ISE T7 Trading System Usage Guidelines

Transcription

1 Trading System Usage Guidelines Version 1 Effective 3 rd January 2018

2 Contents 1 Scope 3 2 Conformance Testing 3 3 Order Trade Ratio 4 4 Use of Kill Functionality 4 5 Data Dissemination 5 6 Definitions 5 7 Contact Information 6 V1 3 rd January 2018 Trading System Usage Guidelines Page 2 of 6

3 1 Scope The plc ( ISE ) operates the order book under its strategic technology partnership with Deutsche Börse AG. The operation and functionality of the system is described in the Market Model. All Member Firms (and applicant Member Firms) are required to adhere to these ISE Trading System Usage Guidelines ( Guidelines ), where relevant, once access to has been provided. These Guidelines should be read alongside the ISE Member Firm Rules. The content of these Guidelines may be unilaterally changed by the ISE. Any changes will be communicated in writing in advance to all Member Firms, and where relevant Applicants. 2 Conformance Testing 2.1 MiFID II and rule 5.2 (h) of the Rules requires that a Member Firm undertakes conformance testing prior to the deployment or a substantial update of: (a) Its access to ; (b) Its trading system, trading algorithm or trading strategy. 2.2 A Member Firm is also required to test the conformance of its algorithmic trading system and trading algorithms with where there is a material change of. For this purpose, the ISE does not in general consider the implementation of a new software release for ISE T7 (a T7 Release) to be a material change and therefore does not require conformance testing in such circumstances, unless the ISE advises otherwise. 2.3 All Applicants must carry out conformance testing prior to gaining access to production. 2.4 Member Firms and Applicants must at least use the simulation environment to carry out their conformance testing. This consists of the permanent integrated simulation environment and the T7 cloud simulation. In advance of a T7 Release, the permanent integrated simulation environment will be upgraded to the next future release and in such cases only the cloud is available for testing the current T7 release. Member Firms and Applicants are not precluded from also using other test environments. 2.5 Member Firms and Applicants should refer to Commission Delegated Regulations (EU) 2017/584 of 14 July 2016 and 2017/589 of 19 July 2016 regarding the scope of the testing to be undertaken. 2.6 Member Firms and Applicants which will be deploying algorithms to are also required to certify that the algorithms have been tested to avoid contributing to or creating disorderly trading conditions prior to the deployment or substantial update of a trading algorithm or trading strategy and explain the means used for that testing. The certificates should be uploaded to the member portal: or can be provided by SFTP. V1 3 rd January 2018 Trading System Usage Guidelines Page 3 of 6

4 3 Order Trade Ratio 3.1 In accordance with Commission Delegated Regulation (EU) 2017/566 of 18 May 2016, the ISE is required to calculate the ratio of unexecuted orders to trades entered into by each Member Firm for every order book security. The ISE will calculate this once at the end of each trading day taking into account all trading phases. The calculation will be done in accordance with the counting methodology set out in MiFID II. The calculation will be done based on the number of orders/quotes and executed orders/quotes (OTR number) and on the volume (/quantity) of orders/quotes entered and orders/quotes executed (OTR volume). 3.2 The ISE has set the following maximum ratios: Max OTR volume = 1,000,000 with a floor of 1,000 Max OTR number = 100,000 with a floor of 1 A Member Firm shall be considered to have breached the maximum order to trade ratio (OTR) if either the Max OTR volume or the Max OTR number has been breached. 3.3 Member Firms have access to a daily OTR report via the Common Report Engine (CRE) which will provide the OTR volume and OTR number per ISIN for the Member Firm. 3.4 Member Firms shall comply with the Max OTR volume and Max OTR number per ISIN. The ISE shall monitor compliance with the maximum ratios and contact Member Firms should any breaches occur. 4 Use of Kill Functionality 4.1 In accordance with rule 5.2 (c) of the Rules and with Commission Delegated Regulation (EU) 2017/589 of 19 July 2016, a Member Firm must be able to implement its kill functionality in an emergency situation. The kill functionality enables a Member Firm to cancel any or all of its unexecuted orders resting on the order book. 4.2 For Member Firms connecting via ETI, individual orders can be cancelled by the trader who submitted the order, or a head trader of the same trader group, or by a supervisor of the business unit. To enable the cancellation of multiple resting orders, Member Firms may use the Order Mass Cancellation Request which enables all orders within a specified instrument, or a session, or entered by a specific trader to be deleted. Additionally, users are able to delete multiple orders on the buy or sell side of the order book up or down to a particular price level. When using side and price as filter criteria, cancellation will be for a single instrument only, and market orders would not get removed. If no filter is applied, then all orders will get deleted for that trader. A head trader may cancel all orders of any trader in the same trader subgroup. A supervisor may cancel all orders of any trader and any session within the business unit. 4.3 For Member Firms connecting via the T7 FIX Gateway, only orders entered via the same session can be deleted via that FIX session. To cancel all orders entered via a particular session, the User Order Mass Action Request (UCA) should be entered. This can be filtered to apply only to a particular trader and/or a particular instrument. The user may also delete only part of their orders for one instrument by entering additional filter criteria on side and price. V1 3 rd January 2018 Trading System Usage Guidelines Page 4 of 6

5 4.4 For Member Firms connected via the Trader GUI, there is a Panic Cancel action which enables users with the assigned Emergency Role to mass delete all orders and/or quotes. 4.5 In case of system issues, and in accordance with rule , an employee of a Member Firm, authorised in accordance with rule , may request the cancellation of all resting orders by contacting Deutsche Börse Market Supervision Helpline by telephone or (see chapter 7). 4.6 Member Firms must ensure that they only use the kill functionality in emergency situations such as in the event of an issue with, or in the event of an issue with the Member Firm s own systems, which may include an issue with the post-trade systems of the ISE or the Member Firm. 5 Data Dissemination Member Firms may be permitted to connect to T7 MDI, T7 EMDI, T7 EMDS or T7 EOBI. Such connections may require the conclusion of a separate agreement with the ISE and/or with Deutsche Börse AG regarding the market data available via such connections. The data stream sent via T7 MDI, T7 EMDI, T7 EMDS and T7 EOBI - irrespective of such data having been edited or not may only be transferred to a third party within the framework of the provisions of a Market Data Dissemination Agreement or other such relevant agreement with the ISE and/or with Deutsche Börse AG. 6 Definitions Applicant means a person that has applied to the ISE to become a Member Firm but has not yet been admitted. ETI means the Enhanced Transaction Interface of via which orders and quotes can be submitted to. means the ISE Electronic Trading System used for order book trading of equities and ETFs. Member Firm means any person, partnership or body corporate who has been admitted to any class of membership of the ISE pursuant to the Member Firm Rules, and who has not resigned that membership or had that membership terminated. MiFID II means Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014, the Regulation (EU) No. 600/2014 of the European Parliament and of the Council of 15 May 2014, the associated Commission Delegated Acts, Commission Delegated Regulations, and Level 3 Guidance. Order Book Security means a security that has been admitted to trading on the order book of the ISE. Rules means the Member Firm Rules of the ISE. T7 Enhanced Market Data Interface ( EMDI ) is an optional interface to the ISE Electronic Trading System exclusively available via a leased line, by way of which un-netted market data can be received via multicast. V1 3 rd January 2018 Trading System Usage Guidelines Page 5 of 6

6 T7 Enhanced Order Book Interface ( EOBI ) is an interface to the ISE Electronic Trading System, which provides un-netted information on each individual order and quote. T7 Extended Market Data Service ( EMDS ) is an interface to the ISE Electronic Trading System via which enhanced market data can be received. T7 FIX Gateway is an interface to via which order transactions can be sent. T7 Market Data Interface ( MDI ) is an optional interface to the ISE Electronic Trading System by way of which netted market data can be received via multicast. 7 Contact Information For any queries in relation to the Guidelines or, please contact the ISE Traded Markets Infrastructure team by to iset7@ise.ie. To contact the Deutsche Börse Market Supervision Helpline: Tel: xetrahelpdesk@deutsche-boerse.com V1 3 rd January 2018 Trading System Usage Guidelines Page 6 of 6