading participants to reduce communication latency between key trading venues by up to 40%

34 LSEG Direct Wireless Network Provides millimetre wave wireless connectivity between LSE City of London datacentre and the Equinix London data centre campus in Slough, significantly reducing latency between these key locations. The only service with a direct wireless connection to the London Stock Exchange rooftop and direct connectivity to the Equinix data centre tower in Slough. Optimised path with the network deviating only 3% from the straight line between the locations enabling data transmission to be up to 40% quicker than traditional low latency fibre routes. Network will provide a shared bandwidth service, available for trading participants located in the London Stock Exchange Hosting facility.

35 More Capacity, More Flexibility Total capacity of 1Gb delivered through the use of millimetre wave technology more bandwidth available for clients enabling greater flexibility and transmission of data (including raw market data sets). Total capacity of 1Gb will be provided to trading participants in 100Mb channels. FPGA bandwidth management tool to be deployed to ensure the bandwidth is policed and allocated fairly across entire user base. Providing clients with product leading service availability levels, engineered to maximise availability for wireless technology.

36 Engineered Reliability Service utilises numerous repeater stations between the two end locations, with an average distance between each repeater of less than 3 miles. Signal strength significantly improved by installing additional links and reducing the distance between each repeater, to reduce the impact of rain. Anticipated that clients will retain fibre connectivity for resiliency.

37 Project Progress Our partner, NexxCom Wireless, has been selected to design and build the LSEG wireless network service. Path design (including route identification activities) has been completed. Installation and configuration activities are now nearing completion, with service implementation and testing activities being completed. Service go-live is planned for end November 2013

38 Andrew Bailey Product Manager Exchange Hosting and Proximity Services London Stock Exchange 10 Paternoster Square, London, EC4M 7LS E: T: +44 (0)

39 Turquoise Integrity, Innovation, Partnership, Excellence. Dr Robert Barnes Chief Executive, Turquoise

40 Equities electronic orderbook USD trillions traded Source: World Federation of Exchanges Lehman bankruptcy Short Selling rules % % Americas APAC EMEA Global WFE Total Priority post-crisis is liquidity recovery

41 Turquoise is pro customer, pro choice Turquoise, majority owned by London Stock Exchange in partnership with 12 investment banks, is a leading MTF established to engender greater competition in the secondary trading of pan-european equities. Members include global banks and brokers, institutions with local regional and sector focus, specialist trading and market-making firms. Benefit from anonymous trading for all markets, including the Nordics that lack broker-id anonymity Access 2 discrete Order books for complementary liquidity: Turquoise Integrated Lit with Price priority, includes Hidden orders: icebergs and Large-In-Scale (LIS), and Turquoise Dark Midpoint with Size priority and User-defined Minimum Execution Size (MES) for Continuous Midpoint matching and Turquoise Uncross TM Smart Periodic Auctioning Sell-side access, Buy-side friendly, Size priority, Random uncrossing. No membership fees and efficient tariff model includes rebates for passive fills on Turquoise Lit Liquidity diversification by: Geography Uniform access to shares of 18 European countries, including Emerging Markets (Czech Republic, Hungary) Size Constituents of all major European indices available, including blue-chips, mid and small caps Product Ability to trade shares, Depositary Receipts and ETFs, and settle in respective Central Securities Depository

42 1 connection, 18 countries Trade Pan European Securities of Sweden Norway Finland Austria Belgium Czech Republic Denmark Finland France Germany Hungary Ireland Italy Luxembourg Netherlands Norway Portugal Spain Sweden Switzerland UK Ireland UK One connection, one rulebook France Luxembourg Germany Italy Czech Republic Austria Hungary Blue chips, mid and small caps Global Depository Receipts Spain

43 Turquoise Market Model Member C Member D Member E Diverse customer base by member size and location Member B Member F Members may choose one of four interoperable CCPs for multimarket economies of scale* Member A Turquoise Member [N..] EuroCCP EMCF LCH.Clearnet Limited SIX x-clear * Spanish names clear through EMCF

44 normalised monthly value traded, lit + hidden + dark + auction Turquoise total value traded is up more than 100% y-o-y to Oct Source: Thomson Reuters Equity Market Share Reporter (EMSR), single counted, sample of competitors, lit + hidden + dark + auction Turquoise BME Spain Borsa Italiana OMX Swed Fin Den Chi-X Europe SIX Swiss BATS Euronext Fran Neth Belg Port Euronext France Xetra Germany Oslo Bors LSE UK Burgundy Nordic NYSE Arca paneu exenxt Xetra Intl Mkt paneu exgermany

45 EUR millions value traded per day, double counted EUR millions value traded per day, double counted Customers are choosing to trade in Turquoise Lit and Midpoint Dark , ,000 6,750 6,500 6, ,000 5,750 5,500 5, ,000 4,750 4,500 4, ,000 3,750 3,500 3,250 3, ,750 2,500 2,250 2, ,750 1,500 1,250 1, Source: Turquoise Jan 29 Jan 25 Feb 24 Mar 20 Apr17 May 13 Jun 10 Jul 06 Aug 02 Sep 29 Sep 26 Oct 22 Nov Turquoise Lit orderbook (left side) Turquoise Midpoint Dark (right side) Poly. (Turquoise Lit orderbook (left side)) Poly. (Turquoise Midpoint Dark (right side))

46 EUR millions value traded, double counted EUR millions value traded, double counted Innovation in action Turquoise Uncross TM + Continuous Midpoint Midpoint Dark Continuous (left side) TM Turquoise Uncross (right side) Poly. (Midpoint Dark Continuous (left side)) Poly. (Turquoise Uncross TM (right side)) Jan 29 Jan 25 Feb 24 Mar 20 Apr 17 May 13 Jun 10 Jul 06 Aug 02 Sep 29 Sep 26 Oct 22 Nov Source: Turquoise

47 Turquoise Uncross TM Randomisation is Buy side friendly

48 Innovate, Execute, Implement August Admission of second lines of Dual-listed securities, minimises order rejections, enables more business September Migration of derivatives to LSE delivers sustainable Turquoise pan European Equities platform Relaunch of Turquoise Uncross TM October Admission of 800 additional stocks, mainly small caps in continental European and Nordic names, minimises order rejections, enables more business November Redirect trade feed for clearing of Spanish names from EuroCCP to EMCF in response to customer demand December System Release 8, includes: Self Execution Prevention Randomised Iceberg Orders Default Execution Instructions can be set at user-level to target Turquoise Uncross TM

49 More inclusive Stock Universe 800 names added 14 October , ,200 2, ,000 1,900 1, Symbols with Orders, left axis Symbols with Trades, left axis value traded, bn single counted, right axis 1, ,600 1, May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 to date 14 November 2013 Source: Turquoise

50 Disclaimer This presentation contains text, data, graphics, photographs, illustrations, artwork, names, logos, trade marks, service marks and information ( Information ) connected with Turquoise Global Holdings Limited ( Turquoise ). Turquoise attempts to ensure Information is accurate, however Information is provided AS IS and on an AS AVAILABLE basis and may not be accurate or up to date. Information in this presentation may or may not have been prepared by Turquoise but is made available without responsibility on the part of Turquoise. Turquoise does not guarantee the accuracy, timeliness, completeness, performance or fitness for a particular purpose of the presentation or any of the Information. No responsibility is accepted by or on behalf of Turquoise for any errors, omissions, or inaccurate Information in this presentation. No action should be taken or omitted to be taken in reliance upon Information in this presentation/document. Turquoise accepts no liability for the results of any action taken on the basis of the Information.

51 Q & A Session